PUBLICATIONS
Academic Publications
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“Inflation volatility under rational inattention: a semi-parametric model and the Directional Volatility Ratio” with Alfredo Garcia-Hiernaux and David E. Guerrero. Economic Modelling, 2026, forthcoming.
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“VIX maturity interpolation,” with Torben G Andersen and Oleg Bondarenko. Review of Derivatives Research, 2025, Vol 28, 4.
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“Eurozone Prices: A Tale of Convergence and Divergence,” with Alfredo Garcia-Hiernaux and David E. Guerrero. Economic Modelling, 2023, Vol 126, 106418.
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“An empirical assessment of proposed solutions for resolving scale problems in value relevance accounting research,” with Juana Aledo, Juan M. García Lara, and Christos A Grambovas. Accounting & Finance, 2020, Vol 60 (4): 3905-3933.
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“Exploring Returns Dynamics via Corridor Implied Volatility," with Torben G. Andersen and Oleg Bondarenko. Review of Financial Studies, 2015, Vol 28(10): 2902-2945.
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“Model-free Volatility Indexes in the Financial Literature: A Review," International Review of Economics and Finance, 2015, Vol 40, 141–159.
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“Day of the Week Effect on VIX. A Parsimonious Representation," with David E. Guerrero. The North American Journal of Economics and Finance, 2013, Vol. 25, 243-260.
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“The Information Content in a Volatility Index for Spain," with Alfonso Novales. Journal of the Spanish Economic Association (SERIEs), 2011, Vol. 2 (2), 185‐216.
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“Are Volatility Indexes in International Stock Markets Forward Looking?" with Alfonso Novales. RACSAM-Applied Mathematics Series, 2009, Vol. 103 (2), pp. 339‐352.
Working Papers
“How to measure infation volatility. A note,” with Alfredo Garcia-Hiernaux and David E. Guerrero (2023). Banco de España Working paper # 2314. An updated version of this article is distributed at SSRN under a new title “Inflation volatility and the directional volatility ratio.”R&R in Economic Modelling.
“The impact of Sovereign Debt Purchase programms. A case study: the Spanish-to-Portuguese bond yield spread” with Fernando Cerezo, Pablo Giron and Roberto Pascual. (2024). Banco de España Working paper # 2422.
“The short-term and long-term relationship between EURUSD expected and realized volatility,” (2024). Working paper.
“Lessons from estimating the average option-implied volatility term-structure for the Spanish banking sector” (2022). Bank of Spain Working Paper # 2128.
“Is It Expected Volatility or Expected Precision?,” with David E. Guerrero (2022). SSRN Working paper.
“Measuring the Spillovers of Uncertainty Shocks,” (2020). SSRN Working paper.
“A Corridor FIX for High-Frequency VIX: Developing Coherent Implied Volatility Measures,” (2019) working paper with Torben G. Andersen and Oleg Bondarenko.
"Periodic pattern in high-frequency data" (2019) work in progress with David E. Guerrero
"The Role of Market Makers in the Quality of SPX Quotes" (2018) work in progress
Publications resulting from working groups participation
“How Do Central Banks Identify Risks?” A Survey of Indicators (October 1, 2021). Banco de Espana Occasional Paper No. 2125.
“US dollar funding: an international perspective” (June 18, 2020) Member of the Working Group chaired by Sally Davies (Board of Governors of the Federal Reserve System) and Christopher Kent (Reserve Bank of Australia). Committee on the Global Financial System (CGFS) papers.
Other publications
“Cryptoassets and ETFs.” (2025) Bank of Spain Financial Stability Report. Spring.
“How to estimate inflation volatility. A Note.” (2023) SUERF Policy Brief, No. 645.
“Lessons from estimating the average option-implied volatility term-structure for the Spanish banking sector” (2022) SUERF Policy Brief, No 282.
“Factores de microestructura del mercado en la determinación del precio del petróleo” (Market microstructure factors affecting the oil price,” (2020) with Carlos Gonzalez-Pedraz). Bank of Spain Economic Newsletter #3.