| Does realized skewness predict the cross-section of equity returns? D Amaya, P Christoffersen, K Jacobs, A Vasquez Journal of Financial Economics 118 (1), 135-167, 2015 | 600 | 2015 |
| Non-Standard Errors A Dreber, F Holzmeister, J Huber, M Johannesson, M Kirchler, ... CEPR Discussion Paper No. DP16751, 2021 | 66* | 2021 |
| The similarity of ECB’s communication D Amaya, JY Filbien Finance Research Letters 13, 234-242, 2015 | 41 | 2015 |
| Dynamic risk management: investment, capital structure, and hedging in the presence of financial frictions D Amaya, G Gauthier, TO Léautier Journal of Risk and Insurance 82 (2), 359-399, 2015 | 26 | 2015 |
| The Informational Content of High-Frequency Option Prices D Amaya, JF Bégin, G Gauthier Management Science, 2021 | 18* | 2021 |
| Does Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns? D Amaya, P Christoffersen, K Jacobs, A Vasquez Available at SSRN 1785736, 2011 | 13 | 2011 |
| Distilling liquidity costs from limit order books D Amaya, JY Filbien, C Okou, AF Roch Journal of Banking & Finance 94, 16-34, 2018 | 12 | 2018 |
| Maximum likelihood estimation of first-passage structural credit risk models correcting for the survivorship bias D Amaya, M Boudreault, DL McLeish Journal of Economic Dynamics and Control 100, 297-313, 2019 | 7 | 2019 |
| On the estimation of jump-diffusion models using intraday data: A filtering-based approach JF Bégin, D Amaya, G Gauthier, ME Malette SIAM Journal on Financial Mathematics 11 (4), 1168-1208, 2020 | 6 | 2020 |
| Media coverage and the decision to withdraw an IPO D Amaya, JY Filbien, M Kooli International Review of Financial Analysis 84, 102388, 2022 | 5 | 2022 |
| Explaining stock returns with intraday jumps D Amaya, A Vasquez Midwest Finance Association 2012 Annual Meetings Paper, 2011 | 5 | 2011 |
| Nonstandard Errors JT Alcock, V Alexeev, A Aloosh, L Amato, D Amaya, JJ Angel | | 2024 |
| Realized semibetas and international stock return predictability D Amaya, R Herrerias, F Perez, A Vasquez Finance Research Letters 58, 104641, 2023 | | 2023 |
| Price Discovery in Option Markets: Evidence from S&P 500 Index Options D Amaya, MF Perez Available at SSRN 4615609, 2023 | | 2023 |
| Supplementary Material of On the Estimation of Jump-Diffusion Models Using Intraday Data: A Filtering-Based Approach JF Bégin, D Amaya, G Gauthier, ME Malette This is the supplementary material of Bégin, J.-F., D. Amaya, M.-E. Malette …, 2020 | | 2020 |
| Diamonds in the rough: The value of scouting for early-stage funding D Amaya, M Brolley, BF Smith The North American Journal of Economics and Finance 52, 101131, 2020 | | 2020 |
Aurelio VasquezITAMVerified email at itam.mx
