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 and Derivatives.

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.

Working papers:

Default Risk and Option Returns, (PDF) with Xiao Xiao

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

Common Factors in Equity Option Returns, (PDF) with Alex Horenstein and Xiao Xiao

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

Anomalies in Emerging Markets: The Case of Mexico, (PDF) with Renata Herrerias and Polux Diaz-Ruiz

The Cross-Section of Intraday Jumps with Diego Amaya

Working progress:

Every year I organize the ITAM Finance Conference.

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Aurelio Vasquez,

Feb 11, 2019, 10:41 AM

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Aurelio Vasquez,

Feb 11, 2019, 10:37 AM

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Aurelio Vasquez,

Oct 12, 2014, 7:22 PM

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Aurelio Vasquez,

Feb 11, 2019, 10:48 AM