Aurelio Vasquez

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

Rio Hondo No. 1

Col. Tizapan-San Angel, 01000

Mexico

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

SCHOLARLY PAPERS

6

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31

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9

Scholarly Papers (6)

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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
Diego Amaya, Peter Christoffersen, Kris Jacobs and Aurelio Vasquez
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 2,984 (3,876)
Citation 32

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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 1,939 (8,021)
Citation 7

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

3.

Default Risk and Option Returns

Number of pages: 65 Posted: 01 Oct 2015 Last Revised: 29 Dec 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 276 (114,797)

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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: 28 Dec 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
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Citation 2

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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 Last Revised: 24 Dec 2019
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 192 (163,871)

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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: 59 Posted: 05 Feb 2019 Last Revised: 05 Feb 2020
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 73 (333,954)

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