Marcela Valenzuela

Pontificia Universidad Católica de Chile

Vicuña Mackenna 4860

Santiago, R. Metropolitana 7520421

Chile

SCHOLARLY PAPERS

11

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SSRN CITATIONS
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Top 19,549

in Total Papers Citations

34

CROSSREF CITATIONS

18

Scholarly Papers (11)

1.

Learning from History: Volatility and Financial Crises

Review of Financial Studies, Forthcoming, FEDS Working Paper No. 2016-093
Number of pages: 47 Posted: 21 Nov 2016
Jon Danielsson, Marcela Valenzuela and Ilknur Zer
London School of Economics - Systemic Risk Centre, Pontificia Universidad Católica de Chile and Board of Governors of the Federal Reserve System
Downloads 1,626 (12,837)
Citation 15

Abstract:

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Stock market volatility, Financial crises predictability, Volatility paradox, Minsky hypothesis, Financial instability, Risk-taking

2.

Model Risk of Risk Models

Journal of Financial Stability, Forthcoming, FEDS Working Paper No. 2014-34
Number of pages: 33 Posted: 18 Apr 2014 Last Revised: 01 Jun 2017
Jon Danielsson, Kevin R. James, Marcela Valenzuela and Ilknur Zer
London School of Economics - Systemic Risk Centre, London School of Economics & Political Science (LSE) - Systemic Risk Centre, Pontificia Universidad Católica de Chile and Board of Governors of the Federal Reserve System
Downloads 1,155 (21,740)
Citation 23

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Value-at-Risk, systemic risk, CoVaR, MES, financial stability, Basel III

3.

The Efficient IPO Market Hypothesis: Theory and Evidence

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 63 Posted: 27 Jan 2019 Last Revised: 25 Jun 2019
Kevin R. James and Marcela Valenzuela
London School of Economics & Political Science (LSE) - Systemic Risk Centre and Pontificia Universidad Católica de Chile
Downloads 408 (86,419)

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Initial Public Offerings, Underwriters, IPO Underpricing, Efficient Markets Hypothesis

4.

Can We Prove a Bank Guilty of Creating Systemic Risk? A Minority Report

Journal of Money, Credit, and Banking, Forthcoming
Number of pages: 27 Posted: 19 Nov 2015 Last Revised: 16 Feb 2016
Jon Danielsson, Kevin R. James, Marcela Valenzuela and Ilknur Zer
London School of Economics - Systemic Risk Centre, London School of Economics & Political Science (LSE) - Systemic Risk Centre, Pontificia Universidad Católica de Chile and Board of Governors of the Federal Reserve System
Downloads 285 (128,578)
Citation 5

Abstract:

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Systemic risk, macroprudential policy, financial stability, risk management

5.

Implied Correlation and Market Returns

Number of pages: 45 Posted: 29 Feb 2016
Alejandro Bernales and Marcela Valenzuela
Universidad de Chile and Pontificia Universidad Católica de Chile
Downloads 167 (213,121)
Citation 2

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6.

The Impact of Risk Cycles on Business Cycles: A Historical View

Number of pages: 40 Posted: 16 Oct 2020
Jon Danielsson, Marcela Valenzuela and Ilknur Zer
London School of Economics - Systemic Risk Centre, Pontificia Universidad Católica de Chile and Board of Governors of the Federal Reserve System
Downloads 147 (236,984)

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Stock market volatility, uncertainty, Minsky’s hypothesis, financial instability, risk-taking, granular instruments (GIV), global financial cycles

7.

Trader Competition in Fragmented Markets: Liquidity Supply versus Picking-off Risk

SAFE Working Paper No. 234
Number of pages: 49 Posted: 05 Nov 2018 Last Revised: 02 Jul 2020
Universidad de Chile, University of Chile, Goethe University Frankfurt - Department of Finance, Pontificia Universidad Católica de Chile and University of Vienna - Department of Finance
Downloads 104 (306,436)
Citation 6

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Fragmentation, Competition, Liquidity, Price Efficiency

8.

Relative Liquidity and Future Volatility

Journal of Financial Markets, Forthcoming, FEDS Working Paper 2014-45
Number of pages: 37 Posted: 29 Jun 2014 Last Revised: 28 Feb 2015
Pontificia Universidad Católica de Chile, Board of Governors of the Federal Reserve System, London School of Economics & Political Science (LSE) - Department of Statistics and Vienna University of Technology
Downloads 91 (334,054)
Citation 1

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order-driven markets, limit order book distribution, volatility predictability, liquidity

9.

Competition, Signaling and Non-Walking Through the Book: Effects on Order Choice

Journal of Banking and Finance, Forthcoming
Number of pages: 40 Posted: 02 Aug 2012 Last Revised: 04 May 2013
Marcela Valenzuela and Ilknur Zer
Pontificia Universidad Católica de Chile and Board of Governors of the Federal Reserve System
Downloads 64 (408,158)

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Limit Order Book, Order Aggressiveness, Order-Driven Markets, Walking through the Book, Competition, Signaling

10.

Learning and Forecasts about Option Returns through the Volatility Risk Premium

Number of pages: 37 Posted: 27 Feb 2019
Alejandro Bernales, Louisa Chen and Marcela Valenzuela
Universidad de Chile, University of Sussex and Pontificia Universidad Católica de Chile
Downloads 46 (474,370)
Citation 1

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Option Returns, Volatility Risk Premium, Bayesian Learning, Predictability, Dynamic Equilibrium Model

11.

Low Risk as a Predictor of Financial Crises

FEDS Notes No. 2018-05-09
Posted: 06 Jun 2018 Last Revised: 25 Jun 2020
Jon Danielsson, Marcela Valenzuela and Ilknur Zer
London School of Economics - Systemic Risk Centre, Pontificia Universidad Católica de Chile and Board of Governors of the Federal Reserve System

Abstract:

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