Marcela Valenzuela

University of Chile

Pío Nono Nº1, Providencia

Santiago, R. Metropolitana 7520421

Chile

SCHOLARLY PAPERS

9

DOWNLOADS
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in Total Papers Downloads

2,890

CITATIONS
Rank 36,020

SSRN RANKINGS

Top 36,020

in Total Papers Citations

5

Scholarly Papers (9)

1.

Learning from History: Volatility and Financial Crises

Review of Financial Studies, Forthcoming, FEDS Working Paper No. 2016-093
Number of pages: 47 Posted: 21 Nov 2016
Jon Danielsson, Marcela Valenzuela and Ilknur Zer
London School of Economics - Systemic Risk Centre, University of Chile and Board of Governors of the Federal Reserve System
Downloads 1,364 (12,704)

Abstract:

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Stock market volatility, Financial crises predictability, Volatility paradox, Minsky hypothesis, Financial instability, Risk-taking

2.

Model Risk of Risk Models

Journal of Financial Stability, Forthcoming, FEDS Working Paper No. 2014-34
Number of pages: 33 Posted: 18 Apr 2014 Last Revised: 01 Jun 2017
Jon Danielsson, Kevin R. James, Marcela Valenzuela and Ilknur Zer
London School of Economics - Systemic Risk Centre, London School of Economics & Political Science (LSE) - Systemic Risk Centre, University of Chile and Board of Governors of the Federal Reserve System
Downloads 1,017 (19,805)
Citation 3

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Value-at-Risk, systemic risk, CoVaR, MES, financial stability, Basel III

3.

Can We Prove a Bank Guilty of Creating Systemic Risk? A Minority Report

Journal of Money, Credit, and Banking, Forthcoming
Number of pages: 27 Posted: 19 Nov 2015 Last Revised: 16 Feb 2016
Jon Danielsson, Kevin R. James, Marcela Valenzuela and Ilknur Zer
London School of Economics - Systemic Risk Centre, London School of Economics & Political Science (LSE) - Systemic Risk Centre, University of Chile and Board of Governors of the Federal Reserve System
Downloads 217 (133,593)

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Systemic risk, macroprudential policy, financial stability, risk management

4.

Implied Correlation and Market Returns

Number of pages: 45 Posted: 29 Feb 2016
Alejandro Bernales and Marcela Valenzuela
Universidad de Chile and University of Chile
Downloads 124 (216,415)

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5.

Relative Liquidity and Future Volatility

Journal of Financial Markets, Forthcoming, FEDS Working Paper 2014-45
Number of pages: 37 Posted: 29 Jun 2014 Last Revised: 28 Feb 2015
University of Chile, Board of Governors of the Federal Reserve System, London School of Economics & Political Science (LSE) - Department of Statistics and Vienna University of Technology
Downloads 82 (286,386)

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order-driven markets, limit order book distribution, volatility predictability, liquidity

6.

Competition, Signaling and Non-Walking Through the Book: Effects on Order Choice

Journal of Banking and Finance, Forthcoming
Number of pages: 40 Posted: 02 Aug 2012 Last Revised: 04 May 2013
Marcela Valenzuela and Ilknur Zer
University of Chile and Board of Governors of the Federal Reserve System
Downloads 58 (345,417)
Citation 2

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Limit Order Book, Order Aggressiveness, Order-Driven Markets, Walking through the Book, Competition, Signaling

7.

A Tale of One Exchange and Two Order Books: Effects of Fragmentation in the Absence of Competition

SAFE Working Paper No. 234
Number of pages: 57 Posted: 05 Nov 2018
Universidad de Chile, University of Chile, Goethe University Frankfurt - Department of Finance, University of Chile and University of Vienna - Department of Finance
Downloads 26 (469,960)

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Fragmentation, Competition, Liquidity, Price Efficiency

8.

The Efficient IPO Market Hypothesis: Theory and Evidence

Number of pages: 49
Kevin R. James and Marcela Valenzuela
London School of Economics & Political Science (LSE) - Systemic Risk Centre and University of Chile
Downloads 2

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Initial Public Offerings, Underwriters, IPO Underpricing, Efficient Markets Hypothesis

9.

Low Risk as a Predictor of Financial Crises

FED Notes No. 2018-05-09
Posted: 06 Jun 2018
Jon Danielsson, Marcela Valenzuela and Ilknur Zer
London School of Economics - Systemic Risk Centre, University of Chile and Board of Governors of the Federal Reserve System

Abstract:

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