“Evaluating Alternative Methods for Testing Asset Pricing Models with Historical Data” (with M. Lozano), Journal of Empirical Finance, Vol. 18, 2011, 136-146.

 “The Volatility of Consumption-Based Stochastic Discount Factors and Economic Cycles” (with B. Nieto), Journal of Banking and Finance, Vol. 35, 2011, 2197-2216.

“The Cross-Section of Expected Returns with MIDAS Betas” (with M. González and J. Nave), Journal of Financial and Quantitative Analysis, Vol. 47, 2012, 115-135.

“Volatility Bounds, Size, and Real Activity Prediction” (with B. Nieto), Review of Finance, Vol. 18, 2014, 373-415.

“Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns” (with B. Nieto and A. Novales), Quarterly Journal of Finance, Vol. 5, 2015, 1-41.

“The Cross-Sectional Variation of Volatility Risk Premia” (with A. González-Urteaga), Journal of Financial Economics, Vol. 119, 2016, 353-370.

“Teaching Quality and Academic Research” (with R. Rodríguez), International Review of Economics Education, Vol. 23, 2016, 10-27.

“The Joint Cross-Sectional Variation of Equity Returns and Volatilities” (with A. González-Urteaga), Journal of Banking and Finance, Vol. 75, 2017, 17-34.

“Estimating the Elasticity of Intertemporal Substitution with Leverage” (with A. González-Urteaga), North American Journal of Economics and Finance, Vol. 41, 2017, 18-31.​