Río Hondo No. 1,
Col. Progreso Tizapán
México, D.F.
México, 01080 Phone: 52 (55) 5628 4000 x6518 Email: aurelio.vasquez@itam.mx
I am currently working as an Assistant professor at ITAM in Mexico City. My research interests include Empirical Asset pricing, Derivatives, Risk Management and Fixed income. Publications: Amaya, D., P. Christoffersen, K. Jacobs, A. Vasquez, 2015, Does Realized Skewness Predict the Cross-Section of Equity Returns?, Journal of Financial Economics, 118, 135-167. Vasquez A., 2016, Equity Volatility Term Structures and the Cross-Section of Option Returns, Journal of Financial and Quantitative Analysis, forthcoming. Working Papers: Vasquez, A., X. Xiao, 2016, Firm Leverage and Equity Option Returns. Amaya, D., A. Vasquez, 2013, The Cross-Section of Intraday Jumps. Every year I organize the ITAM Finance Conference. |
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