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Marius Rodriguez

Current Research Topics
  • Financial Derivatives, Asset Pricing
  • Forecasting
  • 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
  • Cascaldi-Garcia, Danilo, Deepa Datta, Thiago Ferreira, Olesya Grishchenko, Mohammad R. Jahan-Parvar, Francesca Loria, Sai Ma, Marius Rodriguez, Juan M. Londono, John Rogers, Cisil Sarisoy, and Ilknur Zer (2020). "What is Certain about Uncertainty?" International Finance Discussion Papers 1294. Board of Governors of the Federal Reserve System (U.S.)
  • Curcuru, Stephanie E., Steven B. Kamin, Canlin Li, and Marius Rodriguez (2018). "International Spillovers of Monetary Policy: Conventional Policy vs. Quantitative Easing," International Finance Discussion Papers 1234. Board of Governors of the Federal Reserve System (U.S.).
  • Datta, Deepa, Juan M. Londono, Bo Sun, Daniel Beltran, Thiago Ferreira, Matteo Iacoviello, Mohammad R. Jahan-Parvar, Canlin Li, Marius Rodriguez, and John Rogers (2017). "Taxonomy of Global Risk, Uncertainty, and Volatility Measures," International Finance Discussion Papers 1216. Board of Governors of the Federal Reserve System (U.S.).
  • Li, Canlin, Andrew Meldrum, and Marius Rodriguez (2017). "Robustness of Long-Maturity Term Premium Estimates," FEDS Notes 2017-04-03. Board of Governors of the Federal Reserve System (U.S.).
  • Dew-Becker, Ian, Stefano Giglio, Anh Le, and Marius Rodriguez (2017). "The Price of Variance Risk," Journal of Financial Economics, vol. 123, no. 2, pp. 225–250.
  • 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 Paper 21182. National Bureau of Economic Research.
  • 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: January 4, 2021