5
H index
4
i10 index
259
Citations
Frankfurt School of Finance and Management | 5 H index 4 i10 index 259 Citations RESEARCH PRODUCTION: 5 Articles 7 Papers RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Grigory Vilkov. | Is cited by: | Cites to: |
Working Papers Series with more than one paper published | # docs |
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SAFE Working Paper Series / Leibniz Institute for Financial Research SAFE | 2 |
Year | Title of citing document |
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2020 | Equilibrium Asset Pricing with Transaction Costs. (2019). Possamai, Dylan ; Muhle-Karbe, Johannes ; Herdegen, Martin. In: Papers. RePEc:arx:papers:1901.10989. Full description at Econpapers || Download paper |
2019 | Correlation Patterns in Foreign Exchange Markets. (2019). Kocarev, Ljupco ; Utkovski, Zoran ; Stojkoski, Viktor ; Basnarkov, Lasko. In: Papers. RePEc:arx:papers:1902.06483. Full description at Econpapers || Download paper |
2020 | Asset Pricing with Heterogeneous Beliefs and Illiquidity. (2019). Tan, Xiaowei ; Nutz, Marcel ; Muhle-Karbe, Johannes. In: Papers. RePEc:arx:papers:1905.05730. Full description at Econpapers || Download paper |
2020 | Trading Strategies and Market Color: The Benefits of Friendship with Quantitative Analysts and Financial Engineers. (2019). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1910.02144. Full description at Econpapers || Download paper |
2020 | A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400. Full description at Econpapers || Download paper |
2020 | Implied Basket Correlation Dynamics. (2020). Silyakova, Elena ; Hardle, Wolfgang Karl. In: Papers. RePEc:arx:papers:2009.09770. Full description at Econpapers || Download paper |
2020 | Asset 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. Full description at Econpapers || Download paper |
2020 | Estimating real-world probabilities: A forward-looking behavioral framework. (2020). Cris, Ricardo. In: Papers. RePEc:arx:papers:2012.09041. Full description at Econpapers || Download paper |
2020 | The Coâ€Movement of Credit Default Swap Spreads, Equity Returns and Volatility: Evidence from Asiaâ€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. Full description at Econpapers || Download paper |
2020 | Option 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. Full description at Econpapers || Download paper |
2020 | Lowâ€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. Full description at Econpapers || Download paper |
2020 | PREDICTING 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. Full description at Econpapers || Download paper |
2020 | Catastrophe 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. Full description at Econpapers || Download paper |
2020 | Asset 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. Full description at Econpapers || Download paper |
2020 | Speculation-Driven Business Cycles. (2020). Zilberman, Eduardo ; Bigio, Saki. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:865. Full description at Econpapers || Download paper |
2020 | Variance 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. Full description at Econpapers || Download paper |
2019 | Dynamic 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. Full description at Econpapers || Download paper |
2020 | Biased 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. Full description at Econpapers || Download paper |
2019 | Improving 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. Full description at Econpapers || Download paper |
2019 | Estimating 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. Full description at Econpapers || Download paper |
2020 | Looking 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. Full description at Econpapers || Download paper |
2020 | Macro 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. Full description at Econpapers || Download paper |
2019 | Asset prices and “the devil(s) you knowâ€. (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. Full description at Econpapers || Download paper |
2019 | The 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. Full description at Econpapers || Download paper |
2020 | Election 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. Full description at Econpapers || Download paper |
2020 | Pricing 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. Full description at Econpapers || Download paper |
2020 | Beta uncertainty. (2020). Prokopczuk, Marcel ; Simen, Chardin Wese ; Hollstein, Fabian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:116:y:2020:i:c:s0378426620301011. Full description at Econpapers || Download paper |
2020 | Affine 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. Full description at Econpapers || Download paper |
2019 | The 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. Full description at Econpapers || Download paper |
2019 | An 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. Full description at Econpapers || Download paper |
2020 | Measuring skewness premia. (2020). Langlois, Hugues. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:2:p:399-424. Full description at Econpapers || Download paper |
2019 | Correlation 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. Full description at Econpapers || Download paper |
2020 | How 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. Full description at Econpapers || Download paper |
2020 | Dynamics 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. Full description at Econpapers || Download paper |
2019 | The 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. Full description at Econpapers || Download paper |
2019 | Splitting 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. Full description at Econpapers || Download paper |
2019 | The 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. Full description at Econpapers || Download paper |
2019 | A 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. Full description at Econpapers || Download paper |
2020 | The 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. Full description at Econpapers || Download paper |
2019 | Market 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. Full description at Econpapers || Download paper |
2020 | Option-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. Full description at Econpapers || Download paper |
2020 | Conditional 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. Full description at Econpapers || Download paper |
2020 | Comparing 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. Full description at Econpapers || Download paper |
2019 | Managing 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. Full description at Econpapers || Download paper |
2020 | The 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. Full description at Econpapers || Download paper |
2020 | The 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. Full description at Econpapers || Download paper |
2019 | Looking 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. Full description at Econpapers || Download paper |
2019 | Robust Estimation of Risk-Neutral Moments. (2019). Feser, Alexander ; Ammann, Manuel. In: Working Papers on Finance. RePEc:usg:sfwpfi:2019:02. Full description at Econpapers || Download paper |
2019 | Credit Variance Risk Premiums. (2019). Morke, Mathis ; Ammann, Manuel. In: Working Papers on Finance. RePEc:usg:sfwpfi:2019:08. Full description at Econpapers || Download paper |
2019 | How 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. Full description at Econpapers || Download paper |
2019 | Correlation 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. Full description at Econpapers || Download paper |
2019 | Optionâ€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. Full description at Econpapers || Download paper |
2019 | Indian 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. Full description at Econpapers || Download paper |
2019 | Do hedge funds time market tail risk? Evidence from optionâ€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. Full description at Econpapers || Download paper |
2019 | The 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. Full description at Econpapers || Download paper |
2019 | Robust estimation of riskâ€neutral moments. (2019). Feser, Alexander ; Ammann, Manuel. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:9:p:1137-1166. Full description at Econpapers || Download paper |
2020 | What 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. Full description at Econpapers || Download paper |
2020 | Incorporating timeâ€varying jump intensities in the meanâ€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. Full description at Econpapers || Download paper |
2020 | Index 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. Full description at Econpapers || Download paper |
2020 | Implied 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. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2009 | The Price of Correlation Risk: Evidence from Equity Options In: Journal of Finance. [Full Text][Citation analysis] | article | 120 |
2016 | The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 6 |
2016 | The 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 | |
2016 | The 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 | |
2015 | Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
2018 | Expected Correlation and Future Market Returns In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2018 | The Implications of Financial Innovation for Capital Markets and Household Welfare In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2010 | Improving Portfolio Selection Using Option-Implied Volatility and Skewness In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 70 |
2013 | Improving 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 | |
2018 | Non-myopic betas In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 1 |
2012 | Measuring Equity Risk with Option-implied Correlations In: Review of Financial Studies. [Full Text][Citation analysis] | article | 49 |
2015 | Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs In: SAFE Working Paper Series. [Full Text][Citation analysis] | paper | 11 |
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