Marius del Giudice Rodriguez
Personal Details
First Name: | Marius |
Middle Name: | del Giudice |
Last Name: | Rodriguez |
Suffix: | |
RePEc Short-ID: | pro710 |
http://www.frbsf.org/economics/economists/staff.php?mrodriguez | |
Terminal Degree: | 2006 Department of Economics; University of California-San Diego (UCSD) (from RePEc Genealogy) |
Affiliation
Economic Research
Federal Reserve Bank of San Francisco
San Francisco, California (United States)http://www.frbsf.org/economics/
: (415) 974-3190
(415) 974-2168
P.O. Box 7702, San Francisco, CA 94120-7702
RePEc:edi:erfsfus (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Ian Dew-Becker & Stefano Giglio & Anh Le & Marius Rodriguez, 2015.
"The Price of Variance Risk,"
NBER Working Papers
21182, National Bureau of Economic Research, Inc.
- Dew-Becker, Ian & Giglio, Stefano & Le, Anh & Rodriguez, Marius, 2017. "The price of variance risk," Journal of Financial Economics, Elsevier, vol. 123(2), pages 225-250.
- Rodriguez, Marius del Giudice & Wu, Thomas, 2013. "The Effect of Capital Controls and Prudential FX Measures on Options-Implied Exchange Rate Stability," Working Paper Series 2013-20, Federal Reserve Bank of San Francisco.
- Sirio Aramonte & Marius del Giudice Rodriguez & Jason J. Wu, 2011.
"Dynamic factor value-at-risk for large, heteroskedastic portfolios,"
Finance and Economics Discussion Series
2011-19, Board of Governors of the Federal Reserve System (U.S.).
- Aramonte, Sirio & Giudice Rodriguez, Marius del & Wu, Jason, 2013. "Dynamic factor Value-at-Risk for large heteroskedastic portfolios," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4299-4309.
- Aiolfi, Marco & Rodriguez, Marius & Timmermann, Allan G, 2010.
"Understanding Analysts' Earnings Expectations: Biases, Nonlinearities and Predictability,"
CEPR Discussion Papers
7656, C.E.P.R. Discussion Papers.
- Marco Aiolfi & Marius Rodriguez & Allan Timmermann, 2010. "Understanding Analysts' Earnings Expectations: Biases, Nonlinearities, and Predictability," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 8(3), pages 305-334, Summer.
Articles
- Faquiryan, Hamed & Rodriguez, Marius del Giudice, 2014. "Bank counterparties and collateral usage," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.
- Marco Aiolfi & Marius Rodriguez & Allan Timmermann, 2010.
"Understanding Analysts' Earnings Expectations: Biases, Nonlinearities, and Predictability,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 8(3), pages 305-334, Summer.
- Aiolfi, Marco & Rodriguez, Marius & Timmermann, Allan G, 2010. "Understanding Analysts' Earnings Expectations: Biases, Nonlinearities and Predictability," CEPR Discussion Papers 7656, C.E.P.R. Discussion Papers.
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Ian Dew-Becker & Stefano Giglio & Anh Le & Marius Rodriguez, 2015.
"The Price of Variance Risk,"
NBER Working Papers
21182, National Bureau of Economic Research, Inc.
- Dew-Becker, Ian & Giglio, Stefano & Le, Anh & Rodriguez, Marius, 2017. "The price of variance risk," Journal of Financial Economics, Elsevier, vol. 123(2), pages 225-250.
Cited by:
- Hollstein, Fabian & Prokopczuk, Marcel & Wese Simen, Chardin, 2017. "The Term Structure of Systematic and Idiosyncratic Risk," Hannover Economic Papers (HEP) dp-618, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Stefano Giglio & Ian Dew-Becker & David Berger, 2017.
"Uncertainty Shocks as Second-Moment News Shocks,"
2017 Meeting Papers
403, Society for Economic Dynamics.
- David Berger & Ian Dew-Becker & Stefano Giglio, 2017. "Uncertainty Shocks as Second-Moment News Shocks," NBER Working Papers 23796, National Bureau of Economic Research, Inc.
- Nicholas Bloom & Ian Wright & Jose Maria Barrero, 2016.
"Short- and Long-run Uncertainty,"
2016 Meeting Papers
1576, Society for Economic Dynamics.
- Jose Maria Barrero & Nicholas Bloom & Ian Wright, 2017. "Short and Long Run Uncertainty," NBER Working Papers 23676, National Bureau of Economic Research, Inc.
- Davide Pettenuzzo & Zhiyuan Pan & Yudong Wang, 2017. "Forecasting Stock Returns: A Predictor-Constrained Approach," Working Papers 116, Brandeis University, Department of Economics and International Businesss School.
- Backus, David K. & Boyarchenko, Nina & Chernov, Mikhail, 2016.
"Term structures of asset prices and returns,"
Staff Reports
774, Federal Reserve Bank of New York.
- David Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term Structures of Asset Prices and Returns," NBER Working Papers 22162, National Bureau of Economic Research, Inc.
- Backus, David & Boyarchenko, Nina & Chernov, Mikhail, 2016. "Term structures of asset prices and returns," CEPR Discussion Papers 11227, C.E.P.R. Discussion Papers.
- Davide Pettenuzzo & Zhiyuan Pan & Yudong Wang, 2017. "Forecasting Stock Returns: A Predictor-Constrained Approach," Working Papers 116R, Brandeis University, Department of Economics and International Businesss School.
- Irina Zviadadze, 2017. "Term Structure of Risk on Macrofinance Models," 2017 Meeting Papers 965, Society for Economic Dynamics.
- Vogt, Erik, 2014. "Option-implied term structures," Staff Reports 706, Federal Reserve Bank of New York, revised 01 Jan 2016.
- Petar Sabtchevsky & Paul Whelan & Andrea Vedolin & Philippe Mueller, 2017. "Variance Risk Premia on Stocks and Bonds," 2017 Meeting Papers 1161, Society for Economic Dynamics.
- Thomas Eisenbach & Martin Schmalz & Marianne Andries, 2015. "Asset Pricing with Horizon-Dependent Risk Aversion," 2015 Meeting Papers 1069, Society for Economic Dynamics.
- Eraker, Bjørn & Wu, Yue, 2017. "Explaining the negative returns to volatility claims: An equilibrium approach," Journal of Financial Economics, Elsevier, vol. 125(1), pages 72-98.
- van Binsbergen, Jules H. & Koijen, Ralph S.J., 2017. "The term structure of returns: Facts and theory," Journal of Financial Economics, Elsevier, vol. 124(1), pages 1-21.
- Jules H. van Binsbergen & Ralph S.J. Koijen, 2015.
"The Term Structure of Returns: Facts and Theory,"
NBER Working Papers
21234, National Bureau of Economic Research, Inc.
- Koijen, Ralph & van Binsbergen, Jules H., 2015. "The Term Structure of Returns: Facts and Theory," CEPR Discussion Papers 10633, C.E.P.R. Discussion Papers.
- Andries, Marianne & Eisenbach, Thomas M. & Schmalz, Martin C., 2014. "Horizon-dependent risk aversion and the timing and pricing of uncertainty," Staff Reports 703, Federal Reserve Bank of New York, revised 01 Mar 2017.
- Peter Van Tassel, 2017. "Global Variance Term Premia and Intermediary Risk Appetite," 2017 Meeting Papers 149, Society for Economic Dynamics.
- Stefano Giglio & Ian Dew-Becker & David Berger, 2016. "Contractionary Volatility or Volatile Contractions?," 2016 Meeting Papers 673, Society for Economic Dynamics.
- Andries, Marianne & Eisenbach, Thomas M. & Schmalz, Martin C. & Wang, Yichuan, 2015. "The term structure of the price of variance risk," Staff Reports 736, Federal Reserve Bank of New York.
- Van Tassel, Peter & Vogt, Erik, 2016. "Global variance term premia and intermediary risk appetite," Staff Reports 789, Federal Reserve Bank of New York.
- Stefano Giglio & Bryan Kelly, 2016. "Excess Volatility: Beyond Discount Rates," NBER Working Papers 22045, National Bureau of Economic Research, Inc.
- Ole Wilms & Karl Schmedders & Walt Pohl, 2016. "Higher-Order Effects in Asset-Pricing Models with Long-Run Risks," 2016 Meeting Papers 306, Society for Economic Dynamics.
- Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante, 3005. "Variance swap payoffs, risk premia and extreme market conditions," CREATES Research Papers 2017-21, Department of Economics and Business Economics, Aarhus University.
- Rodriguez, Marius del Giudice & Wu, Thomas, 2013.
"The Effect of Capital Controls and Prudential FX Measures on Options-Implied Exchange Rate Stability,"
Working Paper Series
2013-20, Federal Reserve Bank of San Francisco.
Cited by:
- Valentina Bruno & Ilhyock Shim & Hyun Song Shin, 2015.
"Comparative assessment of macroprudential policies,"
BIS Working Papers
502, Bank for International Settlements.
- Bruno, Valentina & Shim, Ilhyock & Shin, Hyun Song, 2017. "Comparative assessment of macroprudential policies," Journal of Financial Stability, Elsevier, vol. 28(C), pages 183-202.
- Tobal Martín, 2017. "Prudential Regulation, Currency Mismatches and Exchange Rates in Latin America and the Caribbean," Working Papers 2017-21, Banco de México.
- Valentina Bruno & Ilhyock Shim & Hyun Song Shin, 2015.
"Comparative assessment of macroprudential policies,"
BIS Working Papers
502, Bank for International Settlements.
- Sirio Aramonte & Marius del Giudice Rodriguez & Jason J. Wu, 2011.
"Dynamic factor value-at-risk for large, heteroskedastic portfolios,"
Finance and Economics Discussion Series
2011-19, Board of Governors of the Federal Reserve System (U.S.).
- Aramonte, Sirio & Giudice Rodriguez, Marius del & Wu, Jason, 2013. "Dynamic factor Value-at-Risk for large heteroskedastic portfolios," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4299-4309.
Cited by:
- O’Brien, James & Szerszeń, Paweł J., 2017. "An evaluation of bank measures for market risk before, during and after the financial crisis," Journal of Banking & Finance, Elsevier, vol. 80(C), pages 215-234.
- O'Brien, James M. & Szerszen, Pawel J., 2014. "An Evaluation of Bank VaR Measures for Market Risk During and Before the Financial Crisis," Finance and Economics Discussion Series 2014-21, Board of Governors of the Federal Reserve System (U.S.).
- Barigozzi, Matteo & Hallin, Marc, 2017.
"Generalized dynamic factor models and volatilities: estimation and forecasting,"
Journal of Econometrics,
Elsevier, vol. 201(2), pages 307-321.
- Matteo Barigozzi & Marc Hallin, 2015. "Generalized Dynamic Factor Models and Volatilities: Estimation and Forecasting," Working Papers ECARES ECARES 2015-22, ULB -- Universite Libre de Bruxelles.
- Barigozzi, Matteo & Hallin, Marc & Soccorsi, Stefano, 2018. "Identification of global and local shocks in international financial markets via general dynamic factor models," LSE Research Online Documents on Economics 86932, London School of Economics and Political Science, LSE Library.
- Anthony H. Tu & Cathy Yi-Hsuan Chen, 2016. "What Derives the Bond Portfolio Value-at-Risk: Information Roles of Macroeconomic and Financial Stress Factors," SFB 649 Discussion Papers SFB649DP2016-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2017. "Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models," Working Papers ECARES ECARES 2017-10, ULB -- Universite Libre de Bruxelles.
- Aiolfi, Marco & Rodriguez, Marius & Timmermann, Allan G, 2010.
"Understanding Analysts' Earnings Expectations: Biases, Nonlinearities and Predictability,"
CEPR Discussion Papers
7656, C.E.P.R. Discussion Papers.
- Marco Aiolfi & Marius Rodriguez & Allan Timmermann, 2010. "Understanding Analysts' Earnings Expectations: Biases, Nonlinearities, and Predictability," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 8(3), pages 305-334, Summer.
Cited by:
- Baghestani, Hamid & Khallaf, Ashraf, 2012. "Predictions of growth in U.S. corporate profits: Asymmetric vs. symmetric loss," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 222-229.
Articles
- Marco Aiolfi & Marius Rodriguez & Allan Timmermann, 2010.
"Understanding Analysts' Earnings Expectations: Biases, Nonlinearities, and Predictability,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 8(3), pages 305-334, Summer.
See citations under working paper version above.Sorry, no citations of articles recorded.
- Aiolfi, Marco & Rodriguez, Marius & Timmermann, Allan G, 2010. "Understanding Analysts' Earnings Expectations: Biases, Nonlinearities and Predictability," CEPR Discussion Papers 7656, C.E.P.R. Discussion Papers.
More information
Research fields, statistics, top rankings, if available.Statistics
Access and download statistics for all items
Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-RMG: Risk Management (3) 2011-04-30 2013-08-31 2015-05-22. Author is listed
- NEP-BAN: Banking (1) 2011-04-30. Author is listed
- NEP-CBA: Central Banking (1) 2013-08-31. Author is listed
- NEP-CMP: Computational Economics (1) 2011-04-30. Author is listed
- NEP-ECM: Econometrics (1) 2011-04-30. Author is listed
- NEP-IFN: International Finance (1) 2013-08-31. Author is listed
- NEP-MAC: Macroeconomics (1) 2015-05-22. Author is listed
- NEP-MON: Monetary Economics (1) 2013-08-31. Author is listed
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