Published Papers:

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., 2017, Equity Volatility Term Structures and the Cross-Section of Option Returns, Journal of Financial and Quantitative Analysis, Volume 52, Issue 6, Pages 2727-2754..

Working Papers:

    Default Risk and Option Returnswith Xiao Xiao 
      Making Better Use of Option Prices to Predict Stock Returnswith Dmitriy Muravyev and Wenzhi Wang
        Volatility Uncertainty and the Cross-Section of Option Returns with Jay CaoXiao 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