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