Julio Cacho-Diaz

Finance · 2009–2015

A researcher in the Science corpus: 2 papers; trusts 8 researchers and is trusted by 13 researchers here, as inferred from the citation graph.

Subfields

• Finance — 44 citations into it; #3,511 of 10,518 by trust here, #3,517 by citations
• Economics and Econometrics — 34 citations into it; #7,656 of 23,481 by trust here, #10,133 by citations

Whom Julio Cacho-Diaz trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Jun Pan
2. David S. Bates
3. Clive G. Bowsher
4. Suzanne S. Lee
5. Eymen Errais
6. George O. Mohler
7. Andrew Ang

Who trusts Julio Cacho-Diaz overall

1. Thibault Jaisson
2. Emmanuel Bacry
3. Dante Amengual
4. Paul Embrechts
5. Patrick J. Laub
6. Mathieu Rosenbaum

Papers from Julio Cacho-Diaz's perspective

Ordered by how strongly the researchers Julio Cacho-Diaz trusts endorse each paper. Same corpus, a different order for every researcher.

1. The jump-risk premia implicit in options: evidence from an integrated time-series study $
2. Post-'87 crash fears in the S&P 500 futures option market
3. Extreme Correlation of International Equity Markets
4. Systemic Risk and International Portfolio Choice
5. Self-Exciting Point Process Modeling of Crime
6. Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics
7. Affine Point Processes and Portfolio Credit Risk (SIAM Journal on Financial Mathematics)
8. Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models
9. Specification Analysis of Affine Term Structure Models
10. Term premia and interest rate forecasts in affine models

Their papers

• Modeling financial contagion using mutually exciting jump processes (2015) — 670 citations
• Portfolio choice with jumps: A closed-form solution (2009) — 120 citations