Universidad Católica

• The impact of risk cycles on business cycles: A historical view, with Jon Danielsson and Ilknur Zer (Review of Financial Studies, Forthcoming) 

  • ​Risk Management Research Award 2022 European Financial Management Association

  • El Mercurio Inversiones

  • VoxEU 2022

  • World Economic Forum 2022

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• Trader competition in fragmented markets: Liquidity supply versus picking-off risk, with Alejandro Bernales, Nicolás Garrido, Satchit Sagade, and Christian Westheide (Journal of Financial and Quantitative Analysis, Forthcoming) 

  • ​Best Paper Award 2017 Asian Finance Association.

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• Effects of Information Overload on Financial Markets: How Much Is Too Much?, with Alejandro Bernales and Ilknur Zer

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• Alternative Execution Priority Rules in Dark Pools, with Alejandro Bernales, Daniel Ladley,  Evangelos Litos 

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• Implied correlation and market returns, with Alejandro Bernales 

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• The efficient IPO market hypothesis: Theory and evidence, with Kevin James (Journal of Financial and Quantitative Analysis, 2020)

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• Learning from history: volatility and financial crises, with Jon Danielsson and Ilknur Zer. Review of Financial Studies, 2018

  • volatility data .xls​

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•  Learning and forecasts about option returns through the volatility risk premium, with Alejandro Bernales and Xiaohua Chen. Journal of Economic Dynamics & Control, 2017

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• Model risk of risk models, with Jon Danielsson, Kevin James and Ilknur Zer. Journal of Financial Stability, 2016

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• Can we prove a bank guilty of creating systemic risk? A minority report, with Jon Danielsson, Kevin James and Ilknur Zer. Journal of Money Credit and Banking, 2016

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• Relative liquidity and future volatility, with Piotr Fryzlewicz, Thorsten Rheinländer and Ilknur Zer. Journal of Financial Markets, 2015

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• Competition, signaling and non-walking through the book: Effects on order choice, with Ilknur Zer. Journal of Banking & Finance, 2013