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Diego Amaya
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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
5322015
The similarity of ECB’s communication
D Amaya, JY Filbien
Finance Research Letters 13, 234-242, 2015
382015
Non-Standard Errors
A Dreber, F Holzmeister, J Huber, M Johannesson, M Kirchler, ...
CEPR Discussion Paper No. DP16751, 2021
30*2021
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
232015
The Informational Content of High-Frequency Option Prices
D Amaya, JF Bégin, G Gauthier
Management Science, 2021
12*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
122011
Distilling liquidity costs from limit order books
D Amaya, JY Filbien, C Okou, AF Roch
Journal of Banking & Finance 94, 16-34, 2018
102018
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
52019
Explaining stock returns with intraday jumps
D Amaya, A Vasquez
Midwest Finance Association 2012 Annual Meetings Paper, 2011
52011
Media coverage and the decision to withdraw an IPO
D Amaya, JY Filbien, M Kooli
International Review of Financial Analysis 84, 102388, 2022
22022
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
22020
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
Realized Semibetas and International Stock Return Predictability
D Amaya, A Vasquez, F Perez, R Herrerias
Available at SSRN 4560084, 0
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