Diego Amaya

Wilfrid Laurier University

United States

  • Wilfrid Laurier University

SCHOLARLY PAPERS

2

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350

TOTAL CITATIONS

0

Scholarly Papers (2)

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1.

0DTE Index Options and Market Volatility: How Large is Their Impact?

Number of pages: 48 Posted: 10 Feb 2025
Aurelio Vasquez, Diego Amaya, Neil D. Pearson and Pedro Angel Garcia-Ares
Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, Wilfrid Laurier University, University of Illinois at Urbana-Champaign - Department of Finance and University of Notre Dame - Mendoza College of Business
Downloads 275 (236,103)

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0DTE options, SPX options, S&P 500 index options, hedge rebalancing, gamma squeeze, options trading

2.

Realized Semibetas and International Stock Return Predictability

Number of pages: 15 Posted: 02 Sep 2023 Last Revised: 18 Nov 2023
Diego Amaya, Renata Herrerias, Fernando Perez and Aurelio Vasquez
Wilfrid Laurier University, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, affiliation not provided to SSRN and Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration
Downloads 75 (675,404)

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Downside risk, Semicovariances, Semibetas, Global and local risk, Cross-sectional return variation, Risk premium, Mexican stock market