Aurelio Vasquez

532 total citations
18 papers, 171 citations indexed

About

Aurelio Vasquez is a scholar working on Finance, Economics and Econometrics and Management Science and Operations Research. According to data from OpenAlex, Aurelio Vasquez has authored 18 papers receiving a total of 171 indexed citations (citations by other indexed papers that have themselves been cited), including 18 papers in Finance, 8 papers in Economics and Econometrics and 5 papers in Management Science and Operations Research. Recurrent topics in Aurelio Vasquez's work include Financial Markets and Investment Strategies (16 papers), Stochastic processes and financial applications (8 papers) and Market Dynamics and Volatility (6 papers). Aurelio Vasquez is often cited by papers focused on Financial Markets and Investment Strategies (16 papers), Stochastic processes and financial applications (8 papers) and Market Dynamics and Volatility (6 papers). Aurelio Vasquez collaborates with scholars based in Mexico, Canada and United States. Aurelio Vasquez's co-authors include Peter Christoffersen, Kris Jacobs, Jie Cao, Xintong Zhan, Alex R. Horenstein, Bei Chen and Quan Gan and has published in prestigious journals such as Management Science, Review of Financial Studies and Journal of Banking & Finance.

In The Last Decade

Aurelio Vasquez

16 papers receiving 168 citations

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name h Career Trend Papers Cites
Aurelio Vasquez Mexico 7 161 84 26 21 15 18 171
Emil Siriwardane United States 8 170 1.1× 83 1.0× 62 2.4× 24 1.1× 10 0.7× 17 203
Christian Dorion Canada 8 235 1.5× 112 1.3× 37 1.4× 47 2.2× 13 0.9× 14 256
William Diamond United States 8 115 0.7× 84 1.0× 33 1.3× 44 2.1× 8 0.5× 12 157
Dieter G. Kaiser Germany 8 123 0.8× 104 1.2× 30 1.2× 46 2.2× 11 0.7× 30 156
Jiacui Li United States 6 94 0.6× 60 0.7× 45 1.7× 17 0.8× 13 0.9× 17 118
Andrey Ermolov United States 8 136 0.8× 146 1.7× 13 0.5× 89 4.2× 11 0.7× 18 211
Byeong-Je An United States 3 210 1.3× 120 1.4× 73 2.8× 15 0.7× 18 1.2× 6 223
Philipp Schuster Germany 7 243 1.5× 78 0.9× 73 2.8× 34 1.6× 16 1.1× 16 257
Olivier Vigneron France 3 213 1.3× 149 1.8× 61 2.3× 28 1.3× 11 0.7× 4 233

Countries citing papers authored by Aurelio Vasquez

Since Specialization
Citations

This map shows the geographic impact of Aurelio Vasquez's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Aurelio Vasquez with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Aurelio Vasquez more than expected).

Fields of papers citing papers by Aurelio Vasquez

Since Specialization
Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Aurelio Vasquez. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Aurelio Vasquez. The network helps show where Aurelio Vasquez may publish in the future.

Co-authorship network of co-authors of Aurelio Vasquez

This figure shows the co-authorship network connecting the top 25 collaborators of Aurelio Vasquez. A scholar is included among the top collaborators of Aurelio Vasquez based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Aurelio Vasquez. Aurelio Vasquez is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

18 of 18 papers shown
1.
Horenstein, Alex R., et al.. (2025). Common Factors in Equity Option Returns. Review of Financial Studies. 39(3). 835–874.
2.
Chen, Bei, Quan Gan, & Aurelio Vasquez. (2024). Does the Options Market Underreact to Firms’ Left-Tail Risk?. Journal of Financial and Quantitative Analysis. 60(4). 1827–1858. 1 indexed citations
3.
Chen, Bei, Quan Gan, & Aurelio Vasquez. (2023). Anticipating jumps: Decomposition of straddle price. Journal of Banking & Finance. 149. 106755–106755. 4 indexed citations
4.
Vasquez, Aurelio, et al.. (2023). Default Risk and Option Returns. Management Science. 70(4). 2144–2167. 11 indexed citations
5.
Cao, Jie, et al.. (2023). Why Does Volatility Uncertainty Predict Equity Option Returns?. Quarterly Journal of Finance. 13(1). 6 indexed citations
6.
Vasquez, Aurelio, et al.. (2023). Realized semibetas and international stock return predictability. Finance research letters. 58. 104641–104641.
7.
Vasquez, Aurelio, et al.. (2020). Anomalies in emerging markets: The case of Mexico. The North American Journal of Economics and Finance. 53. 101188–101188. 2 indexed citations
8.
Horenstein, Alex R., et al.. (2018). Common Factors in Equity Option Returns. SSRN Electronic Journal. 13 indexed citations
9.
Cao, Jie, et al.. (2018). Volatility Uncertainty and the Cross-Section of Option Returns. SSRN Electronic Journal. 12 indexed citations
10.
Vasquez, Aurelio. (2017). Equity Volatility Term Structures and the Cross Section of Option Returns. Journal of Financial and Quantitative Analysis. 52(6). 2727–2754. 64 indexed citations
11.
Vasquez, Aurelio, et al.. (2011). Explaining Stock Returns with Intraday Jumps. SSRN Electronic Journal. 2 indexed citations
12.
Christoffersen, Peter, et al.. (2011). Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns?. SSRN Electronic Journal. 20 indexed citations
13.
Vasquez, Aurelio. (2011). Volatility Term Structure and the Cross-Section of Option Returns. SSRN Electronic Journal. 3 indexed citations
14.
Christoffersen, Peter, et al.. (2011). Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns?. SSRN Electronic Journal. 15 indexed citations
15.
Vasquez, Aurelio. (2011). Volatility Term Structure and the Cross-Section of Option Returns. SSRN Electronic Journal. 1 indexed citations
16.
Christoffersen, Peter, et al.. (2011). Does Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns?. SSRN Electronic Journal. 13 indexed citations
17.
Vasquez, Aurelio. (2010). Asset Pricing in the Stock and Options Markets. eScholarship@McGill (McGill). 1 indexed citations
18.
Vasquez, Aurelio, et al.. (2009). Skewness from High-Frequency Data Predicts the Cross-Section of Stock Returns. SSRN Electronic Journal. 3 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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