OFFICE ADDRESS:

CURRENT POSITION:
Associate Professor, Department of Industrial Engineering, University of Chile

UNDERGRADUATE STUDIES
Economics degree (1991), Catholic University of Chile.

GRADUATE STUDIES
-Masters in Economics, Catholic University of Chile (1991)

Masters thesis: “Firing Costs: the Case of Severance Payments”.

Ph.D. in Economics, University of California at Berkeley (1997).

Masters in statistics at the University of California at Berkeley (1996-1997).
(Number of required academic units completed).

POST-DOCTORAL STUDIES
Financial Economics at the University of Chicago (September 1997-March 1998). Research Focus: Non-parametric techniques to model the term structure of interest rates.

VISITING POSITIONS
Short-term visitor at the Institute for International Integration (IIIS), Trinity College-Dublin. June 2005.

Long-term visitor at the Institute for International Integration (IIIS), Trinity College-Dublin. January-March 2006.

TEACHING AND RESEARCH FIELDS
Primary Fields: Econometrics and Finance

Secondary Fields: Natural Resource Economics

HONORS AND AWARDS
-Scholarship of Honor of the Catholic University of Chile to the best economics student of the 1986’s class (1989).

-“Price Waterhouse” scholarship to the best economics student of the 1986’s class of the Catholic University of Chile (1989).

-“Raul Iver” prize to the best student at the Economics Department of the Catholic University of Chile (2’ 1990).

-Agency for International Development (AID) scholarship to pursue doctoral studies at the University of California at Berkeley (1993-1997).

REFEREE FOR
Environmental and Resource Economics, IEEE Transactions on Neural Networks, Cuadernos de Economia, The Latin American Journal, Economia Chilena, Revista de Analisis Economico, Abante--Studies in Business Management, The International Journal of Operations and Quantitative Management, Journal of Applied Economics, The International Review of Financial Analysis, Journal of Derivatives Accounting, Emerging Markets Finance & Trade, Journal of Applied Econometrics.

PRESENTER AT INTERNATIONAL CONFERENCES
· Annual Meeting of the Latin American Econometric Society: Mexico, August 1993, Peru, August 1998, Mexico, August 1999, Buenos Aires, July 2001; Sao-Paulo, Brazil, July 2002.

· Annual Meeting of LACEA (Santiago de Chile, October 1999)

· XII World Congress of the International Economic Association (Argentina, August 1999)

· Computational Finance 2000 (England, May 2000)

· Seminar of Public Policy for Latin America, SPEAL, La Paz, Bolivia (October 2000)

· 50th Anniversary Meeting of the Midwest Finance Association (USA, March 2001)

· Annual Meeting of the Midwest Econometrics Group (USA, October 2001)

· 14th Australasian Banking and Finance Conference, Sydney-Australia, December 2001

· Annual Meeting of the Midwest Finance Association (USA, March 2002).

· 2002 Meeting of the Financial Management Association, San Antonio, Texas, United States. October.

· IV International Conference on Operations and Quantitative Management (ICOQM), Tainan, Taiwan, January 2003.

· 52nd Meeting of the Midwest Finance Association. St. Louis, USA, March 2003.

· 58th Meeting of the European Econometric Society, Stocklm, Sweden, August 2003.

· 2003 Financial Association Meeting (FMA), Denver-Colorado. October.

· 2004 Midwest Finance Association (MFA) Meeting, Chicago. March.

· Latin American Meeting of the Econometric Society. Santiago-Chile, July.

· 2004 FMA meeting. New Orleans, United States. October.

· 2005 Midwest Finance Association Meeting (MFA). Milwaukee, United States. March.

· 2005 Global Finance Conference. Dublin, Ireland. June.

· 2005 Inter-American Seminar on Economics (IASE). Rio de Janeiro, Brazil. December.

COURSES GIVEN
1. Corporate finance. MBA level

2. Financial Engineering. Master’s level

3. Advance Topics in Corporate Finance. Master’s level

4. Econometrics. Undergraduate level

5. Time Series Analysis. Master’s level

CHAPTERS IN BOOKS
1. “How Sensitive is Volatility to Exchange Rate Regimes?” International Finance Review Vol 5, special issue on Latin America Financial Markets: Developments in Financial Innovations. Chapter 5. Harvey Arbelaez and R. W. Click, editors. Elsevier book series, ISBN 0-7623-1163-0.

2. “Negative Liquidity Premia and the Shape of the Term Structure of Interest Rates”. International Finance Review Vol. 5, special issue on Latin America Financial Markets: Developments in Financial Innovations. Chapter 18. Harvey Arbelaez and R. W. Click, editors. Elsevier book series, ISBN 0-7623-1163-0.

JOURNAL ARTICLES
1. “Firing Costs: The Effect of Severance Payments” (co-author: Fernando Coloma) in Cuadernos de Economia 30, April 1993, pages 77-109. (In Spanish)

2. “Forecasting Home Appliances Sales: Incorporating Adoption and Replacement”, in The Journal of International Consumer Marketing, Vol.12, No.2, 1999, pages 39-61.

3. “Option Theory: A Synthesis”, in Revista de Analisis Economico 14 No.2, November 1999, pages 87-116. (In Spanish).

4. “Decisions to Replace Consumer Durable Goods: An Econometric Application of Wiener and Renewal Processes”, in The Review of Economics and Statistics 82(3), August 2000, pages 452-461.

5. “Term Structure of Interest Rates in Chile: How Good as a Predictor of Growth and Inflation?” in Cuadernos de Economía 37, No. 111, August 2000, pages 373-404. (In Spanish).

6. “Observable and Unobservable Determinants of Replacement of Home Appliances” in Energy Economics, 2001, Vol. 23(3), pages 305-323.

7. “A Non-Parametric Approach to Model the Term Structure of Interest Rates: The Case of Chile”, International Review of Financial Analysis; May 2001, Vol. 10(2), pp 99-122.

8. Extreme Value Theory and Value at Risk”, Revista de Analisis Economico 18(1), 57-85. June 2003.

9. “A new methodology to asses investment projects: Real options” Revista de Ingeniería de Sistemas Vol. XVII No. 1, 55-80. July 2003 (coauthor: Eduardo Contreras. In Spanish).

10. “What determines Market Development?: Lessons from Latin American Derivatives Markets with an Emphasis on Chile.” The Journal of Financial Intermediation 12(4), October 2003, 391-422.

11. "Interdependence in Replacement Decisions", The International Journal of Operations and Quantitative Management, special issue on Operations and Quantitative Management in the Globalize New Economy. Volume 9, Number 3. September 2003, pp.1-15.

12. “Interest Rate Risk in an Emerging Economy”. Quarterly Review of Economics and Finance 44(5), December 2004, special issue on managing uncertainty and risk. pp 678.

13. “Monetary Policy and the Banking sector in Chile”. Emerging Markets Finance and Trade 41(3), May-June 2005, 5-36.

14. “Risk Management under Extreme Events”. International Review of Financial Analysis 14(2), 113-282 (2005). Special issue on Quantitative Issues in Finance edited by J. Batten.

15. “Detection of Breakpoints in Volatility”. Estudios de Administracion 11(1), 2004, 1-38.

16. "Time-Scale Decomposition of Price Transmission in International Markets". Accepted in Emerging Markets Finance and Trade.

17. “Emerging Derivatives Markets: The Case of Chile. Accepted in Emerging Markets Finance and Trade.

18. "The CAPM and Value at Risk at Different Time Scales”. Accepted in International Review of Financial Analysis.

19. “Extremal Dependence in Exchange Markets”. Accepted in Journal of Applied Economics.

20. “The International CAPM and a wavelet-based decomposition of Value at Risk”. Accepted in Studies of Nonlinear Dynamics &Econometrics.

21. “Specification tests for a parsimonious random-effects model” Accepted in Applied Economics Letters.

22. "The Impact of Major Global Events on Volatility Shifts: Evidence from the Asian crisis and 9/11" accepted in Economic Systems.

23. “Determinants of Firm Leverage in Chile: Evidence from Panel Data”. Accepted in Estudios de Administracion.

WORKING PAPERS AND WORK IN PROGRESS
1. “Stock markets turmoil: Worldwide effects of Middle East conflicts”. Working Paper No. 215, Center for Applied Economics (CEA), University of Chile, November 2005.

2. “Do regional integration agreements increase business-cycle convergence?: Evidence from APEC and NAFTA”. William Davidson Institute Working Paper No. 765. April 2005; Working Paper No. 202, Center for Applied Economics (CEA), University of Chile, April 2005. (Joint work with Ali Kutan, Southern Illinois University)

3. “What drives capital structure? Evidence from Chilean panel data” Working Paper No. 200, Center for Applied Economics (CEA), University of Chile, January 2005.

4. “The mechanics of financial derivatives” Working paper No. 49, Center of Management (CEGES), University of Chile. April 2003.

5. “An Analysis of the Term Structure of Interest Rates in Chile”, Working Paper 298, Centro de Estudios Públicos (CEP- Chile), September 1999. (In Spanish).

6. “Pricing Derivatives”, Teaching Notes No. 64, Economics Department at the Catholic University of Chile, April 1999. (In Spanish).