FIXED INCOME: How Many Factors Are Really Important in Explaining the Fluctuations of the Yield Curve?
Current version: May 1998
PDF versionThe 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 versionASSET PRICING:The Fama-MacBeth Approach Revisited
Current version: August 1999
PDF versionFOREIGN EXCHANGE ISSUES:The Microstructure of Currency Markets: An Empirical Model of
Intra-day Return and Bid-Ask Spread Behavior
Current version: July 2001
PDF versionPredicting 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)