Energy Markets:

[12] “Assessing the relationship between electricity and natural gas prices in European markets in times of distress” (with S.Mosquera and Arenas, O.)  Energy Policy, 2022.

[11] “Dynamic capital structure under changing market conditions in the oil industry: An empirical investigation” (with Restrepo, N. and D. Manotas) Resources Policy, 2020.

[10] “Characterizing electricity market integration in Nord Pool” (with Mosquera, S., and Guillén M.) Energy, 2020.

[9] “Giving and receiving: exploring the predictive causality between oil prices and exchange rates” (with Gomez-Gonzalez J.E. and Hirs-Garzon J.) International Finance, 2020.

[8] “Volatility spillovers in energy markets”(with Chuliá H. and M. D. Furió) Energy Journal, 2019. Slides ICEFM   

[7] “Uncovering the nonlinear predictive causality between natural gas and electricity prices”(with Guillén, M. and S. Mosquera) Energy Economics, 2018.

[6] “Effect of stopping hydroelectric power generation on electricity prices: An event study approach”(with Mosquera, S. and D. Manotas) Renewable and Sustainable Energy Reviews, 2018.

[5] “Financial risk network architecture of energy firms” (with Restrepo, N. and D. Manotas) Applied Energy, 2018.

[4] “Risk analysis using weather factors in solar energy conversion systems” (with Cardoza, D.) DYNA, 2018.

[3] “Nonlinear empirical pricing in electricity markets using fundamental weather factors”, (with Mosquera S. and Manotas D.) Energy, 2017. Slides

[2] “Risk Asymmetries in Hydrothermal Power Generation Markets”  (with Mosquera S. and Manotas D.) Electric Power Systems Research, 2017. Slides ECF-16

[1] “Effects of WTI and SP500 on Oil Firms stock Prices: A Multivariate Quantile Approach”  (with N., Restrepo. and Manotas D.) Energy Procedia, 2017.

Finance and Macroeconomics:

[15] “Spillovers beyond the variance: Exploring the higher order risk linkages between commodity markets and global financial markets” (with Gomez-Gonzalez J.E. and Hirs-Garzon J.)  Journal of Commodity Markets, 2022.

[14] “Expected, Unexpected, Good and Bad Aggregate Uncertainty” (with Chuliá H) Studies in Nonlinear Dynamics & Econometrics, 2022.

[13] “Asymmetric volatility spillovers and consumption risk-sharing” (with Chuliá H) Applied Economics, 2021.

[12] “Analyzing the nonlinear pricing of liquidity risk according to the market state” (with Chuliá H. and Koser C.) Finance Research Letters, 2021.

[11] “Generalized Market Uncertainty Measurement in European Stock Markets in Real Time” (with Gillén, M. ) Mathematics, 2020.

[10] “Uncovering the time-varying causality between volatility and commonality in liquidity” (with Chuliá H. and Koser C.) International Review of Financial Analysis 69, 2020.

[9] “The credit supply channel of monetary policy: evidence from a FAVAR model with sign restrictions” (with Holguín J.S.) Empirical Economics, 2020.

[8] “Currency downside risk, liquidity, and financial stability” ” (with Chuliá, H. and J. Fernández) Journal of International Money and Finance,2018Slides FF-17

[7] “Risk synchronization in international stock markets” (with Chuliá, H. and A. Pinchao) Global Economic Review, 2018.

[6] “Uncertainty, Systemic Shocks and the Global Banking Sector: Has the Crisis Modified their Relationship?” (with Chuliá, H. and M. Guillén) Journal of International Financial Markets, Institutions & Money, 2017. Slides IFABS-16.

[5] “Spillovers from the United States to Latin American and G7 stock markets: A VAR-Quantile analysis” (with Chuliá H. and Guillén M.) Emerging Markets Review, 2017,  Slides EFMA-16

[4] “Measuring Uncertainty in the Stock Market” (with Chuliá H. and Guillén M.) International Review of Economics and Finance, 2017. Download daily uncertainty index. Slides EFMA-15

[3] “Impact of US uncertainties on emerging and mature markets: Evidence from a quantile-vector autoregressive approach” (with Chuliá, H., Gupta, R. and M. Wohar) Journal of International Financial Markets, Institutions & Money, 2017.

[2] “A comparative analysis of stock market cycles” (with Mosquera-López, S.) Macroeconomics and Finance in Emerging Markets Economies, 2016.

[1] “Regímenes de Volatilidad del Tipo de Cambio en Colombia e Intervenciones de Política” (with Fernández, J., Jiménez, D.) Investigación Económica, 2015.

Actuarial Science:

[2] “Trends in the quantiles of the life table survivorship function” (with Chuliá, H. and M. Guillén) European Journal of Population, 2018.

[1] “Modeling longevity risk with generalized dynamic factor models and vine copulae“(with H. Chuliá and M. Guillén.) Astin Bulletin, 2016.


[2] “Seguros para un mundo renovable y sostenible” Cuadernos de la Fundación 233, Mapfre 2020

[1] “Quantile Regression for Cross-Sectional and Time Series Data: Applications in Energy Markets Using R” (with Guillén, M.) Springer-Finance, 2020.

*A full list of my pre-Ph.D publications can be consulted at my Ideas-Repec or ResearchGate sites.