Aurelio Vasquez

Associate professor with tenure at ITAM in Mexico City.

Contact Information:

Río Hondo No. 1,

Col. Progreso Tizapán

México, D.F.

México, 01080

Phone: 52 (55) 5628 4000 x6518

Research interests: Empirical Asset pricing, Derivatives, Risk Management and Fixed income.

Working papers:

Default Risk and Option Returns, with Xiao Xiao

Making Better Use of Option Prices to Predict Stock Returns, with Dmitriy Muravyev and Wenzhi Wang

Volatility Uncertainty and the Cross-Section of Option Returns with Jay Cao, Xiao Xiao, and Xintong Zhan

Common Factors in Equity Option Returns with Alex Horenstein and Xiao Xiao

The Cross-Section of Intraday Jumps with Diego Amaya

Published papers:

Does Realized Skewness Predict the Cross-Section of Equity Returns? with Diego Amaya, Peter Christoffersen, and Kris Jacobs

Journal of Financial Economics, 2015, Volume 118, Issue 1, Pages 135-167.

Journal of Financial and Quantitative Analysis, 2017, Volume 52, Issue 6, Pages 2727-2754.

Every year I organize the ITAM Finance Conference.