Publicaciones Académicas.
Portfolio choice with Jumps: A closed-form solution.
“Economists have long been aware of the potential benefitsof international diversification, while at the same time noting that the portfoliosheld by actual investors typically suffer from a home bias effect, meaning thatthose portfolios tend to be less diversified internationally than would be opti-mal according to portfolio choice theory(…)“
Modeling financial contagion using mutually exciting jump processes
“We propose a model to capture the dynamics of asset returns, with periods of crises that are characterized by contagion. In the model, a jump in one region of the world increases the intensity of jumps both in the same region (self-excitation) as well as in other regions (cross-excitation), generating episodes of highly clustered jumps across world markets that mimic the observed features of the data. We develop and implement moment-based estimation and testing procedures(…)”
Estimation with Applications of Two-Factor Affine Term Structure Models for Mexico, 1995-2004
“This paper studies the term structure of interest rates forMexico from 1995 to 2004, after the 1994 Tequila crisis. We estimate two-factor canonical, essentially, affine models, following Dai and Singleton (2000). We estimate the models by the Kalman filter, using the available 28, 91, 182, and 364 days-to-maturity zero-coupon bonds Cetes. Let Y1 and Y2 be the two latent factors.”
Using Portfolio Returns to Estimate the Probability of Large Jumps
Sudden jumps in the stock market have a significant impact on consumers’ wealth. A market crash, in particular, can devastate lives and destabilize the entire economy. Therefore, it would be desirable if consumers, policy makers, and financial intermediaries could better anticipate such events. Unfortunately, it is difficult to infer market crashes, in part because they occur so infrequently. This paper proposes the use of portfolio returns as an additional tool for gauging the probability(…)