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

719

SSRN CITATIONS

0

CROSSREF CITATIONS

6

Scholarly Papers (3)

1.
Downloads 357 ( 86,381)
Citation 3

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 205 (153,802)
Citation 2

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 152 (201,015)
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, Forthcoming
Number of pages: 56 Posted: 01 Jun 2017 Last Revised: 01 Oct 2018
Yacine Ait-Sahalia and Felix Matthys
Princeton University - Department of Economics and ITAM
Downloads 224 (141,577)

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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 138 (217,106)

Abstract:

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