Marcela Valenzuela

Pontificia Universidad Católica de Chile

Vicuña Mackenna 4860

Santiago, R. Metropolitana 7520421

Chile

  • Pontificia Universidad Católica de Chile

SCHOLARLY PAPERS

14

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7,209

TOTAL CITATIONS
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Top 14,316

in Total Papers Citations

69

Scholarly Papers (14)

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1.

Learning from History: Volatility and Financial Crises

FEDS Working Paper No. 2016-93, FEDS Working Paper No. 2016-093
Number of pages: 47 Posted: 21 Nov 2016 Last Revised: 03 Mar 2018
Jon Danielsson, Marcela Valenzuela and Ilknur Zer
London School of Economics - Systemic Risk Centre, Pontificia Universidad Católica de Chile and Board of Governors of the Federal Reserve System
Downloads 2,366 (13,199)
Citation 15

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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, Pontificia Universidad Católica de Chile and Board of Governors of the Federal Reserve System
Downloads 1,529 (26,150)
Citation 23

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

3.

Effects of Information Overload on Financial Markets: How Much Is Too Much?

Downloads 560 (89,532)
Citation 6

Effects of Information Overload on Financial Markets: How Much Is Too Much?

Number of pages: 45 Posted: 23 Aug 2021 Last Revised: 04 Jun 2023
Alejandro Bernales, Marcela Valenzuela and Ilknur Zer
Universidad de Chile, Pontificia Universidad Católica de Chile and Board of Governors of the Federal Reserve System
Downloads 560 (102,781)
Citation 6

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Sentiment, dispersion, limited attention, predicting returns

4.

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 Pontificia Universidad Católica de Chile
Downloads 605 (94,468)
Citation 1

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

5.

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, Pontificia Universidad Católica de Chile and Board of Governors of the Federal Reserve System
Downloads 372 (168,891)
Citation 11

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Systemic risk, macroprudential policy, financial stability, risk management

6.

Learning from news, information flow, and financial markets

FEB-RN Research Paper No. 04/2024
Number of pages: 38 Posted: 21 Jun 2024
Alejandro Bernales, Marcela Valenzuela and Ilknur Zer
Universidad de Chile, Pontificia Universidad Católica de Chile and Board of Governors of the Federal Reserve System
Downloads 362 (174,025)

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Information overload, media content, sentiment, limited attention, predicting returns, behavioral biases. JEL classification: G40, G41, G12, G14

7.

Trader Competition in Fragmented Markets: Liquidity Supply versus Picking-off Risk

SAFE Working Paper No. 234
Number of pages: 88 Posted: 05 Nov 2018 Last Revised: 04 Aug 2022
Alejandro Bernales, Nicolás Garrido, Satchit Sagade, Marcela Valenzuela and Christian Westheide
Universidad de Chile, University of Chile, Nasdaq, Inc., Pontificia Universidad Católica de Chile and University of Vienna - Department of Finance
Downloads 337 (188,181)
Citation 8

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Fragmentation, Competition, Liquidity, Price Efficiency, Picking-Off Risk

8.

The Impact of Risk Cycles on Business Cycles: A Historical View

International Finance Discussion Paper No. 1358 , Review of Financial Studies, Forthcoming
Number of pages: 51 Posted: 27 Sep 2022
Jon Danielsson, Marcela Valenzuela and Ilknur Zer
London School of Economics - Systemic Risk Centre, Pontificia Universidad Católica de Chile and Board of Governors of the Federal Reserve System
Downloads 330 (192,523)

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Stock market volatility, Uncertainty, Monetary policy independence, Financial instability, Risk-taking, Global financial cycles

9.

Implied Correlation and Market Returns

Number of pages: 45 Posted: 29 Feb 2016
Alejandro Bernales and Marcela Valenzuela
Universidad de Chile and Pontificia Universidad Católica de Chile
Downloads 279 (229,796)
Citation 3

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10.

The Geoeconomics of International Political Relations and Sovereign Defaults *

Number of pages: 48 Posted: 14 Apr 2023 Last Revised: 20 Aug 2024
Consuelo Silva Buston, Marcela Valenzuela and Ilknur Zer
Pontificia Universidad Católica de Chile - School of Business, Pontificia Universidad Católica de Chile and Board of Governors of the Federal Reserve System
Downloads 136 (442,972)

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Geopolitical risk, crisis predictability, capital flows, international politics, gravity model JEL classification: F34, F50, F60, H63, N20

11.

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
Marcela Valenzuela, Ilknur Zer, Piotr Fryzlewicz and Thorsten Rheinlander
Pontificia Universidad Católica de 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 132 (453,661)
Citation 1

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

12.

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 Pontificia Universidad Católica de Chile
Downloads 109 (525,121)
Citation 1

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

13.

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
Pontificia Universidad Católica de Chile and Board of Governors of the Federal Reserve System
Downloads 92 (589,575)

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

14.

Low Risk as a Predictor of Financial Crises

FEDS Notes No. 2018-05-09
Posted: 06 Jun 2018 Last Revised: 25 Jun 2020
Jon Danielsson, Marcela Valenzuela and Ilknur Zer
London School of Economics - Systemic Risk Centre, Pontificia Universidad Católica de Chile and Board of Governors of the Federal Reserve System

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