Grigory Vilkov : Citation Profile

Are you Grigory Vilkov?

Frankfurt School of Finance and Management

6

H index

5

i10 index

416

Citations

RESEARCH PRODUCTION:

9

Articles

17

Papers

RESEARCH ACTIVITY:

   15 years (2009 - 2024). See details.
   Cites by year: 27
   Journals where Grigory Vilkov has often published
   Relations with other researchers
   Recent citing documents: 64.    Total self citations: 2 (0.48 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pvi267
   Updated: 2024-12-03    RAS profile: 2024-09-06    
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Relations with other researchers

Works with:

Deku, Solomon (4)

Liew, Chee (4)

Bos, Charles (4)

Füllbrunn, Sascha (4)

Sojli, Elvira (4)

Reitz, Stefan (4)

Palan, Stefan (4)

Stefanova, Denitsa (4)

Horenstein, Alex (4)

Walther, Thomas (4)

Talavera, Oleksandr (4)

Korajczyk, Robert (4)

Gehrig, Thomas (4)

Dreber, Anna (4)

CAPELLE-BLANCARD, Gunther (4)

Pastor, Lubos (4)

Wolff, Christian (4)

FERROUHI, EL MEHDI (4)

Deev, Oleg (4)

Jurkatis, Simon (4)

Renault, Thomas (4)

Ødegaard, Bernt (4)

Brownlees, Christian (4)

Hautsch, Nikolaus (4)

Ait-Sahalia, Yacine (4)

Hurlin, Christophe (4)

Nielsson, Ulf (4)

Menkveld, Albert (4)

Shachar, Or (4)

Sarno, Lucio (4)

Foucault, Thierry (4)

Ranaldo, Angelo (4)

Rinne, Kalle (4)

Johannesson, Magnus (4)

Jalkh, Naji (4)

Frömmel, Michael (4)

Harris, Jeffrey (4)

Zhang, S. Sarah (4)

Colliard, Jean-Edouard (4)

Chernov, Mikhail (4)

Dimpfl, Thomas (4)

Lof, Matthijs (4)

Huang, Wenqian (4)

Davies, Ryan (4)

Schwarz, Marco (4)

Verousis, Thanos (4)

Schuerhoff, Norman (4)

Caporin, Massimiliano (4)

Pasquariello, Paolo (4)

Smales, Lee (4)

Frijns, Bart (4)

Schenk-Hoppé, Klaus (4)

Alexeev, Vitali (3)

Xiu, Dacheng (3)

Neszveda, Gabor (3)

Holzmeister, Felix (3)

Bohorquez Correa, Santiago (3)

Voigt, Stefan (3)

Degryse, Hans (3)

Koetter, Michael (3)

Taylor, Nick (3)

Güçbilmez, Ufuk (3)

Roy, Saurabh (3)

Aloosh, Arash (3)

Wilhelmsson, Anders (3)

Xia, Shuo (3)

Eugster, Nicolas (3)

Mihet, Roxana (3)

Wong, Wing-Keung (2)

Prokopczuk, Marcel (2)

Putnins, Talis (2)

Patton, Andrew (2)

Theissen, Erik (2)

Pelizzon, Loriana (2)

Bouri, Elie (2)

Rakowski, David (2)

Patel, Vinay (2)

Chow, Nikolai Sheung-Chi (2)

Gerritsen, Dirk (2)

Lajaunie, Quentin (2)

Hjalmarsson, Erik (2)

Roy, Saurabh (2)

Kassner, Bernhard (2)

Gorbenko, Arseny (2)

Regis, Luca (2)

Gil-Bazo, Javier (2)

Adrian, Tobias (2)

Tonks, Ian (2)

Park, Andreas (2)

Zhou, Chen (2)

Vogel, Sebastian (2)

PASCUAL, ROBERTO (2)

Scaillet, Olivier (2)

Bjønnes, Geir (2)

Moinas, Sophie (2)

Ferrara, Gerardo (2)

Dumitrescu, Ariadna (2)

Söderlind, Paul (2)

Lopez-Lira, Alejandro (2)

Kearney, Fearghal (2)

Mele, Antonio (2)

van Kervel, Vincent (2)

Heath, Davidson (2)

Abudy, Menachem (2)

LINTON, OLIVER (2)

He, Xuezhong (Tony) (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)

Schadner, Wolfgang (7)

Mueller, Philippe (7)

Martin, Ian (7)

Bernales, Alejandro (7)

Rombouts, Jeroen (6)

Novales, Alfonso (6)

Skiadopoulos, George (5)

Jahan-Parvar, Mohammad (5)

Cites to:

Campbell, John (26)

Dumas, Bernard (15)

phalippou, ludovic (14)

Vayanos, Dimitri (14)

Uppal, Raman (14)

Calvet, Laurent (13)

Martin, Ian (11)

merton, robert (10)

Basak, Suleyman (10)

Michaelides, Alexander (10)

Pedersen, Lasse (10)

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 Papers7
Swiss Finance Institute Research Paper Series / Swiss Finance Institute3
SAFE Working Paper Series / Leibniz Institute for Financial Research SAFE2

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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2024Portfolio optimisation with options. (2021). Muguruza, Aitor ; Jacquier, Antoine ; Huckle, Thomas ; Chan, Jonathan Raimana. In: Papers. RePEc:arx:papers:2111.12658.

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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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2024The social value of overreaction to information. (2024). Bizzarri, Matteo ; D'Arienzo, Daniele. In: Papers. RePEc:arx:papers:2403.08532.

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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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2024Risk-neutral skewness and stock market returns: A time-series analysis. (2024). Zhang, LU ; Wu, Zhengyu ; Li, Xiaowei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001638.

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2024Market risk modeling with option-implied covariances and score-driven dynamics. (2024). Pia, Marco ; Herrera, Rodrigo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000615.

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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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2023A financial modeling approach to industry exchange-traded funds selection. (2023). Conlon, Thomas ; cotter, john ; Post, Thierry ; Kovalenko, Illia. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823001081.

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2024Green credit policy and corporate climate risk exposure. (2024). Wen, Shuyang ; Cao, YI ; Duan, Lin ; He, Feng. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324002172.

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2024Non-standard errors in the cryptocurrency world. (2024). Zaremba, Adam ; Poddig, Thorsten ; Gunther, Steffen ; Fieberg, Christian. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000383.

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2023Variance risk premiums and aging firms. (2023). Neururer, Thaddeus. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323006840.

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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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2024Forecasting the equity premium with frequency-decomposed technical indicators. (2024). Stein, Tobias. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:6-28.

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2024Are macroeconomic indices fools gold?. (2024). Nakata, Hiroyuki ; Motolese, Maurizio. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:217:y:2024:i:c:p:240-260.

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2023The jump leverage risk premium. (2023). Todorov, Viktor ; Bollerslev, Tim. In: Journal of Financial Economics. RePEc:eee:jfinec:v:150:y:2023:i:3:s0304405x23001630.

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2024Is it alpha or beta? Decomposing hedge fund returns when models are misspecified. (2024). Scaillet, Olivier ; Gagliardini, Patrick ; Barras, Laurent ; Ardia, David. In: Journal of Financial Economics. RePEc:eee:jfinec:v:154:y:2024:i:c:s0304405x2400028x.

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2024What difference do new factor models make in portfolio allocation?. (2024). Jiang, Fuwei ; Huang, Dashan ; Fabozzi, Frank J ; Wang, Jiexun. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:140:y:2024:i:c:s0261560623001985.

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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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2024Does Islamic investing modify portfolio performance? Time-varying optimization strategies for conventional and Shariah energy-ESG-utilities portfolio. (2024). Rezgui, Hichem ; Tavakkoli, Hamid Raza ; Rashidi, Muhammad Mahdi ; Asl, Mahdi Ghaemi. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:94:y:2024:i:c:p:37-57.

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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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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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2024Experimenting with Financial Professionals. (2022). Huber, Christoph ; Konig-Kersting, Christian. In: Working Papers. RePEc:inn:wpaper:2022-07.

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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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2024Tobin Tax, Carry Trade, and the Exchange Rate Dynamics. (2024). Zhou, Chunyang ; Li, Xiaoping. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:4:d:10.1007_s10614-023-10377-4.

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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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2023Competition and moral behavior: A meta-analysis of forty-five crowd-sourced experimental designs. (2023). Urbig, Diemo ; Spantig, Lisa ; Soraperra, Ivan ; Schmitz, Jan ; Schudy, Simeon ; Schram, Arthur ; Saral, Ali Seyhun ; Nieken, Petra ; Nesterov, Alexander ; Khadjavi, Menusch ; Johannesson, Magnus ; Huber, Christoph ; Holzmeister, Felix ; Glogowsky, Ulrich ; Freddi, Eleonora ; Fiala, Lenka ; Dreber, Anna ; Dold, Malte ; Demiral, Elif ; Bulutay, Muhammed ; Brütt, Katharina ; Barron, Kai ; Pirrone, Angelo ; Theodoropoulou, Andriana ; Cornelissen, Gert ; Mak, Vincent ; Weitzel, Utz ; Htter, Mandy ; Gasiorowska, Agata ; Peters, Kim ; Suetens, Sigrid ; Claassen, Maria Almudena ; Lucas, Brian ; Kirchler, Michael ; Hudja, Stanton ; Schneider, Florian ; Fries, Tilman ; Palumbo, Helena ; Steinme
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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2023Arbitrage Pricing Theory for Idiosyncratic Variance Factors*. (2023). , Bas ; Van, Thijs ; Renault, Eric. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:5:p:1403-1442..

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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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2023Cryptocurrency factor momentum. (2023). Zaremba, Adam ; Metko, Daniel ; Liedtke, Gerrit ; Fieberg, Christian. In: Quantitative Finance. RePEc:taf:quantf:v:23:y:2023:i:12:p:1853-1869.

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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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2024Which implied volatilities contain more information? Evidence from China. (2024). Ni, Zhongxin ; Ji, Yifan ; Wang, Linyu. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:2:p:1896-1919.

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2024Estimating real?world probabilities: A forward?looking behavioral framework. (2021). Crisostomo, Ricardo . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:11:p:1797-1823.

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2024Industry 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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2024Quality issues of implied volatilities of index and stock options in the OptionMetrics IvyDB database. (2024). Wallmeier, Martin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:5:p:854-875.

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2024.

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2024A 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]		article166
2016The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis In: Carlo Alberto Notebooks.
[Full Text][Citation analysis]		paper19
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: 19		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: 19		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
2023Value and Values Discovery in Earnings Calls 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
2017Financial Innovation and Asset Prices In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper1
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]		paper112
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: 112		article
2018Non-myopic betas In: Journal of Financial Economics.
[Full Text][Citation analysis]		article1
2024Nonstandard errors In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper9
2021Non-Standard Errors.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		paper
2021Non-Standard Errors.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		paper
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
[Full Text][Citation analysis]		paper5
2023Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks In: Management Science.
[Full Text][Citation analysis]		article0
2019Asymmetric Volatility Risk: Evidence from Option Markets In: Review of Finance.
[Full Text][Citation analysis]		article3
2012Measuring Equity Risk with Option-implied Correlations In: The Review of Financial Studies.
[Full Text][Citation analysis]		article78
2021Carbon Tail Risk In: The Review of Financial Studies.
[Full Text][Citation analysis]		article4
2024Cross-section without factors: a string model for expected returns In: Quantitative Finance.
[Full Text][Citation analysis]		article0
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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