TOPICS:     FIXED INCOME / ASSET PRICING /  FOREIGN EXCHANGE ISSUES 

FIXED INCOME:


How Many Factors Are Really Important in Explaining the Fluctuations of the Yield Curve?
Current version: May 1998
PDF version
 

The Bond Rating Experience of Sovereign Issuers: An Application of Markov Chain Analysis
Written with my long-time Argentine friend Daniel Eduardo Isidori.
Current version: December 1997
PDF version
 


ASSET PRICING:


The Fama-MacBeth Approach Revisited
Current version: August 1999
PDF version
 


FOREIGN EXCHANGE ISSUES:


The Microstructure of Currency Markets: An Empirical Model of 
Intra-day Return and Bid-Ask Spread Behavior
Current version: July 2001
PDF version
 

Predicting Currency Crises in Emerging Economies
J.P. Morgan Investment Management Research Report
This work was completed while I was working as a summer associate in the
Currency Research Group at JPMIM - New York during the summer of 1999.
(Available upon request)