[33] “Banks’ leverage in foreign exchange derivatives in times of crisis: A tale of two countries”(with Giraldo, C, Giraldo, I, and Gomez-Gonzalez, J), Emerging Markets Review, Accepted.

[32] “Does economic complexity reduce the probability of a fiscal crisis?”(with Gomez-Gonzalez,J and Valencia, O), World Development, Accepted.

[31] “Nonlinear market liquidity: An empirical examination“(with Chuliá H and Mosquera-López S) International Review of Financial Analysis, 2023.

[30] “European stock market volatility connectedness: The role of country and sector membership” (with M. Guillén and J. Vidal) Journal of International Financial Markets, Institutions & Money, 2023.

[29] “Expected, unexpected, good and bad aggregate uncertainty” (with Chuliá H) Studies in Nonlinear Dynamics & Econometrics, 2023.

[28] “Risk spillovers between global corporations and Latin American sovereigns: global factors matter” (with Gomez-Gonzalez J.E. and Valencia, O.)  Applied Economics, 2023.

[27] “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.

[26] “Pricing the risk due to weather conditions in small variable renewable energy projects” (with S.Mosquera-López)  Applied Energy, 2022.

[25] “Interdependent capital structure choices and the macroeconomy” (with Gomez-Gonzalez J.E. and Hirs-Garzon J.)  North American Journal of Economics and Finance, 2022.

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

[23] “Commonality, macroeconomic factors and banking profitability” (with Joaqui, O. and Manotas, D.)  North American Journal of Economics and Finance, 2022.

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

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

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

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

[18] “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.

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

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

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

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

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

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

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

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

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

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

[7] “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.

[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] “Risk asymmetries in hydrothermal power generation markets”  (with Mosquera-López S. and Manotas D.) Electric Power Systems Research, 2017.

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

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


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

[2] “Essays on Risk and Uncertainty in Economics and Finance Ed. Universidad de Cantabria, 2022.

*ISI-JCR publications only. A full list of my publications can be found on my Ideas-Repec or ResearchGate sites.