Follow
Diego Amaya
Title
Cited by
Cited by
Year
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
6162015
Non-Standard Errors
A Dreber, F Holzmeister, J Huber, M Johannesson, M Kirchler, ...
The Journal of Finance, 2024
74*2024
The similarity of ECB’s communication
D Amaya, JY Filbien
Finance Research Letters 13, 234-242, 2015
422015
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
262015
The Informational Content of High-Frequency Option Prices
D Amaya, JF Bégin, G Gauthier
Management Science, 2021
21*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
132011
Distilling liquidity costs from limit order books
D Amaya, JY Filbien, C Okou, AF Roch
Journal of Banking & Finance 94, 16-34, 2018
122018
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
82020
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
62019
Media coverage and the decision to withdraw an IPO
D Amaya, JY Filbien, M Kooli
International Review of Financial Analysis 84, 102388, 2022
52022
Explaining stock returns with intraday jumps
D Amaya, A Vasquez
Midwest Finance Association 2012 Annual Meetings Paper, 2011
52011
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
12020
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
The system can't perform the operation now. Try again later.
Articles 1–16