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Aurelio Vasquez

Observed names: AURELIO VASQUEZ, Vasquez, Aurelio
ORCID: 0000-0001-7763-9564
Observed ORCID: 0000-0001-7763-9564
OpenAlex ID: A5085221351
Does realized skewness predict the cross-section of equity returns?
2015 · Diego Amaya, Peter Christoffersen, et al. · Journal of Financial Economics · 492
Nonstandard Errors
2024 · ALBERT J. MENKVELD, ANNA DREBER, et al. · The Journal of Finance · 116
Equity Volatility Term Structures and the Cross Section of Option Returns
2017 · Aurelio Vasquez · Journal of Financial and Quantitative Analysis · 97
Default Risk and Option Returns
2023 · Aurelio Vasquez, Xiao Xiao · Management Science · 47
Why Does Volatility Uncertainty Predict Equity Option Returns?
2023 · Jie Jay Cao, Aurelio Vasquez, et al. · Quarterly Journal of Finance · 39
Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns?
2011 · Diego Amaya, Peter Christoffersen, et al. · SSRN Electronic Journal · 37
Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns?
2011 · Diego Amaya, Peter Christoffersen, et al. · SSRN Electronic Journal · 28
Common Factors in Equity Option Returns
2018 · Alex R. Horenstein, Aurelio Vasquez, et al. · SSRN Electronic Journal · 27
Does Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns?
2011 · Diego Amaya, Peter Christoffersen, et al. · SSRN Electronic Journal · 20
Non-Standard Errors
2021 · Albert J. Menkveld, Anna Dreber, et al. · SSRN Electronic Journal · 14
PDF
Anticipating Jumps: Decomposition of Straddles
2021 · Bei Chen, Quan Gan, et al. · Journal of Banking & Finance · 9
Does the Options Market Underreact to Firms'Left-Tail Risk?
2021 · Bei Chen, Quan Gan, et al. · Journal of Financial and Quantitative Analysis · 7
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Anomalies in emerging markets: The case of Mexico
2020 · Polux Diaz-Ruiz, Renata Herrerias, et al. · The North American Journal of Economics and Finance · 5
PDF
Explaining Stock Returns with Intraday Jumps
2011 · Diego Amaya, Aurelio Vasquez · SSRN Electronic Journal · 5
Skewness from High-Frequency Data Predicts the Cross-Section of Stock Returns
2010 · Diego Amaya, Aurelio Vasquez · SSRN Electronic Journal · 4
Common Factors in Equity Option Returns
2025 · Alex Horenstein, Aurelio Vasquez, et al. · Review of Financial Studies · 2
PDF
Volatility Term Structure and the Cross-Section of Option Returns
2011 · Aurelio Vasquez · SSRN Electronic Journal · 2
Realized semibetas and international stock return predictability
2023 · Diego Amaya, Renata Herrerias, et al. · Finance research letters · 1
Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns?
2011 · Diego Amaya, Peter Christoffersen, et al. · RePEc: Research Papers in Economics · 1
Asset pricing in the stock and options markets
2011 · Vasquez, Aurelio · eScholarship@McGill (McGill) · 1
PDF
Volatility Term Structure and Option Returns
2011 · Aurelio Vasquez · SSRN Electronic Journal · 1
Robinhood's Forced Liquidations
2026 · Pedro Angel Garcia-Ares, Diego Amaya, et al. · SSRN Electronic Journal
Textual Risk Option Momentum
2026 · Bei Chen, Aurelio Vasquez, et al. · SSRN Electronic Journal
The Rise of Algorithmic Retail Option Traders
2026 · Pedro Angel Garcia-Ares, Diego Amaya, et al. · SSRN Electronic Journal
The Price Impact of Hedging Expiring Index Options
2026 · Pedro Angel Garcia-Ares, Aurelio Vasquez, et al. · SSRN Electronic Journal
Works count: 33
Citation count: 955
H-index: 10
I10-index: 10
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