Diego Amaya

Wilfrid Laurier University

Assistant Professor of Finance

Waterloo, Ontario N2L 3C5

Canada

SCHOLARLY PAPERS

5

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Top 13,803

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Scholarly Papers (5)

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
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 2,857 (3,860)

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Realized volatility, skewness, kurtosis, equity markets, cross-section of stock returns

2.

The Informational Content of High-Frequency Option Prices

Number of pages: 74 Posted: 30 May 2017 Last Revised: 15 Jun 2019
Wilfrid Laurier University, Simon Fraser University and HEC Montreal - Department of Decision Sciences
Downloads 233 (129,008)

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High-frequency data, realized option variance, options, jump-diffusions

Dynamic Risk Management: Investment, Capital Structure, and Hedging in the Presence of Financial Frictions

Number of pages: 44 Posted: 11 Jul 2012 Last Revised: 13 Feb 2013
Wilfrid Laurier University, HEC Montreal - Department of Decision Sciences and University of Toulouse 1 - Toulouse School of Economics (TSE)
Downloads 210 (142,339)

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Dynamic programming, risk management, capital structure, hedging

Dynamic Risk Management: Investment, Capital Structure, and Hedging in the Presence of Financial Frictions

Journal of Risk and Insurance, Vol. 82, Issue 2, pp. 359-399, 2015
Number of pages: 41 Posted: 14 May 2015
Wilfrid Laurier University, HEC Montreal - Department of Decision Sciences and University of Toulouse 1 - Toulouse School of Economics (TSE)
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4.

Distilling Liquidity Costs from Limit Order Books

Journal of Banking and Finance, Forthcoming
Number of pages: 40 Posted: 16 Sep 2015 Last Revised: 24 Jun 2018
Wilfrid Laurier University, University of Lille I, University of Quebec at Montreal (UQAM) and University of Quebec at Montreal (UQAM) - Faculty of Management (ESG)
Downloads 91 (279,063)

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Intraday liquidity, limit order books, price impact, price formation

5.

The Similarity of ECB's Communication

Finance Research Letters, Vol. 13, 2015
Posted: 09 Jun 2015 Last Revised: 11 Jun 2015
Diego Amaya and Jean-Yves Filbien
Wilfrid Laurier University and University of Lille I

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Monetary Policy, Sentiment, Similarity