Felix Matthys
Assistant Professor of Finance
ITAM Business School, Mexico City
Publications
When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance (with Yacine Ait-Sahalia, Emilio Osambela & Ronnie Sircar) Journal of Econometrics (2025)
This paper analyzes the impact of the disconnect between uncertainty and volatility on risk premia and optimal portfolio policies.
This paper explores the relationship between economic policy uncertainty and the term structure of interest rates, its volatility curve as well as the term and bond risk premia.
This paper studies the consumption and investment problem under model uncertainty when the underlying asset follows a Lévy process
Current Working Papers
Beyond Carbon Pricing: Integrating Mitigation, Adaptation, and Carbon Removal (with Markus Leippold)
We provide an optimal policy mix to tackle the negative impact of climate change when first-best carbon taxes are not implementable
Political Uncertainty & Currency Markets (with Markus Leippold, Philippe Müller & Michal Svaton)
This paper shows how FX implied volatility and its skewness respond to the resolution of election uncertainty
Work in Progress
Sentiment Based Asset Pricing (with Yacine Ait-Sahalia, Patrick Cheredito & Patrick Beissner)
We explore the asset pricing implicatons of a representative agent which is subject to sentiment swings
Dynamic Disaster Insurance (with Patrick Cheredito & Lukas Schmid)
In this paper, we develop a dynamic insurance framework when firms are subject to costly recapitalization when a disaster event occurs
Other Publications
The Greek Debt Crisis: An Ongoing Odyssey, Fondation Pierre du Bois, August 2016
This short review paper discusses the Greek Debt Crisis
Resting Working Papers
Endogenous Markov Switching Regression Models for High-Frequency Data under Microstructure Noise (with Markus Leippold)
This paper, we present a novel method for analyzing microstructure noise of high-frequency data as a measurement error problem