Guillermo Llorente
(PhD UAM, PhD MIT)
Profesor Titular (Universidad Autónoma de Madrid)
bio
Doctoral degree in Economics from the Universidad Autónoma de Madrid (UAM) and PhD in Economics from the Massachusetts Institute of Technology (MIT). Actually I am at the Finance Department of the UAM, previously I held a position at the Análisis Económico Department also at the UAM. My main research area is in applied financial markets. I have also done some research on econometrics and time series. My publications appeared both in international and national journals ( Review of Financial Studies, Computational Economics, Revista Europea de Dirección y Financiación, Estudios de Economía Aplicada, Información Comercial: revista de economía; several book chapters). I was Associate Editor of the Spanish Review of Financial Economics for six years. Ad-hoc referee for the: International Journal of Forecasting, Investigaciones Económicas, Revista de Economía Aplicada, Economic Modelling, Energy Economics, Revista Europea de Dirección y Economía de la Empresa, European Journal of Finance, Studies in Nonlinear Dynamics and Econometrics.
Publications
Menkveld, A. J., Llorente, G., Kuhle, P., et al. (2023): “Non-Standard Errors”. Journal of Finance. 2023. 79(3): 2339-2390. https://doi.org/10.1111/jofi.13337
Llorente G., Wang J. (2020): Trading and information in futures markets. The Journal of Futures Markets 40(8): 1231-1263.
Hoyo, J. del, Llorente, G., Rivero, C. (2020): A testing procedure for constant parameters in stochastic volatility models. Computational Economics 56(1): 163-186.
Hoyo, J. del, Llorente, G., Rivero, C. (2019): Testing for constant parameters in nonlinear models: A quick procedure with an empirical illustration. Computational Economics 54(1): 113-137.
