Marius Rodriguez

Board of Governors of the Federal Reserve System

Principal Economist

20th St. and Constitution Ave.

Washington, DC 20551

United States

SCHOLARLY PAPERS

6

DOWNLOADS

696

CITATIONS

1

Scholarly Papers (6)

1.
Downloads 359 ( 80,665)
Citation 1

The Price of Variance Risk

Chicago Booth Research Paper No. 15-31, Fama-Miller Working Paper
Number of pages: 74 Posted: 26 Jul 2014 Last Revised: 09 Oct 2015
Ian Dew-Becker, Stefano Giglio, Anh Le and Marius Rodriguez
Kellogg School of Management - Department of Finance, Yale School of Management, Penn State University Smeal College of Business and Board of Governors of the Federal Reserve System
Downloads 343 (84,425)
Citation 1

Abstract:

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variance swaps, volatility pricing, VIX, asset pricing, disasters

The Price of Variance Risk

NBER Working Paper No. w21182
Number of pages: 74 Posted: 18 May 2015
Ian Dew-Becker, Stefano Giglio, Anh Le and Marius Rodriguez
Kellogg School of Management - Department of Finance, Yale School of Management, Penn State University Smeal College of Business and Board of Governors of the Federal Reserve System
Downloads 16 (552,381)
Citation 1

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2.

Taxonomy of Global Risk, Uncertainty, and Volatility Measures

FRB International Finance Discussion Paper No. 1216
Number of pages: 49 Posted: 26 Nov 2017
Board of Governors of the Federal Reserve System, Federal Reserve Board of Governors, Board of Governors of the Federal Reserve System - Division of International Finance, Federal Reserve Board, Board of Governors of the Federal Reserve System, Federal Reserve Board - Trade and Financial Studies, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System - Trade and Financial Studies Section
Downloads 131 (213,325)

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Risk, Uncertainty, Volatility, Monetary policy, Geopolitical risk, Equities, Interest rates, Exchange rates, Commodities, Inflation, Variance risk premium

3.

Dynamic Factor Value-at-Risk for Large Heteroskedastic Portfolios

FEDS Working Paper No. 2011-19
Number of pages: 35 Posted: 20 May 2011 Last Revised: 18 Nov 2012
Sirio Aramonte, Marius Rodriguez and Jason Wu
Bank for International Settlements (BIS), Board of Governors of the Federal Reserve System and Hong Kong Monetary Authority
Downloads 124 (222,469)

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Risk Management, Value-at-Risk, Dynamic Factor Models

4.

The Effect of Capital Controls and Prudential FX Measures on Options-Implied Exchange Rate Stability

Number of pages: 48 Posted: 09 Apr 2013
Marius Rodriguez and Thomas Wu
Board of Governors of the Federal Reserve System and University of California, Santa Cruz - Department of Economics
Downloads 51 (376,410)

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Exchange Rates, Volatility, Crash and Tail Risk, Currency Options, Capital Controls, Prudential Measures

5.

International Spillovers of Monetary Policy: Conventional Policy vs. Quantitative Easing

FRB International Finance Discussion Paper No. 1234
Number of pages: 49 Posted: 23 Aug 2018 Last Revised: 21 Feb 2019
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 26 (476,539)

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Monetary policy, International spillovers, Term premium

6.

Understanding Analysts' Earnings Expectations: Biases, Nonlinearities and Predictability

CEPR Discussion Paper No. DP7656
Number of pages: 40 Posted: 08 Feb 2010
Marco Aiolfi, Marius Rodriguez and Allan Timmermann
QMA, Board of Governors of the Federal Reserve System and UCSD
Downloads 5 (597,689)
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analysts' earnings forecasts, mixture model, predictability of forecast revisions