González Pérez, María Teresa
+34 91 448 08 92
C/ Leonardo Prieto Castro, 2
28040, Madrid
Formación académica
Áreas de interés
Trayectoria profesional
Publicaciones destacadas


Maria T. Gonzalez-Perez is Ph.D. in Economics (Quantitative Economics) by the Universidad Complutense de Madrid (UCM, Madrid, Spain), and Post-doc in Finance by Kellogg School of Management (Northwestern University, Chicago, IL, USA). Her PhD thesis studies the information content in the volatility indices as well as the ability of different quantitative methods to use these indices to estimate and forecast the spot volaitlity in financial markets. In 2008 she held a post-doctoral position at the Department of Finance at Kellogg School of Management and starts working in a research project with professors Torben G. Andersen (NU) and Oleg Bondarenko (UIC). As a result of this project, they have been able to make a significant improvement in the current CBOE methodoloty to estimate the VIX that reduces (and even eliminates) the current estimation bias of VIX, recognized by practitioners working in the field. From 2009 to 2011 she held the position of Research Associate at the Department of Finance at Kellogg School of Management (Northwestern University). In September 2011 she joins CUNEF as Assistant Professor.  She is currently Tenured Associate Professor in Finance at CUNEF.

She has published a number of research articles in prestigious, quality journals, highlighting her last joint article publised in Review of Financial Studies, that not only characterizes important deficiencies in the current VIX methodology that result in a significant bias in VIX, but also proposes a feasible way to fix these and improve the accuracy of VIX estimations, such that it is possible to use this model-free volatility index to explore the high frequency S&P 500 spot volatility dynamics. She is currently involved in different academic research projects with Professors Nikolaus Hautsch (University of Vienna), Torben G. Andersen (Northwestern University), Oleg Bondarenko (University of Illinois at Chicago), Juana Aledo (Universidad Carlos III), Juan Manuel Garcia Lara (Universidad Carlos III), David E. Guerrero (CUNEF), and Michael Noe (PhD student at Humboldt University, currently working at Eurex).

She also worked as Economic Analyst from 1999 to 2003, participating in the estimation and edition of weekly economic report at the business newspaper CincoDias. She currently teaches Statistics II and Banking and Stock Market Operations to second and forth year students in Business at CUNEF, as well as Technical Analysis in the CUNEF Summer Course “Fundations of Trading and Investment Portfolio Management.” Her teaching experience in economics and finance started in 2001 and includes teaching courses at the PhD (Northwestern University), Undergraduate (UCM and CUNEF), and Graduate levels (CUNEF, ICAE-UCM and FEF). 

Formación académica

Northwestern University, Kellogg School of Management, Evanston, IL, USA
-Post-doctoral Fellow, January 2009 – August 2009
-Visiting Post-doctoral Fellow, August 2008 – December 2008

Universidad Complutense de Madrid, Spain
-Ph.D. Economics, July 2007
-M.A. in Quantitative Economics, June 2000
-B.A. in Economics (Quantitative Economics), June 1998

Áreas de interés

Market Risk and Volatility, Market Microstructure, Derivatives, and the Econometrics of High Frequency Data

Trayectoria profesional

Colegio Universitario de Estudios Financieros (CUNEF), Madrid, Spain

- Associate Professor, September 2015-present
- Assistant Professor, September 2011 - August 2015

Humboldt University, Berlin, Germany
- Guest Researcher of the CRC 649 "Economic Risks", November 2012

Northwestern University, Kellogg School of Management, Evanston, IL, USA

-Research Associate, September 2009 – August 2011
-Visiting Scholar at the "Zell Center for Risk Research", September 2009-August 2010
-Post-doctoral Fellow, January 2009 – August 2009
-Visiting Post-doctoral Fellow, August 2008 – December 2008

Universidad Complutense de Madrid, Spain (Departmento de Economía Cuantitativa)
-Teaching Assistant / Trainee, 2001 – 2009

Universidad Complutense de Madrid, Spain
-Economic Analyst, ERISTE-ICAE Group, 1999 - 2003

External PhD Committee Member

-Julio Crego: Phd in Finance, UIMP/CEMFI, June 2017

Publicaciones destacadas

Academic papers:

  1. "Exploring Returns Dynamics via Corridor Implied Volatility" with Torben G. Andersen and Oleg Bondarenko, 2015. Review of Financial Studies. Vol 28(10): 2902-2945
  2. "Model-free Volatility Indexes in the Financial Literature: A Review," 2015. International Review of Economics and Finance, Vol 40, 141–159
  3. "Day of the Week Effect on VIX. A Parsimonious Representation", with David E. Guerrero, 2013. The North American Journal of Economics and Finance. Vol. 25, 243-260
  4. "The Information Content in a Volatility Index for Spain", with Alfonso Novales, 2011. Journal of the Spanish Economic Association (SERIEs), Vol. 2 (2), 185-216
  5.  "Are Volatility Indexes in International Stock Markets Forward Looking?" with Alfonso Novales, 2009. RACSAM-Applied Mathematics Series, Vol. 103 (2), pp. 339-352

Working Papers:

  1. "A Corridor FIX for High-Frequency VIX: Developing Coherent Implied Volaitlity Measures", with Torben G. Andersen and Oleg Bondarenko, 2017

  2. "The Role of Market Makers in the Quality of SPX Quotes", 2017

  3. "The Effect of Information differences among investors on the role of earnings quality in facilitating corporate investment", with Juana Aledo and Juan M. García Lara, 2017

  4. "Periodic pattern in high-frequency data", with David E. Guerrero, 2017

  5. "Volatility Dynamics and the Term Structure of the Variance Risk Premium", with Nicola Fusari, 2014

  6. "The Daily Closing VIX Data for 2008. Reveal Unrecognized Properties", with David E. Guerrero and Arthur B. Treadway, 2010

Work in Progress:

  1. "What does drive the dynamics of volatility index ratios?", 2017

  2. "Why we should care about the size of the smile?", with Nikolaus Hautsch and Michael Noe, 2017

  3. "Volatility Risk Premium in the Spanish Options Market", 2017

Non-Academic papers:

  1.  Coauthor of 153 weekly articles in the Spanish business newspaper "CincoDias" as member of ERISTE-ICAE Group
  2.  Coauthor of 40 monthly and 8 quarterly technical reports on Economic Analysis as member of ERISTE-ICAE Group (ISSN for quarterly reports: 1139-1960)