Julio A. Crego
Julio A. Crego
Assistant Professor
Finance

Julio Crego received his Ph.D. in Cemfi under the supervision of Dante Amengual and Enrique Sentana. His first job was as an assistant professor in Tilburg. He moved from Tilburg to Nova soon after becoming an associate professor. His research focuses on how public and private information percolates into financial markets. In particular, he is very interested in how to use option prices to provide new insights about the information in the market.

Market Microstructure, Option Pricing, Financial Econometrics

  • Crego, Julio A., Gider, Jasmin (2024). The dynamic informativeness of scheduled news. Management Science, 70 (10), 6724-6739.
  • Amengual, Dante, Bueren, Jesús, Crego, Julio A. (2021). Endogenous health groups and heterogeneous dynamics of the elderly. Journal Of Applied Econometrics, 36 (7), 878-897.
  • Crego, Julio A. (2020). Why does public news augment information asymmetries?. Journal of Financial Economics, 137 (1), 72-89.