Publications

Work in Progress:

 

Forecasting Large Stochastic Covariance Matrices. Joint with A. A. P. Santos.

 

 

Selected Publications:

 

Maximum Likelihood Estimation of a TVP-VAR. Economics Letters, 174, 2019. Joint with M. R. Noriller. Online appendix.

 

Yield Curve Forecast Combinations Based on Bond Portfolio Performance. Journal of Forecasting, 37, 2018. Joint with J. F. Caldeira, and A. A. P. Santos.

 

Combining Multivariate Volatility Forecasts: An Economic-Based Approach. Journal of Financial Econometrics, 15(2), 2017. Joint with J. F. Caldeira, F. J. Nogales, and A. A. P. Santos.

 

Bond portfolio optimization using dynamic factor models. Journal of Empirical Finance, 37, 2016. Joint with J. F. Caldeira and A. A. P. Santos.

 

Predicting the yield curve using forecast combinations. Computational Statistics & Data Analysis, 100, 2016 . Joint with J. F. Caldeira and A. A. P. Santos.

 

Measuring risk in fixed income portfolios using yield curve models. Computational Economics. 46(1), 2015. Joint with J. F. Caldeira and A. A. P. Santos.

 

Efficient estimation of conditionally linear Gaussian state space models. Economics Letters. 124(3), 2014. Joint with D. Turatti.

 

Dynamic factor multivariate GARCH model. Computational Statistics & Data Analysis, 76, 2014. Joint with A. A. P. Santos. 

 

Efficient likelihood evaluation in state-space representations. The Review of Economic Studies, 80(2), 2013. Joint with D. DeJong, R. Liesenfeld, J.-F. Richard, and H. Dharmarajan.

 

Adaptive forecasting of exchange rates with panel data. International Journal of Forecasting, 29(3), 2013. Joint with L. Morales-Arias.

 

Determinants and dynamics of current account reversals: an empirical analysis.  Oxford Bulletin of Economics and Statistics, 72(4), 2010. Joint with Liesenfeld and Richard.