Aurelio Vasquez

Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration

Rio Hondo No. 1

Col. Tizapan-San Angel, 01000

Mexico

SCHOLARLY PAPERS

6

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CITATIONS
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31

Scholarly Papers (6)

1.

Does Realized Skewness Predict the Cross-Section of Equity Returns?

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 58 Posted: 31 Jul 2011 Last Revised: 10 Mar 2015
Wilfrid Laurier University, University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration
Downloads 2,883 (3,855)
Citation 8

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Realized volatility, skewness, kurtosis, equity markets, cross-section of stock returns

2.

Equity Volatility Term Structures and the Cross-Section of Option Returns

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 53 Posted: 14 Oct 2011 Last Revised: 30 Jan 2016
Aurelio Vasquez
Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration
Downloads 1,850 (8,166)
Citation 3

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Equity Options, Volatility Term Structure, Implied Volatility, Predictability, Cross-Section

3.

Default Risk and Option Returns

Number of pages: 61 Posted: 01 Oct 2015 Last Revised: 20 May 2019
Aurelio Vasquez and Xiao Xiao
Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 224 (135,459)

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Delta-Hedged Option Returns, Default Risk, Variance Risk Premium, Volatility, Capital Structure Model

4.

Volatility Uncertainty and the Cross-Section of Option Returns

Number of pages: 53 Posted: 25 May 2018 Last Revised: 05 Jun 2019
Jie Cao, Aurelio Vasquez, Xiao Xiao and Xintong Zhan
The Chinese University of Hong Kong (CUHK) - CUHK Business School, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 203 (148,728)
Citation 1

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Delta-hedged option returns; volatility estimates; uncertainty of volatility

5.

Common Factors in Equity Option Returns

Number of pages: 51 Posted: 07 Dec 2018
Alex R. Horenstein, Aurelio Vasquez and Xiao Xiao
University of Miami - School of Business Administration - Department of Economics, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 133 (214,168)

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Cross Section of Option Returns, Latent Factors, Rank Estimation

6.

Anomalies in Emerging Markets: The Case of Mexico

Number of pages: 50 Posted: 05 Feb 2019
Polux Diaz Ruiz, Renata Herrerias and Aurelio Vasquez
Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration and Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration
Downloads 37 (434,035)

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cross section of stock returns, anomalies, asset pricing, market efficiency