CURRICULUM VITAE November 2010

Transcripción

1 CURRICULUM VITAE November 2010 Name Current Position Address Antonio Rubia Associate Professor Department of Financial Economics University of Alicante Departamento de Economía Financiera Facultad de Económicas Campus de San Vicente del Raspeig University of Alicante Alicante, CP 03080, Spain Telephone (Office) (+34) /Webpage Education Ph.D. (Management), University of Alicante, 2001 M.Phil (Economics and Business Administration), University of Alicante, 1996 Specialization Financial Econometrics, Empirical Finance. Research Stays as Visiting Scholar in Other Universities Anderson School of Management, University of California, Los Angeles (UCLA), USA. 01/09/ / Department of Economics and Quantitative Methods, University of Westminster, London, UK. First stay: 01/07/ /08/2005 Second stay: 01/07/ /07/2007 Rady School of Management, University of California, San Diego (UCSD), USA. First stay: 01/11/ / Second stay: 0/01/ /02/2008 1

2 REFEREED PUBLICATIONS Rodrigues, P.; Rubia, A. Testing for Structural Breaks in Variance with Additive Outliers and Measurement Errors, forthcoming Oxford Bulleting of Economics and Statistics, Niguez, T.M., Perote, J., Rubia, A. (2010) Are the high-order moments of the assets returns distribution forecastable? Journal of Current Issues in Finance, Business and Economics, 2(4), Hassler U., Rodrigues P., Rubia A. (2009) Testing for the General Fractional Unit Root Hypothesis in the Time Domain, Econometric Theory, 25(3), Rodrigues, P.; Rubia, A. (2008) A Note on Testing for Nonstationarity in Autoregressive Processes with Level Dependent Conditional Heteroskedasticity. Statistical Papers 49, Rodrigues, P.; Rubia, A. (2007) Testing Causality in Variance under Nonstationarity in Variance, Economics Letters 97, ). Ñiguez, T.; Rubia, A. (2006). Forecasting the Conditional Covariance Matrix of a Portfolio under Long-run Temporal Dependence. Journal of Forecasting 25, Abad, D.; Rubia, A. (2005). Modelos de Estimación de la Probabilidad de Negociación Informada: Una Comparación Metodológica en el Mercado Español, Revista de Economía Financiera 7, Rodrigues, P.; Rubia, A. (2005) The Performance of Unit Root Tests under Level-dependent Heteroskedasticity. Economics Letters 89, Abad, D.; Rubia, A. (2003). Actividad, Volatilidad y Rendimiento en el Sistema Fixing Español: Una Evaluación Empírica. Moneda y Crédito 217, Acedo, F.; Benito, F.; Falcó, A.; Rubia, A.; Torres, J. (2001) A Computational Approach to the Fundamental Theorem of Asset Pricing in a Single-Period Market. Computational Economics 3, Forner C.; Balboa M.; Pastor M.; Rubia, A. (1998) Contraste Empírico del Modelo de Valoración de Opciones Black-Scholes en el Mercado Español. Revista Europea de Dirección y Economía de la Empresa 7, CHAPTERS IN BOOKS Rubia, A., Sanchís, L. The Value of Liquidity and Trading Activity in Forecasting Downside Risk, in Applied Financial Econometrics / G. Gregoriu / Palgrave-McMillan, forthcoming

3 Ñiguez, T.M., Perote, J., Rubia A. (2009) Forecasting the Unconditional and Conditional Kurtosis of the Asset Returns Distribution, in Economic Forecasting / Molnar, A.T. / Nova Publishers. Hassler U., Rodrigues P., Rubia A. (2008) A Test for Seasonal Fractional Integration, Proceedings of the XVIII International Conference on Computational Statistics, Vol. II, Chapter 22, Springer Verlag. León, A.; Rubia, A. (2003) Testing for Weekly Seasonal Unit Roots in the Spanish Power Pool, in Modelling Prices in Competitive Electricity Markets / D.W. Bunn (Ed.) / John Wiley & Sons (UK). León, A.; Rubia, A. (2003) Forecasting Time-varying Covariance Matrices in the Intradaily Spot Market of Argentina., in Modelling Prices in Competitive Electricity Markets / D.W. Bunn (Ed.) / John Wiley & Sons (UK). OTHER PUBLICATIONS Rubia, A. (2010) Estimating Multivariate Volatility: An Approach Based on Mixed-Frequency Data. Cuadernos Aragoneses de Economía, 19(1), Balboa, M., López-Espinosa, G.; Rubia, A. (2010) International Accounting Differences and Earnings Smoothing in the Banking Industry, Fundación de Cajas de Ahorros, Working Paper Series N516/2010. Rubia A., (2008) Comments to Strategic Information in the Collective Bargaining: Empirical Evidence for the Spanish Continouos Market, by A.M. Sabater and J. Laffarga, Spanish Journal of Finance and Accounting, 138, Rodrigues, PMM; Rubia, A. (2007) On the Finite Sample Size Distortions in Nonparametric Testing for Variance Constancy. Fundación de Cajas de Ahorros, Working Paper Series N247/2007. Rodrigues, PMM; Rubia, A. (2006) Testing for Structural Breaks in Variance with Additive Outliers and Measurement Errors. Fundación de Cajas de Ahorros, Working Paper Series N204/2006. Rubia, A. (2001) Testing for Weekly Seasonal Unit Roots in Daily Electricity Demand: Evidence from Deregulated Markets. Instituto Valenciano de Investigaciones Económicas, WP-EC PAPERS UNDER REVIEW Long-Horizon Regressions When the Predictor is Slowly Varying (with Roger Moon and Rossen Valkanov). On the Finite Sample Size Distortions in Nonparametric Testing for Variance Constancy (with Paulo Rodrigues). 3

4 International Accounting Differences and Earnings Smoothing in the Banking Industry (with Marina Balboa and Germán López-Espinosa). WORK IN PROGRESS Multi-Period Forecasts of Volatility: Direct, Iterated, and Mixed-Data Approaches, with Eric Ghysels and Rossen Valkanov. A Class of Robust Tests in Augmeted Predictive Regressions, with Paulo Rodrigues. On the Small-sample and Asymptotic Distribution of Reduced-bias Predictive Regressions, with Paulo Rodrigues. On Down-Side Risk Predictability through Predetermined Variables: A Quantile Regression Approach, with Lidia Sanchís-Marco. Revisiting the Earnings Smoothing Hypothesis: Non-linear Behaviours and the Compensation Theory, with Marina Balboa and Germán López-Espinosa. Variance Stability in the Spanish Electricity Pool, with Julián López. PROFESSIONAL AND/OR CREATIVE ACTIVITY Referee Computational Statistics and Data Analysis, Journal of Empirical Finance, International Journal of Forecasting, Econometric Theory. Investigaciones Económicas, Moneda y Crédito, Revista de Economía Aplicada, Revista de Economía Financiera, Revista Española de Contabilidad y Finanzas, Instituto Valenciano de Investigaciones Económicas. Conference and Meetings 18th Foro de Finanzas, Elche, España, th Infiniti Conference on International Finance, Dublin, Ireland, rd Annual Meeting of the European Accounting Association (EAA), Istanbul, Turkey, th Annual Meeting of the European Finance Association (EFA), Bergen, Norway, nd Meeting of Methods in International Finance Network, Barcelona, Spain, EC2 Conference, Faro, Portugal, th Foro de Finanzas, Mallorca, Spain, 2007 Workshop on Persistence in Economic and Financial Time Series, Frankfurt, Germany, st XXI Simposio de Análisis Aplicado, Oviedo, Spain, th Foro de Finanzas, Castellón, Spain,

5 2006 EFMA Meeting, Madrid, Spain, Econometric Study Group Conference, Bristol, UK, st International Conference in Accounting and Finance, Thessaloniki, Greece, Workshop on Microstucture of Financial Markets, Madrid, Spain, XII Foro de Finanzas, Barcelona, Spain, nd OX Metrics User Conference, London, UK, EFMA Meeting, Bassel, Swizterland, Econometric Study Group Conference, Bristol, UK, FMA Meeting, Zurich, Swizterland, th European Conferences of the Econometrics Community (EC2), London, UK, IV Jornadas de Estructura de Tipos de Interés, Cuenca, Spain, XXVII Simposio de Análisis Económico, Salamanca, Spain, X Foro de Finanzas, Sevilla, Spain, XXVI Simposio de Análisis Económico, Alicante, Spain, IX Foro de Finanzas, Pamplona, Spain, I Jornadas sobre Métodos Cuantitativos en Finanzas, Elche, Spain, XVII Jornadas de Economía Industrial, Barcelona, Spain, I Workshop de Derivados sobre la Electricidad, Bolsa de Valencia, Spain, EFMA Annual Meeting, Athens, Greece, FMA Annual Meeting, Edinburgh, UK, VII Foro de Finanzas, Valencia, Spain, XIII Congreso Nacional AEDEM, Logroño, Spain, XII Congreso Nacional AEDEM, Málaga, Spain, Research Seminars Universidad Nova de Lisboa (2010), University of Salamanca (2010), University of Valencia (2010), ICSTE Business School, Lisbon (2009), University of Navarra (2007), University of Murcia (2007), Free University of Brussels (2007), University of the Balearic Islands (2007), University of Murcia (2006), Catholic University of Lovaine, CORE (2005), University of Navarra (2005), University of Murcia (2005), Universidad Complutense de Madrid (2002), University Carlos III of Madrid (2002). Conference Organizer: Multivariate Volatility Models Conference, Faro, Portugal, X Foro de Finanzas, Alicante, Spain, 2003 Scientific and Review Committees XVII Foro de Finanzas, Elche, Spain, th Infinity Coneferences on International Finance, Dublin, Ireland, EC2 Conference, Faro, Portugal, XV Foro de Finanzas, Barcelona, Spain, 2008 XIV Foro de Finanzas, Alicante, Spain, EFMA Meeting, Madrid, Spain, 2006 X Foro de Finanzas, Alicante, Spain,

6 Participation in competitive and public I+D Projects A: Spanish Government Factores determinantes, análisis y aplicaciones en la relación rentabilidad-riesgo, ECO , Ministerio de Educación y Ciencia, Transmisión de información a través de los analistas financieros: asimetría, valoración y sesgos, SEJ , Ministerio de Educación y Ciencia, Intensidad de negociación informada en mercados dirigidos por órdenes, BEC , Ministerio de Ciencia y Tecnología, B: Local Government Factores determinantes, análisis y aplicaciones en la relación rentabilidad-riesgo, ACOMP/2010/067, Conselleria de Educació y Ciencia, Generalitat Valenciana, Analysis on Empirical Aspects of the Spanish and US Stock Markets: Volatility Modelling, Microstructure and Asset Pricing, GVPRE/2008/316, Conselleria de Educació y Ciencia, Generalitat Valenciana, Aplicaciones de opciones reales a la valoración de patentes y proyectos I+D CTIDIA/2002/103, Consellería de Presidencia de la Generalitat Valenciana, C: University of Alicante Finanzas de Mercado y Econometría Financiera, VIGROB-226, University of Alicante, 2009, Finanzas y mercado, VIGROB-056, University of Alicante, Análisis empírico de la asimetría informativa y sus consecuencias en el mercado español, GRJ06-13, University of Alicante, Participation in Private I+D Projects and other Consultory Services Instituto Valenciano de Investigaciones Económica Caja del Mediterráneo Fundación de Estudios Financieros, Instituto Español de Analistas Financieros. 6