Marcela Valenzuela

University of Chile

Pío Nono Nº1, Providencia

Santiago, R. Metropolitana 7520421

Chile

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 14,931

SSRN RANKINGS

Top 14,931

in Total Papers Downloads

3,201

SSRN CITATIONS
Rank 29,638

SSRN RANKINGS

Top 29,638

in Total Papers Citations

4

CROSSREF CITATIONS

17

Scholarly Papers (10)

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 1,473 (11,943)
Citation 1

Abstract:

Loading...

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 1,046 (20,188)
Citation 11

Abstract:

Loading...

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 232 (131,672)
Citation 1

Abstract:

Loading...

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 137 (210,304)
Citation 2

Abstract:

Loading...

5.

The Efficient IPO Market Hypothesis: Theory and Evidence

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 63 Posted: 27 Jan 2019 Last Revised: 25 Jun 2019
Kevin R. James and Marcela Valenzuela
London School of Economics & Political Science (LSE) - Systemic Risk Centre and University of Chile
Downloads 90 (283,667)

Abstract:

Loading...

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

6.

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 84 (296,194)
Citation 1

Abstract:

Loading...

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

7.

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 61 (353,642)

Abstract:

Loading...

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

8.

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 Last Revised: 16 Apr 2019
Universidad de Chile, University of Chile, Goethe University Frankfurt - Department of Finance, University of Chile and University of Vienna - Department of Finance
Downloads 52 (381,503)
Citation 1

Abstract:

Loading...

Fragmentation, Competition, Liquidity, Price Efficiency

9.

Learning and Forecasts about Option Returns through the Volatility Risk Premium

Number of pages: 37 Posted: 27 Feb 2019
Alejandro Bernales, Louisa Chen and Marcela Valenzuela
Universidad de Chile, University of Sussex and University of Chile
Downloads 26 (487,724)
Citation 1

Abstract:

Loading...

Option Returns, Volatility Risk Premium, Bayesian Learning, Predictability, Dynamic Equilibrium Model

10.

Low Risk as a Predictor of Financial Crises

FED Notes No. 2018-05-09
Posted: 06 Jun 2018 Last Revised: 21 Feb 2019
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:

Loading...