Grigory Vilkov : Citation Profile

Are you Grigory Vilkov?

Frankfurt School of Finance and Management

6

H index

6

i10 index

391

Citations

RESEARCH PRODUCTION:

7

Articles

13

Papers

RESEARCH ACTIVITY:

   12 years (2009 - 2021). See details.
   Cites by year: 32
   Journals where Grigory Vilkov has often published
   Relations with other researchers
   Recent citing documents: 40.    Total self citations: 2 (0.51 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pvi267
   Updated: 2024-04-18    RAS profile: 2023-03-16    
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Relations with other researchers

Works with:

Chernov, Mikhail (2)

Schenk-Hoppé, Klaus (2)

Vogel, Sebastian (2)

Wilhelmsson, Anders (2)

Hjalmarsson, Erik (2)

Palan, Stefan (2)

Xiu, Dacheng (2)

Prokopczuk, Marcel (2)

Jurkatis, Simon (2)

Jalkh, Naji (2)

LINTON, OLIVER (2)

Füllbrunn, Sascha (2)

Talavera, Oleksandr (2)

Lopez-Lira, Alejandro (2)

Pasquariello, Paolo (2)

Alexeev, Vitali (2)

Ait-Sahalia, Yacine (2)

Harris, Jeffrey (2)

Hurlin, Christophe (2)

Pastor, Lubos (2)

Park, Andreas (2)

PASCUAL, ROBERTO (2)

Söderlind, Paul (2)

Menkveld, Albert (2)

Patel, Vinay (2)

Putnins, Talis (2)

Lajaunie, Quentin (2)

Theissen, Erik (2)

Wolff, Christian (2)

Korajczyk, Robert (2)

Zhou, Chen (2)

Reitz, Stefan (2)

Gehrig, Thomas (2)

Gerritsen, Dirk (2)

Verousis, Thanos (2)

Frömmel, Michael (2)

Schuerhoff, Norman (2)

Nielsson, Ulf (2)

Dimpfl, Thomas (2)

Adrian, Tobias (2)

Abudy, Menachem (2)

Taylor, Nick (2)

Liew, Chee (2)

Scaillet, Olivier (2)

Deku, Solomon (2)

Gorbenko, Arseny (2)

Heath, Davidson (2)

Deev, Oleg (2)

Johannesson, Magnus (2)

Ødegaard, Bernt (2)

CAPELLE-BLANCARD, Gunther (2)

Rinne, Kalle (2)

Bjønnes, Geir (2)

Lof, Matthijs (2)

Bohorquez Correa, Santiago (2)

Bouri, Elie (2)

Brownlees, Christian (2)

Sarno, Lucio (2)

Chow, Nikolai Sheung-Chi (2)

Wong, Wing-Keung (2)

Pelizzon, Loriana (2)

Xia, Shuo (2)

Walther, Thomas (2)

Kearney, Fearghal (2)

Caporin, Massimiliano (2)

Patton, Andrew (2)

Foucault, Thierry (2)

Holzmeister, Felix (2)

Zhang, S. Sarah (2)

Horenstein, Alex (2)

Frijns, Bart (2)

Ferrara, Gerardo (2)

Dreber, Anna (2)

Hautsch, Nikolaus (2)

Bos, Charles (2)

He, Xuezhong (Tony) (2)

Mihet, Roxana (2)

Huang, Wenqian (2)

Smales, Lee (2)

Shachar, Or (2)

Degryse, Hans (2)

Tonks, Ian (2)

Regis, Luca (2)

Roy, Saurabh (2)

Colliard, Jean-Edouard (2)

Davies, Ryan (2)

Kassner, Bernhard (2)

van Kervel, Vincent (2)

Roy, Saurabh (2)

Moinas, Sophie (2)

Dumitrescu, Ariadna (2)

Rakowski, David (2)

FERROUHI, EL MEHDI (2)

Renault, Thomas (2)

Schwarz, Marco (2)

Ranaldo, Angelo (2)

Stefanova, Denitsa (2)

Sojli, Elvira (2)

Voigt, Stefan (2)

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)

Guidolin, Massimo (8)

Martin, Ian (7)

Bernales, Alejandro (7)

Rombouts, Jeroen (6)

Schadner, Wolfgang (6)

Novales, Alfonso (6)

Jahan-Parvar, Mohammad (5)

Skiadopoulos, George (5)

Symeonidis, Lazaros (5)

Cites to:

Campbell, John (26)

Vayanos, Dimitri (14)

Uppal, Raman (13)

Dumas, Bernard (13)

Calvet, Laurent (13)

Michaelides, Alexander (10)

Pedersen, Lasse (10)

phalippou, ludovic (9)

Constantinides, George (8)

Gomes, Francisco (8)

Nagel, Stefan (7)

Main data

Where Grigory Vilkov has published?

Journals with more than one article published# docs
The Review of Financial Studies2

Working Papers Series with more than one paper published# docs
CEPR Discussion Papers / C.E.P.R. Discussion Papers6
SAFE Working Paper Series / Leibniz Institute for Financial Research SAFE2
Swiss Finance Institute Research Paper Series / Swiss Finance Institute2

Recent works citing Grigory Vilkov (2024 and 2023)

YearTitle of citing document
2024Robustifying Conditional Portfolio Decisions via Optimal Transport. (2021). Ye, Yinyu ; Delage, Erick ; Blanchet, Jose ; Zhang, Fan ; Nguyen, Viet Anh. In: Papers. RePEc:arx:papers:2103.16451.

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2023Improved Robust Price Bounds for Multi-Asset Derivatives under Market-Implied Dependence Information. (2022). Sester, Julian ; Neufeld, Ariel ; Lutkebohmert, Eva ; Ansari, Jonathan. In: Papers. RePEc:arx:papers:2204.01071.

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2024Price Discovery for Derivatives. (2023). Tseng, Michael ; Keller, Christian. In: Papers. RePEc:arx:papers:2302.13426.

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2023D-TIPO: Deep time-inconsistent portfolio optimization with stocks and options. (2023). Oosterlee, Cornelis W ; Andersson, Kristoffer. In: Papers. RePEc:arx:papers:2308.10556.

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2023Investor beliefs about transformative innovations under uncertainty. (2023). Oechslin, Manuel ; Garbely, Anja ; Binswanger, Johannes. In: Economica. RePEc:bla:econom:v:90:y:2023:i:360:p:1119-1144.

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2023Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility. (2023). Kon, N'Golo ; Carrasco, Marine. In: CIRANO Working Papers. RePEc:cir:cirwor:2023s-03.

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2024First passage times in portfolio optimization: A novel nonparametric approach. (2024). , Paulo ; Nicolau, Joo ; Zsurkis, Gabriel. In: European Journal of Operational Research. RePEc:eee:ejores:v:312:y:2024:i:3:p:1074-1085.

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2023Stock illiquidity and option returns. (2023). Uhrig-Homburg, Marliese ; Korn, Olaf ; Kanne, Stefan. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000556.

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2023Options-based systemic risk, financial distress, and macroeconomic downturns. (2023). Vioto, Davide ; Tunaru, Radu ; Bevilacqua, Mattia. In: Journal of Financial Markets. RePEc:eee:finmar:v:65:y:2023:i:c:s1386418123000320.

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2023Volatility and correlation of Islamic and conventional indices during crises. (2023). Azad, A. S. M. Sohel, ; Samet, Anis ; Chazi, Abdelaziz. In: Global Finance Journal. RePEc:eee:glofin:v:55:y:2023:i:c:s1044028322001028.

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2023Rational inattention, misallocation, and the aggregate economy. (2023). Gondhi, Naveen. In: Journal of Monetary Economics. RePEc:eee:moneco:v:136:y:2023:i:c:p:50-75.

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2023The empirical performance of option implied volatility surface-driven optimal portfolios. (2023). Guidolin, Massimo ; Wang, Kai. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:618:y:2023:i:c:s0378437123000511.

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2023The volatility index and volatility risk premium in China. (2023). Zhang, Jin E ; Gehricke, Sebastian ; Ruan, Xinfeng ; Yue, Tian. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:91:y:2023:i:c:p:40-55.

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2023Options-based systemic risk, financial distress, and macroeconomic downturns. (2023). Tunaru, Radu ; Bevilacqua, Mattia ; Vioto, Davide. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:119289.

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2023Bond Variance Risk Premia. (2012). Mueller, Philippe ; Vedolin, Andrea ; Yen, Yu-Min . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp699.

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2023Pricing of Averaged Variance, Volatility, Covariance and Correlation Swaps with Semi-Markov Volatilities. (2023). Franco, Sebastian ; Swishchuk, Anatoliy. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:9:p:162-:d:1236051.

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2023Belief Dispersion and Convex Cost of Adjustment in the Stock Market and in the Real Economy. (2023). Jouini, Elyes. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:7:p:4190-4209.

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2023The value of expected return persistence. (2023). Lang, Sebastian ; Schadner, Wolfgang. In: Annals of Finance. RePEc:kap:annfin:v:19:y:2023:i:4:d:10.1007_s10436-023-00428-z.

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2023Implied volatility surfaces: a comprehensive analysis using half a billion option prices. (2023). Zimmer, Lukas ; Ulrich, Maxim ; Merbecks, Constantin. In: Review of Derivatives Research. RePEc:kap:revdev:v:26:y:2023:i:2:d:10.1007_s11147-023-09195-5.

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2023Option implied riskiness and risk-taking incentives of executive compensation. (2023). Tsai, Weiche ; Shih, Pai-Ta ; Shen, Carl Hsin-Han ; Lu, Chia-Chi. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:60:y:2023:i:3:d:10.1007_s11156-022-01123-2.

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2023Korrelációbecslés a forintpiacon. (2023). Misik, Sandor. In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences). RePEc:ksa:szemle:2132.

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2023Reproducibility in Management Science. (2023). Ozkes, Ali ; Huber, Christoph ; Greiner, Ben ; Fišar, Miloš ; Reproducibility, Management Science ; Katok, Elena ; Fiar, Milo. In: OSF Preprints. RePEc:osf:osfxxx:mydzv.

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2023Moneyness, Underlying Asset Volatility, and the Cross-Section of Option Returns*. (2023). Poon, Ser-Huang ; Lin, Ming-Tsung ; Aretz, Kevin. In: Review of Finance. RePEc:oup:revfin:v:27:y:2023:i:1:p:289-323..

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2023Bear Beta or Speculative Beta?—Reconciling the Evidence on Downside Risk Premium. (2023). Wang, Tong. In: Review of Finance. RePEc:oup:revfin:v:27:y:2023:i:1:p:325-367..

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2023Alternative risk premium: specification noise. (2023). Fabozzi, Frank J ; Gorman, Stephen A. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:6:d:10.1057_s41260-023-00327-y.

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2023The social value of overreaction to information. (2023). D'Arienzo, Daniele ; Bizzarri, Matteo. In: CSEF Working Papers. RePEc:sef:csefwp:690.

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2023Risk neutral variances to compute expected returns using data from S&P BSE 100 firms—a replication study. (2023). Mundi, Hardeep Singh. In: Management Review Quarterly. RePEc:spr:manrev:v:73:y:2023:i:1:d:10.1007_s11301-021-00236-7.

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2023Reproducibility in Management Science. (2023). Ozkes, Ali ; Huber, Christoph ; Reproducibility, Management Science ; Katok, Elena ; Greiner, Ben ; Fiar, Milo. In: Department for Strategy and Innovation Working Paper Series. RePEc:wiw:wus055:57814527.

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2023Industry variance risk premium, cross?industry correlation, and expected returns. (2023). Xu, QI ; Luo, Xingguo ; Zhu, Yabei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:1:p:3-32.

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2023Probability weighting in commodity futures markets. (2023). Wang, Ying ; Xu, QI ; Yuan, Jun. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:4:p:516-548.

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2023Modeling skewness in portfolio choice. (2023). Markellos, Raphael ; Kourtis, Apostolos ; Le, Trung H. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:6:p:734-770.

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2023Term spreads of implied volatility smirk and variance risk premium. (2023). Zhang, Jin E ; Gehricke, Sebastian A ; Ruan, Xinfeng ; Guo, Wei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:7:p:829-857.

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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]		article161
2016The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis In: Carlo Alberto Notebooks.
[Full Text][Citation analysis]		paper17
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 nother version. Agregated cites: 17		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 nother version. Agregated cites: 17		paper
2019Sentimental Recovery In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2020Cross-Section Without Factors: Correlation Risk, Strings and Asset Prices In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
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]		paper3
2018The Implications of Financial Innovation for Capital Markets and Household Welfare In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper0
2019Correlation Risk, Strings and Asset Prices In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper0
2020Investor Sophistication and Portfolio Dynamics 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]		paper105
2013Improving Portfolio Selection Using Option-Implied Volatility and Skewness.(2013) In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 105		article
2018Non-myopic betas In: Journal of Financial Economics.
[Full Text][Citation analysis]		article1
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
[Full Text][Citation analysis]		paper10
2021Non-Standard Errors.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2019Asymmetric Volatility Risk: Evidence from Option Markets In: Review of Finance.
[Full Text][Citation analysis]		article1
2012Measuring Equity Risk with Option-implied Correlations In: The Review of Financial Studies.
[Full Text][Citation analysis]		article76
2021Carbon Tail Risk In: The Review of Financial Studies.
[Full Text][Citation analysis]		article2
2015Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper13

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