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Marius D. Rodriguez

Current Research Topics
  • Financial Derivatives, FX Markets
  • CMBS Pricing
  • Economist

    Board of Governors of the Federal Reserve System

    2014 - present
  • Economist

    Federal Reserve Bank of San Francisco

    2011 - 2014
  • Economist

    Board of Governors of the Federal Reserve System

    2006 - 2011
  • Rodriguez, Marius, and Emre Yoldas (2016). "Drivers of Inflation Compensation: Evidence from Inflation Swaps in Advanced Economies," IFDP Notes 2016-12-30. Board of Governors of the Federal Reserve System (U.S.).
  • Dew-Becker, Ian, Stefano Giglio, Anh Le, and Marius Rodriguez (2015). "The Price of Variance Risk," NBER Working Papers 21182. National Bureau of Economic Research, Inc.
  • Aramonte, Sirio, Marius del Giudice Rodriguez, and Jason Wu (2013). "Dynamic Factor Value-at-Risk for Large Heteroskedastic Portfolios," Journal of Banking and Finance, vol. 37, no. 11, pp. 4299-4309.
  • Rodriguez, Marius, M. Aiolfi, and A. Timmermann (2013). "Bias and Uncertainty in Analyst Earnings Expectations at Different Forecast Horizons," in Essays in Nonlinear Time Series Econometrics. England: Oxford University Press.
  • Aramonte, Sirio, Marius del Giudice Rodriguez, and Jason J. Wu (2011). "Dynamic Factor Value-at-Risk for Large, Heteroskedastic Portfolios," Finance and Economics Discussion Series 2011-19. Board of Governors of the Federal Reserve System (U.S.).
  • Aiolfi, Marco, Marius Rodriguez, and Allan G. Timmermann (2010). "Understanding Analysts' Earnings Expectations: Biases, Nonlinearities and Predictability," CEPR Discussion Papers 7656. Centre for Economic Policy Research.
  • Aiolfi, Marco, Marius Rodriguez, and Allan Timmermann (2010). "Understanding Analysts' Earnings Expectations: Biases, Nonlinearities, and Predictability," Journal of Financial Econometrics, vol. 8, no. 3, pp. 305-334.
  • Rodriguez, Marius del Giudice (2006). "Essays of Financial Analysts' Forecasts," Ph.D. dissertation, University of California, San Diego.
Referee
  • Journal of Financial Markets
  • Journal of Economic Dynamics and Control
  • Journal of Risk
  • Journal of Financial Econometrics
  • Journal of Risk Management in Financial Institutions
  • Mathematics of Operations Research
  • International Journal of Forecasting
  • Review of Derivatives Research
  • Journal of Empirical Finance
Professional Affiliation
  • American Finance Association
  • Econometric Society
Last update: May 19, 2017