Aurelio Vasquez

Finance · 2015

A researcher in the Science corpus: 1 paper; trusts 6 researchers and is trusted by 2 researchers here, as inferred from the citation graph.

Subfields

• Finance — 34 citations into it; #9,288 of 10,518 by trust here, #6,671 by citations
• Economics and Econometrics — 28 citations into it; #20,357 of 23,481 by trust here, #16,151 by citations
• Accounting — 7 citations into it

Whom Aurelio Vasquez trusts overall

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

1. Ole E. Barndorff-Nielsen
2. N. Shephard
3. Y. Amihud

Who trusts Aurelio Vasquez overall

1. Antonio Gargano
2. Alberto G. Rossi

Papers from Aurelio Vasquez's perspective

Ordered by how strongly the researchers Aurelio Vasquez trusts endorse each paper. Same corpus, a different order for every researcher.

1. Power and bipower variation with stochastic volatility and jumps
2. BOOTSTRAPPING REALIZED VOLATILITY
3. Econometric analysis of realised volatility and its use in estimating stochastic volatility models
4. Econometric analysis of realized volatility and its use in estimating stochastic volatility models
5. Common risk factors in the returns on stocks and bonds
6. The Persistence of Mutual Fund Performance
7. Market Liquidity: Illiquidity and Stock Returns Cross-Section and Time-Series Effects＊
8. Equilibrium Underdiversification and the Preference for Skewness
9. Conditional Skewness in Asset Pricing Tests
10. Evidence of Predictable Behavior of Security Returns

Their papers

• Does Realized Skewness Predict the Cross-Section of Equity Returns? (2015) — 476 citations