Research
Recent publications and working papers (with Revise-and-Resubmit and Reject-and-Resubmit) in ISI (WoS) Journals:
Best Paper Award - Asian Finance Association.
Learning and Index Option Returns, 2020, Journal of Business & Economic Statistics 38, 327-339.
Working papers:
Best Paper Award - Financial Engineering and Banking Society 2024.
Implied Correlation and Market Returns (with M. Valenzuela), 2022, submitted.
Work in Progress
Understanding Collateral Chains (with Carlos Canon).
Diffusion of the Option Adoption (with Thanos Verousis and David Diaz).
Dynamics in multi-markets: Quality and financial technological changes (with Marcela Valenzuela and Olga Lebedeva).
Overlapping effects in multi-markets (with Marcela Valenzuela, Sean Foley and Nicolas Garrido).
Book Chapter
The Effects of Derivatives on Underlying Financial Markets: Equity Options, Commodity Derivatives and Credit Default Swaps. Book: 50 Years of Money and Finance -Lessons and Challenges. Edited by Morten Balling and Ernest Gnan. Published by Larcier and SUERF Studies.
Main Research Grants
2024: Fondecyt Regular - Chilean Government research grant #1240312 (Co-Researcher: US$ 150,000 aprox., 4 years).
2023: Fondecyt Regular - Chilean Government research grant #1231660 (Research Leader: US$ 165,000 aprox., 4 years).
2023: Fondecyt Regular - Chilean Government research grant Fondecyt #1231630 (Co-Researcher: US$ 160,000 aprox., 4 years).
2023: Research grant, FEN University of Chile grant #R156 (Research Leader: US$ 8,000 aprox., 1 year).
2019: Fondecyt Regular - Chilean Government research grant # 1190162 (Research Leader: US$ 140,000 aprox., 4 years).
2019: Fondecyt Regular - Chilean Government research grant Fondecyt # 1190477 (Co-Researcher: US$ 143,000 aprox., 4 years).
2018: ENLACE grant # ENL13/18 (Research Leader: US$ 12,000 aprox., 1 year).
2015: Millennium Initiative - Institute for Research in Market Imperfections and Public Policy between 2015-2020 (Researcher, US$ 2,500,000 aprox., 5 years).
2014: Fondecyt Inic. - Chilean Government research grant #11140628 (Research Leader: US$ 135,000 aprox., 3 years).
2014: IFABS Fellowship grant.
2014: Visiting Scholars grant 2014 at Banque de France.
2011: Marie Curie Fellowship Grant (4 years) - European Commission.
2010: PhD travel grant to the International Institute of Forecasters to attend the 30th International Symposium on Forecasting 2010 in San Diego-USA.
2009: PhD travel grant American Finance Association (AFA) to attend the Annual Meeting in San Francisco-USA.
2008: PhD travel grant to attend The Nobel Laureate Meeting in Lindau-Germany (meeting with all the Nobel Laureates in Economics).