Research

Papers and projects. Several ship with interactive notebooks: adjust the parameters in the browser, open the analysis in Colab, or download the notebook.

• Liquidity Owls: A High-Frequency Estimation of Integrated Variance

  July 2026

  I revisit the problem of measuring the integrated variance of a full trading day when high-frequency data exist only for the active trading session. Following Hansen and Lunde (2005), I combine the squared overnight return with a Newey–West-corrected realized variance of the open-to-close period, with weights chosen to minimize the mean-squared error among conditionally unbiased estimators. I apply the estimator to one-second best bid and offer quotations for the 30 components of the Dow Jones Industrial Average and three index ETFs over 2,034 trading days from May 2018 to June 2026. The qualitative structure of the original study survives: intraday measures dominate, yet the overnight return always retains informative weight.

  • high-frequency data
  • realized variance
  • integrated variance
  • microstructure noise
  • overnight returns
  • Newey–West correction

• A Variational Bayesian Approach to Inflation in Emerging Markets

  June 2024

  This paper develops a novel framework to identify inflation regimes, their dynamics, persistence, and underlying drivers, across nine Latin American economies over 2008–2023. A Multivariate Gaussian Hidden Markov Model (MGHMM), estimated via variational Bayesian inference, recovers the regimes, while a Mahalanobis distance-based measure quantifies the contribution of five driver categories: monetary policy, international factors, demand-pull factors, expectations, and cost-push factors.

  • inflation regimes
  • Hidden Markov Models
  • variational Bayes
  • Mahalanobis distance
  • emerging markets
  • Latin America

• The Transmission of Monetary Policy in Costa Rica, 2011–2022

  January 2024

  VAR-based structural analysis of how the monetary policy rate transmitted to prices and output during a period of institutional reform at the Central Bank of Costa Rica — including adoption of the Monetary Policy Rate and a transition to flexible exchange rate regimes.

  • monetary policy transmission
  • structural VAR
  • impulse response functions
  • inflation expectations
  • Costa Rica

• Inflation Regimes in Latin America: Persistence and Dynamics

  November 2023

  Uses a Hidden Markov Model and Mahalanobis distance-based influence measures to characterize inflationary regimes in Argentina, Brazil, Chile, Colombia, Costa Rica, and Mexico over 2020–2022, identifying which macroeconomic forces drive transitions between low- and high-inflation states in each country.

  • inflation
  • regime switching
  • Hidden Markov Models
  • Mahalanobis distance
  • Latin America