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

5

DOWNLOADS
Rank 37,927

SSRN RANKINGS

Top 37,927

in Total Papers Downloads

2,516

SSRN CITATIONS
Rank 48,309

SSRN RANKINGS

Top 48,309

in Total Papers Citations

11

CROSSREF CITATIONS

7

Scholarly Papers (5)

When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance

Proceedings of Paris December 2021 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 57 Posted: 10 May 2021 Last Revised: 17 Mar 2023
Princeton University - Department of Economics, ITAM, Board of Governors of the Federal Reserve System and Princeton University - Department of Operations Research and Financial Engineering
Downloads 707 (68,638)
Citation 1

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Volatility and Uncertainty Disconnect, Stochastic Volatility, Stochastic Uncertainty, Risk Aversion, Uncertainty Aversion

When Uncertainty and Volatility are Disconnected: Implications for Asset Pricing and Portfolio Performance

FEDS Working Paper No. 2021-63
Number of pages: 49 Posted: 19 Oct 2021
Princeton University - Department of Economics, ITAM, Board of Governors of the Federal Reserve System and Princeton University - Department of Operations Research and Financial Engineering
Downloads 235 (242,751)

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Risk Aversion, Stochastic Uncertainty, Stochastic Volatility, Uncertainty Aversion, Volatility and Uncertainty Disconnect

When Uncertainty and Volatility are Disconnected: Implications for Asset Pricing and Portfolio Performance

NBER Working Paper No. w29195
Number of pages: 49 Posted: 30 Aug 2021 Last Revised: 10 Apr 2022
Princeton University - Department of Economics, ITAM, Board of Governors of the Federal Reserve System and Princeton University - Department of Operations Research and Financial Engineering
Downloads 14 (1,061,761)

Abstract:

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2.

Economic Policy Uncertainty and the Yield Curve

Swiss Finance Institute Research Paper No. 22-36, Forthcoming, Review of Finance
Number of pages: 58 Posted: 07 Oct 2015 Last Revised: 27 Apr 2022
Markus Leippold and Felix Matthys
University of Zurich and ITAM
Downloads 876 (52,307)
Citation 11

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Term structure, yield volatility curve, hump-shaped volatility, policy uncertainty, bond risk premia

3.

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 281 (204,138)
Citation 1

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

4.

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 and ITAM
Downloads 212 (268,620)

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

5.

Political uncertainty and currency markets

Swiss Finance Institute Research Paper No. 24-13, WBS Finance Group Research Paper
Number of pages: 69 Posted: 05 Feb 2024
University of Zurich, ITAM, Warwick Business School Finance Group and University of Zurich - Department Finance
Downloads 191 (295,255)

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FX option pricing; Volatility and skewness; electoral systems; political uncertainty