Grigory Vilkov : Citation Profile

Are you Grigory Vilkov?

Frankfurt School of Finance and Management

5

H index

4

i10 index

259

Citations

RESEARCH PRODUCTION:

5

Articles

7

Papers

RESEARCH ACTIVITY:

   9 years (2009 - 2018). See details.
   Cites by year: 28
   Journals where Grigory Vilkov has often published
   Relations with other researchers
   Recent citing documents: 60.    Total self citations: 2 (0.77 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pvi267
   Updated: 2021-01-02    RAS profile: 2019-03-06    
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Relations with other researchers

Works with:

Uppal, Raman (6)

Dumas, Bernard (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Grigory Vilkov.

Is cited by:

Prokopczuk, Marcel (15)

Stentoft, Lars (11)

Christoffersen, Peter (9)

Rombouts, Jeroen (6)

Bernales, Alejandro (6)

Guidolin, Massimo (6)

Novales, Alfonso (6)

Skiadopoulos, George (5)

Symeonidis, Lazaros (5)

KOSTAKIS, ALEXANDROS (4)

Martin, Ian (4)

Cites to:

Campbell, John (11)

Pedersen, Lasse (7)

Vayanos, Dimitri (7)

Kondor, Péter (5)

Uppal, Raman (5)

Dumas, Bernard (5)

Epstein, Larry (4)

Santa-Clara, Pedro (4)

Brunnermeier, Markus (4)

Fama, Eugene (4)

Zin, Stanley (4)

Main data

Where Grigory Vilkov has published?

Working Papers Series with more than one paper published# docs
SAFE Working Paper Series / Leibniz Institute for Financial Research SAFE2

Recent works citing Grigory Vilkov (2020 and 2019)

YearTitle of citing document
2020Equilibrium Asset Pricing with Transaction Costs. (2019). Possamai, Dylan ; Muhle-Karbe, Johannes ; Herdegen, Martin. In: Papers. RePEc:arx:papers:1901.10989.

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2019Correlation Patterns in Foreign Exchange Markets. (2019). Kocarev, Ljupco ; Utkovski, Zoran ; Stojkoski, Viktor ; Basnarkov, Lasko. In: Papers. RePEc:arx:papers:1902.06483.

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2020Asset Pricing with Heterogeneous Beliefs and Illiquidity. (2019). Tan, Xiaowei ; Nutz, Marcel ; Muhle-Karbe, Johannes. In: Papers. RePEc:arx:papers:1905.05730.

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2020Trading Strategies and Market Color: The Benefits of Friendship with Quantitative Analysts and Financial Engineers. (2019). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1910.02144.

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2020A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400.

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2020Implied Basket Correlation Dynamics. (2020). Silyakova, Elena ; Hardle, Wolfgang Karl. In: Papers. RePEc:arx:papers:2009.09770.

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2020Asset Allocation via Machine Learning and Applications to Equity Portfolio Management. (2020). Hong, Zhenning ; Yang, Qing ; Zhang, Liangliang ; Ye, Tingting ; Tian, Ruyan. In: Papers. RePEc:arx:papers:2011.00572.

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2020Estimating real-world probabilities: A forward-looking behavioral framework. (2020). Cris, Ricardo. In: Papers. RePEc:arx:papers:2012.09041.

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2020The Co‐Movement of Credit Default Swap Spreads, Equity Returns and Volatility: Evidence from Asia‐Pacific Markets. (2020). Gottschalk, Katrin ; da Fonseca, Jose. In: International Review of Finance. RePEc:bla:irvfin:v:20:y:2020:i:3:p:551-579.

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2020Option Profit and Loss Attribution and Pricing: A New Framework. (2020). Wu, Liuren ; Carr, Peter. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:2271-2316.

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2020Low‐Risk Anomalies?. (2020). Zechner, Josef ; Wagner, Christian ; Schneider, Paul. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2673-2718.

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2020PREDICTING SYSTEMATIC RISK WITH MACROECONOMIC AND FINANCIAL VARIABLES. (2020). Ibrushi, Denada ; Cenesizoglu, Tolga. In: Journal of Financial Research. RePEc:bla:jfnres:v:43:y:2020:i:3:p:649-673.

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2020Catastrophe Risk and the Implied Volatility Smile. (2020). ben Ammar, Semir. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:87:y:2020:i:2:p:381-405.

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2020Asset pricing with heterogeneous beliefs and illiquidity. (2020). Tan, Xiaowei ; Nutz, Marcel ; Muhlekarbe, Johannes. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1392-1421.

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2020Speculation-Driven Business Cycles. (2020). Zilberman, Eduardo ; Bigio, Saki. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:865.

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2020Variance risk: A bird’s eye view. (2020). Simen, Chardin Wese ; Hollstein, Fabian. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:517-535.

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2019Dynamic portfolio allocation with time-varying jump risk. (2019). Wang, Yudong ; Wu, Chongfeng ; Zhou, Chunyang . In: Journal of Empirical Finance. RePEc:eee:empfin:v:50:y:2019:i:c:p:113-124.

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2020Biased information weight processing in stock markets. (2020). Langer, Thomas ; Mohrschladt, Hannes. In: Journal of Empirical Finance. RePEc:eee:empfin:v:57:y:2020:i:c:p:89-106.

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2019Improving futures hedging performance using option information: Evidence from the S&P 500 index. (2019). Liu, LI ; Pan, Zhiyuan ; Bai, Yujuan. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:112-117.

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2019Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section. (2019). Prokopczuk, Marcel ; Hollstein, Fabian ; Simen, Chardin Wese. In: Journal of Financial Markets. RePEc:eee:finmar:v:44:y:2019:i:c:p:91-118.

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2020Looking through systemic credit risk: Determinants, stress testing and market value. (2020). Novales, Alfonso ; Chamizo, Alvaro. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:64:y:2020:i:c:s1042443119300939.

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2020Macro disagreement and international options markets. (2020). Xiong, Xiong ; Theocharides, George ; Lu, Lei ; Li, Hong. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:65:y:2020:i:c:s1042443120300718.

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2019Asset prices and “the devil(s) you know”. (2019). Prokopczuk, Marcel ; Hollstein, Fabian ; Benno, Duc Binh. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:105:y:2019:i:c:p:20-35.

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2019The information content of forward moments. (2019). Taamouti, Abderrahim ; Kagkadis, Anastasios ; Andreou, Panayiotis C ; Philip, Dennis. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:106:y:2019:i:c:p:527-541.

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2020Election uncertainty, economic policy uncertainty and financial market uncertainty: A prediction market analysis. (2020). McGroarty, Frank ; McGee, Richard J ; Goodell, John W. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:110:y:2020:i:c:s0378426619302584.

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2020Pricing individual stock options using both stock and market index information. (2020). Stentoft, Lars ; Violante, Francesco. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619303000.

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2020Beta uncertainty. (2020). Prokopczuk, Marcel ; Simen, Chardin Wese ; Hollstein, Fabian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:116:y:2020:i:c:s0378426620301011.

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2020Affine multivariate GARCH models. (2020). Stentoft, Lars ; Rastegari, Javad ; Escobar-Anel, Marcos. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301618.

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2019The leverage effect and the basket-index put spread. (2019). Bai, Jennie ; Yang, Fan ; Goldstein, Robert S. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:1:p:186-205.

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2019An anatomy of the market return. (2019). Schneider, Paul. In: Journal of Financial Economics. RePEc:eee:jfinec:v:132:y:2019:i:2:p:325-350.

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2020Measuring skewness premia. (2020). Langlois, Hugues. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:2:p:399-424.

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2019Correlation patterns in foreign exchange markets. (2019). Utkovski, Zoran ; Stojkoski, Viktor ; Basnarkov, Lasko ; Kocarev, Ljupco. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:1026-1037.

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2020How informative are variance risk premium and implied volatility for Value-at-Risk prediction? International evidence. (2020). Boughrara, Adel ; Dahmene, Meriam ; Slim, Skander. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:76:y:2020:i:c:p:22-37.

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2020Dynamics of variance risk premium: Evidence from India. (2020). Lukose, Jijo ; Ramachandran, Shankar ; Sankar, Ganesh . In: International Review of Economics & Finance. RePEc:eee:reveco:v:70:y:2020:i:c:p:321-334.

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2019The economic value of Bitcoin: A portfolio analysis of currencies, gold, oil and stocks. (2019). Chalvatzis, Konstantinos J ; Symitsi, Efthymia. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:97-110.

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2019Splitting Credit Risk into Systemic, Sectorial and Idiosyncratic Components. (2019). Chamizo, Alvaro ; Novales, Alfonso. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:3:p:129-:d:255199.

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2019The Influence of Domestic and Foreign Shocks on Portfolio Diversification Gains and the Associated Risks. (2019). Narayan, Seema. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:4:p:160-:d:274897.

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2019A New Predictor of U.S. Real Economic Activity: The S&P 500 Option Implied Risk Aversion. (2019). Skiadopoulos, George ; Faccini, Renato ; Sarantopoulou-Chiourea, Sylvia ; Konstantinidi, Eirini. In: Management Science. RePEc:inm:ormnsc:v:65:y:2019:i:10:p:4927-4949.

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2020The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas. (2020). Prokopczuk, Marcel ; Simen, Chardin Wese ; Hollstein, Fabian. In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:6:p:2474-2494.

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2019Market Timing with Option-Implied Distributions in an Exponentially Tempered Stable Lévy Market. (2019). Polaski, Zachary ; Guerra, Manuel. In: Working Papers REM. RePEc:ise:remwps:wp0742019.

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2020Option-implied information: What’s the vol surface got to do with it?. (2020). Walther, Simon ; Ulrich, Maxim. In: Review of Derivatives Research. RePEc:kap:revdev:v:23:y:2020:i:3:d:10.1007_s11147-020-09166-0.

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2020Conditional dependence in post-crisis markets: dispersion and correlation skew trades. (2020). Sokolinskiy, Oleg. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:55:y:2020:i:2:d:10.1007_s11156-019-00847-y.

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2020Comparing mean–variance portfolios and equal-weight portfolios for major US equity indexes. (2020). Schmidt, Anatoly B ; Cai, Haotian. In: Journal of Asset Management. RePEc:pal:assmgt:v:21:y:2020:i:4:d:10.1057_s41260-020-00173-2.

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2019Managing portfolio diversity within the mean variance theory. (2019). Schmidt, Anatoly B. In: Annals of Operations Research. RePEc:spr:annopr:v:282:y:2019:i:1:d:10.1007_s10479-018-2896-x.

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2020The Black–Litterman model and views from a reverse optimization procedure: an out-of-sample performance evaluation. (2020). Allaj, Erindi. In: Computational Management Science. RePEc:spr:comgts:v:17:y:2020:i:3:d:10.1007_s10287-020-00373-6.

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2020The term structure of implied costs of equity capital. (2020). Callen, Jeffrey L ; Lyle, Matthew R. In: Review of Accounting Studies. RePEc:spr:reaccs:v:25:y:2020:i:1:d:10.1007_s11142-019-09513-z.

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2019Looking through systemic credit risk: determinants, stress testing and market value. (2019). Novales, Alfonso ; Chamizo, Alvaro. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1927.

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2019Robust Estimation of Risk-Neutral Moments. (2019). Feser, Alexander ; Ammann, Manuel. In: Working Papers on Finance. RePEc:usg:sfwpfi:2019:02.

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2019Credit Variance Risk Premiums. (2019). Morke, Mathis ; Ammann, Manuel. In: Working Papers on Finance. RePEc:usg:sfwpfi:2019:08.

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2019How do US options traders “smirk” on China? Evidence from FXI options. (2019). Li, Jianhui ; Zhang, Jin E ; Gehricke, Sebastian A. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:11:p:1450-1470.

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2019Correlation risk and international portfolio choice. (2019). Weisheit, Stefan ; Muck, Matthias ; Branger, Nicole. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:1:p:128-146.

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2019Option‐implied betas and the cross section of stock returns. (2019). Harris, Richard ; Qiao, Fang ; Li, Xuguang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:1:p:94-108.

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2019Indian equity options: Smile, risk premiums, and efficiency. (2019). Varma, Jayanth ; Jain, Sonali ; Agarwalla, Sobhesh Kumar. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:2:p:150-163.

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2019Do hedge funds time market tail risk? Evidence from option‐implied tail risk. (2019). Kim, Minki ; Shin, Jungsoon ; Oh, Dongjun. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:2:p:205-237.

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2019The term structure of systematic and idiosyncratic risk. (2019). Prokopczuk, Marcel ; Hollstein, Fabian ; Simen, Chardin Wese. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:4:p:435-460.

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2019Robust estimation of risk‐neutral moments. (2019). Feser, Alexander ; Ammann, Manuel. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:9:p:1137-1166.

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2020What do we know about individual equity options?. (2020). Verousis, Thanos ; Bernales, Alejandro ; Zhang, Mengyu ; Voukelatos, Nikolaos. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:1:p:67-91.

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2020Incorporating time‐varying jump intensities in the mean‐variance portfolio decisions. (2020). Wu, Chongfeng ; Zhou, Chunyang ; Xu, Weidong. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:3:p:460-478.

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2020Index options open interest and stock market returns. (2020). Seo, Sung Won ; Kim, Jun Sik ; Byun, Suk Joon. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:6:p:989-1010.

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2020Implied Volatility Duration: A measure for the timing of uncertainty resolution. (2020). Weber, Rudiger ; Thimme, Julian ; Schlag, Christian. In: SAFE Working Paper Series. RePEc:zbw:safewp:265.

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Works by Grigory Vilkov:

YearTitleTypeCited
2009The Price of Correlation Risk: Evidence from Equity Options In: Journal of Finance.
[Full Text][Citation analysis]		article120
2016The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis In: Carlo Alberto Notebooks.
[Full Text][Citation analysis]		paper6
2016The intended and unintended consequences of financial-market regulations: A general-equilibrium analysis.(2016) In: Journal of Monetary Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		article
2016The intended and unintended consequences of financial-market regulations: A general equilibrium analysis.(2016) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
2015Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper2
2018Expected Correlation and Future Market Returns In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper0
2018The Implications of Financial Innovation for Capital Markets and Household Welfare In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper0
2010Improving Portfolio Selection Using Option-Implied Volatility and Skewness In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper70
2013Improving Portfolio Selection Using Option-Implied Volatility and Skewness.(2013) In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 70		article
2018Non-myopic betas In: Journal of Financial Economics.
[Full Text][Citation analysis]		article1
2012Measuring Equity Risk with Option-implied Correlations In: Review of Financial Studies.
[Full Text][Citation analysis]		article49
2015Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper11

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