PROFESSIONAL
ACTIVITIES
Presentations in
National and International Conferences
“Semiparametric
ARCH Models” at Non‑Linear Dynamic
Systems Conference, organized by the Economics Department of the University of
Southern California, Los Angeles, April, 1989.
“Semiparametric ARCH
Models” at NSF/NBER Time Series Seminar at Escuela
de Ingenieros Industriales,
Madrid, Spain, September, 1989.
“Time‑Varying
Risk. The Case
of the American Computer Industry” at the 1992 Australasian Meeting of
the Econometric Society, Monash University,
Melbourne, Australia.
“New Extensions of Risk. Unconditional Moments versus
Conditional Moments” at the 1992 Australasian Meeting of the Econometric
Society, Monash University, Melbourne, Australia.
Discussant for the paper “Efficiency Bounds for
Models with Conditional Heteroscedasticity” by
Douglas Steigerwald. Econometric Society Meetings.
Anaheim, California. January 1993.
“Semiparametric or Quasi‑Maximum Likelihood Estimator” at the
European Meeting of the Econometric Society in Uppsala, Sweden, August 1993.
“Efficiency
Comparisons of Maximum Likelihood based Estimators of GARCH Models and a Non‑parametric
Test of Normality”. Invited speaker at the 1995
American Statistical Association Meetings in Orlando, Florida.
“Efficiency
Comparisons of Maximum Likelihood Estimators in GARCH Models and Testing for
Density Functional Form” at 1997 Winter meetings of the Econometric
Society, New Orleans, LA.
“Dynamic Asset Pricing and Statistical
Properties of Risk? at the 4th Annual Meeting of the American Society of
Business and Behavioral Sciences”, Las Vegas, NV, February 1997.
“Smooth
Transition GARCH Models” at the joint UCSD-UCR Conference on “Time
Series Analysis of High Frequency Financial Data”, San Diego, CA, April
1997.
“Smooth
Transition GARCH Models” at the 4th Annual Conference of the
Multinational finance Society, Thessaloniki, Greece, June
1997.
Discussant
on “Cointegration on Short-Term Price Memory in
International Stock Markets” by J. Kniff and S.
Pynnonen, at the 4th Annual Conference of the
Multinational Finance Society, Thessaloniki, Greece, June 1997.
“Time Series Testing and Endogenous
Growth” at the 1997 Conference of the Business and Economics Society
International, Athens, Greece.
Discussant on “Technologies, Uncertainty and
Investment in a General Equilibrium Model” by P.J. Gutierrez, at the 1997
Conference of the Business and Economics Society International, Athens, Greece.
“Rao’s Score Test with Nonparametric Density
Estimators”. Invited speaker at the 1997 American
Statistical Association Meetings in Anaheim, CA.
“Spatial
Integration in the Brazilian Rice Market”, prepared jointly with Steven Helfand, at the second Nucleo de Estudos e Modelos Espaciais Sistemicos (NEMESIS)
conference, at the Instituto de Pesquisa
Economica Aplicada (IPEA),
Rio de Janeiro, Brazil, October 1997.
“Bringing
Spatial Relationships Back into Market Integration Studies: A Multivariate
Approach for the Brazilian Rice Market” prepared jointly with Steven Helfand, at the third
Nucleo de Estudos e Modelos Espaciais Sistemicos (NEMESIS) conference, held at the Instituto de Pesquisa Economica Aplicada (IPEA), Rio de
Janeiro, Brazil, April 2-3, 1998.
“Bringing
Spatial Relationships Back into Market Integration Studies: A Multivariate
Approach for the Brazilian Rice Market” prepared jointly with Steven Helfand, at the 73rd. Annual Conference of the Western
Economic Association, Lake Tahoe, Nevada, July 1998.
“Bringing
Spatial Relationships Back into Market Integration Studies: A Multivariate
Approach for the Brazilian Rice Market” prepared jointly with Steven Helfand, at the Annual Meeting of the America Agricultural
Economics Association, Salt Lake City, Utah, August 1998.
Invited participant at the EML/NSF Symposium on
Nonlinear Time Series Models, University of California, Berkeley, August 1998.
“Efficiency
Comparisons of Maximum Likelihood-based Estimators in GARCH Models”,
prepared jointly with F. Drost, at the European
Meeting of the Econometric Society, Berlin, Germany, August
1998.
“Testing for nonlinearities in regression
models. A collection of new tests
based on the theory of random fields”, prepared jointly with C. Dahl, at
the 2000 Winter meetings of the Econometric Society,
New York.
“Testing for nonlinearities in regression
models. A collection of new tests
based on the theory of random fields”, prepared jointly with C. Dahl, at
the Conference on Nonlinear Time Series Models, University of Amsterdam, The
Netherlands, January 2000.
“Economic Development and Determinants of Market
Integration: The Case of the Brazilian Rice Market”, prepared jointly
with S. Helfand, at the 75th Annual
Western Economic Association International Conference, Vancouver, B.C., Canada,
July 2000.
“Testing for nonlinearities in regression
models. A collection of new tests
based on the theory of random fields”, prepared jointly with C. Dahl, at
the meetings of the Society of Nonlinear Dynamics and Econometrics, Atlanta GA,
March 2001.
“Determinants
of Market Integration”, prepared jointly with S. Helfand,
at the 76th Annual Western Economic Association International
Conference, San Francisco, July 4-8, 2001.
“Does
Volatility Modeling Really Matter? A Reality Check based on Option Pricing,
Value-at-Risk, and Expected Utility”, prepared jointly with T.H. Lee and
S. Mishra, at the 76th Annual Western
Economic Association International Conference, San Francisco, July 4-8, 2001.
Discussant
of the paper “Efficiency and Cost Differences across Countries in a
Unified European Banking Market” by J. Bikker at the 76th
Annual Western Economic Association International Conference, San Francisco,
July 4-8, 2001.
“Identifying Nonlinear Components by Random
Fields. An application to real US
GNP”, prepared jointly with C. Dahl, at the meetings of the Midwest
Econometrics Group, October 2001.
“Testing for Neglected Nonlinearity in
Regression Models. A Collection of
New Tests based on the Theory of Random Fields” at the International
Conference on Recent Advances in Nonparametric Statistics, Crete, Greece, July
2002.
Chair for
the session “Nonparametric Regression” at the International
Conference on Recent Advances in Nonparametric Statistics, Crete, Greece, July 2002.
“Monitoring Financial Intermediaries with
Subordinated Debt: A Dynamic Signal Model for Bank Risk” at the annual
meetings of the American Finance Association, in Washington, DC, January 2003.
“Jumps in Rank and Expected Returns. A Probabilistic Model for Momentum Strategies”
at the European meetings of the Econometric Society in Stockholm, Sweden,
August 2003.
“Jumps in Rank and Expected Returns. A Probabilistic Model for Momentum Strategies”
at the NBER/NSF Time Series Conference in the University of Chicago, USA,
September 2003.
“Jumps in Rank and Expected Returns. A Probabilistic Model for Momentum Strategies”
at the meetings of the Midwest Econometrics Group, Columbia, October 2003.
“Jumps in Rank and Expected Returns. A Probabilistic Model for Momentum Strategies”
at the North American meetings of
the Econometric Society in San Diego, January 2004.
“The Additive Random Field” at the North
American meetings of the Econometric Society in Philadelphia, January 2005.
Discussant
of the paper “Regression using Possibly Misspecified
Models” by J. Yu, at the North American meetings of the Econometric
Society in Philadelphia, January 2005.
“Social
and Economic Impacts of Indian Gaming in California” at the UCR Symposium
on American Indian Policy Issues and Tribal Governance, Palm Desert, June 2005.
“Monitoring Financial Intermediaries with
Subordinated Debt: A Dynamic Signal Model for Bank Risk” at the Western
Economic Association, San Francisco, July 2005.
Discussant of the paper “Using securities market
information for bank supervisory monitoring” by J. Krainer
and JA. Lopez at the Western
Economic Association, San Francisco, July 2005.
“An Impact Analysis of Tribal Government Gaming
in California” at the Western Indian Gaming Conference, Palm Springs,
January 2006.
“Jumps in Rank and Expected Returns. Introducing Varying Cross Sectional Risk”,
Invited speaker to the Conference on Statistical Modeling in Finance, Temple
University, March 2006.
“An Impact Analysis of Tribal Government Gaming
in California” at the 13th International Conference on Gaming
and Risk Taking, Lake Tahoe, May 2006.
Chair and
discussant at the Workshop on the Quality of Life: Conceptual Issues and
Measurement, University of California, Riverside, June 2006.
“Autocontours: A New Dynamic Specification Test” at
the 26th International Symposium on Forecasting, Santander, Spain,
June 2006.
“Autocontours: A New Dynamic Specification Test” at
the NBER/NSF Time Series Conference at the University of Montreal, September
2006 (poster presentation)
“Measurement
of the Standard of Living based on the Theory of Functionings:
Southern California as a Natural Laboratory”, Human and Social Dynamics
2006 Principal Investigators Meeting, Washington D.C., September 2006 (poster
presentation)
Panelist
on the event organized by 100 Women in
Hedge Funds on “Global Economic Trends and Alpha Generation”,
San Francisco, February 2007.
“Autocontours: A New Dynamic Specification Test” at
the East Meetings of the Econometric Society, Taiwan, July 2007.
“Alternative
Indices of Air Quality in a Developed Country,” prepared with A. Deolalikar and P. Pattanaik. Invited presentation to the International Workshop on Policy
Modeling for Assessing Well-Being: A Comparison of Methodological Tools.
Institute of Advanced Study, University of Pavia, Italy, July 2007.
“Autocontours: A New
Dynamic Specification Test” at the EC2 meetings on Advances in Time
Series Analysis, Faro, Portugal, December 2007.
“Autocontours: A New Dynamic Specification Test” at
Annual Symposium of the Society of Nonlinear Dynamics and Econometrics, San
Francisco, April 2008.
“Multivariate Autocontours
for Multivariate Specification in Multivariate GARCH Models”, Festschrift
in honor of Robert F. Engle, San Diego, June 2008.
“Forecasting with Interval and Histogram Data. Some Financial Applications”, invited speaker
at the IIF workshop on Predictability of Financial Markets, Lisbon, Portugal,
January 2009.
“Forecasting with Interval and Histogram Data. Some Financial Applications”, Econometric
Society meetings, Barcelona, Spain, August 2009.
“Forecasting
with Interval and Histogram Data”, NBER-NSF Time Series Conference, UC
Davis, September 2009.
“Evaluation
of Multivariate Predictive Densities based on the Autocontour
Approach”, International Symposium in Forecasting, San Diego 2010.
“Evaluation
of Multivariate Predictive Densities based on the Autocontour
Approach”, Joint meetings of the American Statistical Association, Vancouver,
Canada, 2010.
“Forecasting
Interval Data with probabilistically Constrained Regression Models”,
International Symposium in Forecasting, Prague, 2011.
Invited seminars
“Semiparametric ARCH
Models”, Colloquium of the Department of Statistics. University of California, Riverside, Fall 1991.
“A Measure of Volatility Risk. An Empirical Application of
Multivariate GARCH Models” at the Department of Economics.
University of California, Riverside, Fall 1991.
“Estimation
Issues on ARCH Models”, Department of Econometrics, Monash
University, Melbourne, Australia, July 1992.
“Semiparametric ARCH Models”, Department of
Econometrics, Monash University, Melbourne,
Australia, July 1992.
“A
Measure of Volatility Risk”, Royal Melbourne Institute of Technology,
Melbourne, Australia, July 1992.
“New Extensions of Risk. Unconditional Moments versus Conditional
Moments”, Department of Economics of the University of California, Santa
Barbara, October 1992.
“New Extensions of Risk. Unconditional Moments versus Conditional
Moments”, Department of Economics, University of California, Riverside. Spring 1993.
“New Extensions of Risk. Unconditional Moments versus Conditional
Moments”, Department of Economics of the University of Southern
California, Fall 1993.
“New Extensions of Risk. Unconditional Moments versus Conditional
Moments”, Bank of Spain, Madrid, Spain, December
1993.
“New Extensions of Risk. Unconditional Moments versus Conditional
Moments”, Department of Economics, University Pompeu
Fabra, Barcelona, Spain, January 1994.
“Non‑linear Attractors and Equilibrium
Prices in Financial Assets”, Department of Economics of California State
University, Los Angeles. December
1994.
“Efficiency
Comparisons of Maximum Likelihood Estimators in GARCH Models and Testing for
Density Functional Form” , Department of
Economics, University of California, Riverside, Winter 1996.
“Efficiency Comparisons of Maximum Likelihood
Estimators in GARCH Models and Testing for Density Functional Form”,
Department of Economics, University of California, Los Angeles Spring 1996.
“Smooth
Transition GARCH Models”, Department of Economics, University of
California, San Diego November 1996.
“Smooth
Transition GARCH Models” , Department of Economics, University of
California, Riverside, November 1996.
“Smooth
Transition GARCH Models”, Department of Economics, Universidad Carlos
III, Madrid, Spain December 1996.
“Smooth
Transition GARCH Models”, Department of Economics, Universidad Complutense, Madrid, Spain December 1996.
“On
the Recovery of Efficiency Losses: Maximum and Quasi-Maximum Likelihood
Estimators”, Department of Statistics, University of California,
Riverside, April 1997.
“Smooth Transition GARCH Models”,
Department of Econometrics, Tilburg University, Holland. July 1997.
“Smooth
Transition GARCH Models”, Department of Economics of the Arizona State
University September 1997.
“Smooth
Transition GARCH Models”, Department of Economics of the University of
California, Berkeley, October 1997.
“Bringing
Spatial Relationships Back into Market Integration Studies: A Multivariate
Approach for the Brazilian Rice Market” prepared jointly with Steven Helfand, at the Department of Economics, University of
California, Riverside, October 1998.
“Non-linear
Volatility Models”, Housing Economics Department of Fannie Mae,
Washington DC February 1999.
“Non-linear
Volatility Models”, Financial Research and Housing Economics Department
of Freddie Mac, McLean, VA February 1999.
“Testing for Nonlinearities in Regression
Models. A Collection of New Tests
based on the Theory of Random Fields”, Department of Economics,
University of California, Riverside, April 1999.
“Testing for Nonlinearities in Regression
Models. A Collection of New Tests
based on the Theory of Random Fields”, Department of Statistics,
University of California, Riverside, November 2000.
“Linkages between the secondary and primary
markets for mortgages. The role of the retained portfolio investments of the
GSE’s”, Financial Research and Housing Economics Department of
Freddie Mac, McLean, VA, December 2000.
“Value-in-Stress. A Coherent Approach to Stress
Testing”, Department of Economics, University of California, Riverside,
October 2001.
“Testing for Neglected Nonlinearities in
Regression Models. A Collection of
New Tests based on the Theory of Random Fields", prepared jointly with C.
Dahl, University of California, Davis, November 2001.
“Jumps in Rank and Expected Returns. Introducing Varying Cross-sectional Risk” at
the School of Management, Purdue University, April 2003.
“Jumps in Rank and Expected Returns. Introducing Varying Cross-sectional Risk” at
the Anderson Graduate School of Management, University of California,
Riverside, June 2003.
“The 2003 Economics Nobel prize. The contribution of RF. Engle and
CWJ. Granger”, at the Graduate Division convocation of the
University of California, Riverside, Winter 2004.
“Measuring
and Monitoring the Standard of Living based on the Functioning Approach.
Southern California as a Natural Laboratory”, Annual Graduate Student
Conference at University of California, Riverside, February 2005.
Poster presentation on “Estimation and forecast
evaluation under the same loss function” at the Bayes,
Multivariate Analysis and CASM. A
Statistics Conference in Honor of Jim Press, University of California,
Riverside, May 2005.
Poster
presentation on “Autocontours: Joint
specification tests for iid and parametric density
function” at the Bayes, Multivariate Analysis
and CASM. A Statistics Conference in Honor of Jim Press, at the University of
California, Riverside, May 2005.
“Jumps in Rank and Expected Returns. Introducing Varying Cross-sectional Risk” at
the Department of Economics at Texas A&M, December 2005.
“Monitoring Financial Intermediaries with
Subordinated Debt: A Dynamic Signal Model for Bank Risk” at the Anderson
Graduate School of Management, University of California, Riverside, February
2006.
“Autocontours: A New Dynamic Specification Test”,
Department of Economics, Oregon State University, November 2006.
“Autocontours: A New Dynamic Specification Test”,
Department of Economics, Rensselaer Polytechnic Institute, February 2007.
“Measurement
of the Standard of Living based on the Theory of Functionings:
Southern California as a Natural Laboratory”, Department of Mechanical
Engineering, Duke University, April 2007.
Faculty
opponent for Ph.D. thesis of C. Amado, “Econometric Modeling of
Volatility and Durations”, Stockholm School of Economics, June 2009.
“Forecasting with interval and histogram-valued
data”, McGill University, Canada, December 2009.
“Forecasting with interval and histogram-valued
data”, University of California, Santa Barbara, February 2010.
“Forecasting with interval and histogram-valued
data”, University of California, Riverside, February 2010.
“Economic
Forecasting”, Universidad Carlos III, Madrid, Spain, May 2010.
“Evaluation of Multivariate Predictive Densities
based on the Autocontour Approach”, University
of California, Davis, April 2011.
“Evaluation of Multivariate Predictive Densities
based on the Autocontour Approach”, Universidad
Carlos III, Madrid, Spain, May 2011.
“Evaluation of Multivariate Predictive Densities
based on the Autocontour Approach”, Universidad
Autonoma, Madrid, Spain, May 2011.
“Advances in Economic Forecasting”,
Universidad Autonoma, Madrid, Spain, May 2011.
Referee
Reviewer for the National Science
Foundation, USA.
Panelist for
the National Science Foundation, Graduate Fellowships, 2011
Referee for
economics, business, and statistics journals:
Econometrica, Journal
of Econometrics, Journal of Business and Economic Statistics, International
Journal of Forecasting, Review of Economic Studies, Journal of Applied
Econometrics, Econometric Theory, International
Economic Review, Studies on Nonlinear
Dynamics and Econometrics, International Review of Economics & Finance,
Journal of Productivity Analysis, Econometrics Reviews, Journal of Quantitative
Economics, Journal of Empirical Finance, Communications in Statistics, Journal
of Nonparametric Statistics, Journal of Time Series Analysis, Journal of
Statistical Planning and Inference, Empirical Economics, Macroeconomic
Dynamics, The Manchester School, Revista de Econometria (Sociedade Brasileira de Econometria),
Economic Inquiry, Journal of Money, Credit and Banking, Global Business and
Economics Review, The Econometrics Journal, Agricultural Economics, Journal of
Statistical Computation and Simulation, Journal of Agricultural and Resource
Economics, Journal of Financial Econometrics, Journal of Forecasting, Applied Stochastic
Models in Business and Industry, Statistical Analysis and Data Mining, Neurocomputing, European Journal of Operations Research,
Computational Statistics and Data Analysis.
Conference organization
International Symposium in Forecasting, San Diego 2010
All-UC California Econometrics Conference, 2009
NSF-sponsored “Quality of Life: Conceptual Issues and
Measurement”, UCR 2006
Chancellor’s Distinguished Lecture Series, UCR
2004-2007
UCSD-UCR Joint Conference “Time Series Analysis of High
Frequency Financial Data”, 1997
Other activities
Member of the Editorial Board of the Global Business and Economics Review, 1997-2004, sponsored by the
Business and Economics Society International.
Consultant for the hedge fund industry and the mortgage industry.
Associate
Editor, International Journal of Forecasting, 2011-present
Director,
International Institute of Forecasters, 2011-present
Campus and systemwide
administration
Member of the Formal Review Committee for the University of California
(systemwide) of the Education Abroad Program in
Spain. 2001/02
Member of the Education Abroad Program (EAP) Selection Committee for
the UC program in Spain. University of
California, Riverside. 1992-1993, 1996-2003.
Assessment for the Universitywide Director of
EAP on the development of a new UC EAP at the University of Utrecht, Holland.
Member of the Search Committee for Dean of the Anderson Graduate School
of Management, University of California, Riverside, 2002/03, and 2006/07.
Co-Chair of
the UCR Joint Senate and Administration Task Force on Department Chairs
2008-2009.
Member and
vice-chair (2010-2011) of the UCR Graduate Council, 2009-2012