Grigory Vilkov : Citation Profile

Are you Grigory Vilkov?

Frankfurt School of Finance and Management

5

H index

5

i10 index

362

Citations

RESEARCH PRODUCTION:

7

Articles

13

Papers

RESEARCH ACTIVITY:

   12 years (2009 - 2021). See details.
   Cites by year: 30
   Journals where Grigory Vilkov has often published
   Relations with other researchers
   Recent citing documents: 43.    Total self citations: 2 (0.55 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pvi267
   Updated: 2023-11-04    RAS profile: 2023-03-16    
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Relations with other researchers

Works with:

Nielsson, Ulf (2)

Putnins, Talis (2)

FERROUHI, EL MEHDI (2)

He, Xuezhong (Tony) (2)

Hautsch, Nikolaus (2)

Colliard, Jean-Edouard (2)

Hurlin, Christophe (2)

PASCUAL, ROBERTO (2)

Brownlees, Christian (2)

Caporin, Massimiliano (2)

Bos, Charles (2)

Foucault, Thierry (2)

Xiu, Dacheng (2)

Renault, Thomas (2)

Deev, Oleg (2)

Sarno, Lucio (2)

Pastor, Lubos (2)

Ferrara, Gerardo (2)

van Kervel, Vincent (2)

Reitz, Stefan (2)

Wolff, Christian (2)

Liew, Chee (2)

Sojli, Elvira (2)

Verousis, Thanos (2)

Holzmeister, Felix (2)

Dimpfl, Thomas (2)

Lof, Matthijs (2)

Ranaldo, Angelo (2)

Lajaunie, Quentin (2)

Park, Andreas (2)

Rinne, Kalle (2)

Taylor, Nick (2)

Pelizzon, Loriana (2)

Dumitrescu, Ariadna (2)

Frijns, Bart (2)

Palan, Stefan (2)

LINTON, OLIVER (2)

Rakowski, David (2)

Xia, Shuo (2)

Zhou, Chen (2)

Jurkatis, Simon (2)

Mihet, Roxana (2)

Chernov, Mikhail (2)

Kassner, Bernhard (2)

Tonks, Ian (2)

Ait-Sahalia, Yacine (2)

Schuerhoff, Norman (2)

Scaillet, Olivier (2)

Hjalmarsson, Erik (2)

Menkveld, Albert (2)

Bouri, Elie (2)

Patel, Vinay (2)

Walther, Thomas (2)

Dreber, Anna (2)

Adrian, Tobias (2)

Regis, Luca (2)

Ødegaard, Bernt (2)

Smales, Lee (2)

Patton, Andrew (2)

Horenstein, Alex (2)

Harris, Jeffrey (2)

Theissen, Erik (2)

Moinas, Sophie (2)

Bohorquez Correa, Santiago (2)

Lopez-Lira, Alejandro (2)

Gerritsen, Dirk (2)

Abudy, Menachem (2)

Uppal, Raman (2)

Prokopczuk, Marcel (2)

Gorbenko, Arseny (2)

Heath, Davidson (2)

Wong, Wing-Keung (2)

Schwarz, Marco (2)

Chow, Nikolai Sheung-Chi (2)

Kearney, Fearghal (2)

Roy, Saurabh (2)

Wilhelmsson, Anders (2)

Davies, Ryan (2)

Korajczyk, Robert (2)

Stefanova, Denitsa (2)

Frömmel, Michael (2)

Talavera, Oleksandr (2)

Deku, Solomon (2)

Pasquariello, Paolo (2)

Jalkh, Naji (2)

CAPELLE-BLANCARD, Gunther (2)

Alexeev, Vitali (2)

Johannesson, Magnus (2)

Vogel, Sebastian (2)

Schenk-Hoppé, Klaus (2)

Gehrig, Thomas (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 (7)

Bernales, Alejandro (7)

Martin, Ian (7)

Schadner, Wolfgang (6)

Rombouts, Jeroen (6)

Skiadopoulos, George (5)

Jahan-Parvar, Mohammad (5)

Symeonidis, Lazaros (5)

Violante, Francesco (4)

Cites to:

Campbell, John (26)

Vayanos, Dimitri (14)

Dumas, Bernard (13)

Uppal, Raman (13)

Calvet, Laurent (13)

Pedersen, Lasse (10)

Michaelides, Alexander (10)

phalippou, ludovic (9)

Gomes, Francisco (8)

Constantinides, George (8)

Pastor, Lubos (7)

Main data

Where Grigory Vilkov has published?

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

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

Recent works citing Grigory Vilkov (2023 and 2022)

YearTitle of citing document
2022Robustifying 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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2022Index Tracking via Learning to Predict Market Sensitivities. (2022). Choi, Yongmin ; Kim, Jeonghun ; Hong, Yoonsik. In: Papers. RePEc:arx:papers:2209.00780.

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2023Price 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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2022A volatility index for the Spanish banking sector. (2022). Gonzalez-Perez, Maria T. In: Economic Bulletin. RePEc:bde:journl:y:2022:i:03:d:aa:n:15.

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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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2022Volatility of implied volatility and mergers and acquisitions. (2022). Switzer, Lorne N ; el Meslmani, Nabil ; Betton, Sandra. In: Journal of Corporate Finance. RePEc:eee:corfin:v:75:y:2022:i:c:s0929119922000864.

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2022The stock implied volatility and the implied dividend volatility. (2022). Tunaru, Radu ; Quaye, Enoch. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:134:y:2022:i:c:s0165188921002116.

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2022Is normal backwardation normal? Valuing financial futures with a local index-rate covariance. (2022). ZIMMERMANN, Paul ; Raimbourg, Philippe. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:1:p:351-367.

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2022A toolkit for exploiting contemporaneous stock correlations. (2022). Sun, Chuanping ; Hiraki, Kazuhiro. In: Journal of Empirical Finance. RePEc:eee:empfin:v:65:y:2022:i:c:p:99-124.

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2022Do we need higher-order comoments to enhance mean-variance portfolios? Evidence from a simplified jump process. (2022). Simaan, Yusif ; Khashanah, Khaldoun. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000412.

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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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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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2022The Correlation Risk Premium: International Evidence. (2022). Wang, Tianyu ; Kosowski, Robert ; Faria, Gonalo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:136:y:2022:i:c:s0378426621003502.

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2022What can we learn from firm-level jump-induced tail risk around earnings announcements?. (2022). faff, robert ; Chan, Kam Fong ; Liu, Mengxi. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426622000097.

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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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2022Portfolio optimization under multivariate affine generalized hyperbolic distributions. (2022). Tan, Ken Seng ; Li, Bin ; Liu, Kai ; Wang, Chou-Wen. In: International Review of Economics & Finance. RePEc:eee:reveco:v:80:y:2022:i:c:p:49-66.

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2022Capital control and monetary policy coordination: Tobin tax revisited. (2022). Xiao, Zumian ; Peng, Hongfeng ; Yin, Zhichao. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001355.

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2022International Correlation Risk. (). Mueller, Philippe ; Stathopoulos, Andreas ; Vedolin, Andrea. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp716.

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2022.

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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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2022Hedging with an Edge: Parametric Currency Overlay. (2022). Menichetti, Marco J ; Reichenecker, Jurij-Andrei ; Barroso, Pedro. In: Management Science. RePEc:inm:ormnsc:v:68:y:2022:i:1:p:669-689.

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2022Tactical Target Date Funds. (2022). Zhang, Yuxin ; Michaelides, Alexander ; Gomes, Francisco. In: Management Science. RePEc:inm:ormnsc:v:68:y:2022:i:4:p:3047-3070.

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2022Firm-Specific Risk-Neutral Distributions with Options and CDS. (2022). Schindler, John W ; Rosen, Samuel ; Jahan-Parvar, Mohammad R ; Aramonte, Sirio. In: Management Science. RePEc:inm:ormnsc:v:68:y:2022:i:9:p:7018-7033.

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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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2022Experimenting with Financial Professionals. (2022). Huber, Christoph ; Konig-Kersting, Christian. In: Working Papers. RePEc:inn:wpaper:2022-07.

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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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2022Equity Risk Premium Predictability from Cross-Sectoral Downturns. (2022). Zambrano, Juan Arismendi ; Faias, Jos Afonso. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:12:y:2022:i:3:p:808-842..

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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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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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2022Relative Investor Sentiment Measurement. (2022). Wang, Zhan ; Walther, Thomas ; Koedijk, Kees ; Gao, Xiang. In: Working Papers. RePEc:use:tkiwps:2205.

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2022Can Volatility Solve the Naive Portfolio Puzzle?. (2022). Curran, Michael ; Zalla, Ryan ; O'Sullivan, Patrick. In: Villanova School of Business Department of Economics and Statistics Working Paper Series. RePEc:vil:papers:52.

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2022Vines climbing higher: Risk management for commodity futures markets using a regular vine copula approach. (2022). Wang, Shixuan ; Liu, Zhenya. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:2:p:2438-2457.

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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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2022A note on the use of syndicated loan data. (2022). Tonzer, Lena ; Noth, Felix ; Muller, Isabella. In: IWH Discussion Papers. RePEc:zbw:iwhdps:172022.

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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]		article153
2016The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis In: Carlo Alberto Notebooks.
[Full Text][Citation analysis]		paper15
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: 15		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: 15		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]		paper99
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: 99		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]		paper2
2021Non-Standard Errors.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		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: Review of Financial Studies.
[Full Text][Citation analysis]		article71
2021Carbon Tail Risk In: 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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