Felix Matthys

ITAM

Assistant Professor

Av. Camino a Sta. Teresa 930

Col. Héroes de Padierna

Mexico City, D.F. 01000, Federal District 01080

Mexico

SCHOLARLY PAPERS

3

DOWNLOADS

812

SSRN CITATIONS

4

CROSSREF CITATIONS

6

Scholarly Papers (3)

1.
Downloads 427 ( 78,170)
Citation 5

Economic Policy Uncertainty and the Yield Curve

Number of pages: 66 Posted: 07 Oct 2015
Markus Leippold and Felix Matthys
University of Zurich - Department of Banking and Finance and ITAM
Downloads 262 (133,685)
Citation 4

Abstract:

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Term structure modeling, yield volatility curve, policy uncertainty, bond risk premia

Government Policy Uncertainty and the Yield Curve

Number of pages: 59 Posted: 24 Sep 2015 Last Revised: 23 Aug 2017
Markus Leippold and Felix Matthys
University of Zurich - Department of Banking and Finance and ITAM
Downloads 165 (206,611)
Citation 2

Abstract:

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Term structure modeling, yield volatility curve, policy uncertainty, bond risk premia

2.

Robust Consumption and Portfolio Policies When Asset Prices Can Jump

Journal of Economic Theory, 2019, 179, 1-56.
Number of pages: 73 Posted: 01 Jun 2017 Last Revised: 14 Jul 2020
Yacine Ait-Sahalia and Felix Matthys
Princeton University - Department of Economics and ITAM
Downloads 229 (153,282)

Abstract:

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Optimal consumption and portfolio selection, jumps, Levy processes, robust control, closed form solution

3.

Endogenous Markov Switching Regression Models for High-Frequency Data Under Microstructure Noise

Number of pages: 40 Posted: 29 May 2015 Last Revised: 31 May 2015
Markus Leippold and Felix Matthys
University of Zurich - Department of Banking and Finance and ITAM
Downloads 156 (216,452)

Abstract:

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Endogeneous regime switching, microstructure noise, realized volatility, endogeneity plot.