I read a short story while I was studying in Mexico, so I am almost positive that it was a contemporary work by a Hispanic author, about a man sitting reading a book one night ( I for some reason believe it was dark and maybe stormy and that he was sitting in a chair reading by a fireplace).  He is reading about a man reading a book, and outside the character’s window there is someone lurking.  The story ends with the reader hearing a noise outside his window, insinuating that he himself is the character that he is reading about at the exact same time.