Grigory Vilkov
Grigory Vilkov
Frankfurt School of Finance and Management
Bestätigte E-Mail-Adresse bei vilkov.net - Startseite
Titel
Zitiert von
Zitiert von
Jahr
The price of correlation risk: Evidence from equity options
J Driessen, PJ Maenhout, G Vilkov
The Journal of Finance 64 (3), 1377-1406, 2009
3942009
Improving portfolio selection using option-implied volatility and skewness
V DeMiguel, Y Plyakha, R Uppal, G Vilkov
Journal of Financial and Quantitative Analysis, 1813-1845, 2013
1892013
Measuring equity risk with option-implied correlations
A Buss, G Vilkov
The Review of Financial Studies 25 (10), 3113-3140, 2012
171*2012
Option-implied correlations and the price of correlation risk
J Driessen, PJ Maenhout, G Vilkov
Netspar discussion paper, 2013
1402013
Why does an equal-weighted portfolio outperform value-and price-weighted portfolios?
Y Plyakha, R Uppal, G Vilkov
Available at SSRN 2724535, 2012
128*2012
Risk-neutral skewness: Return predictability and its sources
Z Rehman, G Vilkov
Available at SSRN 1301648, 2012
111*2012
Equal or value weighting: Implications for Asset Pricing Tests
Y Plyakha, R Uppal, G Vilkov
622014
Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs
A Buss, R Uppal, G Vilkov
SAFE Working Paper, 2015
43*2015
Carbon tail risk
E Ilhan, Z Sautner, G Vilkov
Available at SSRN 3204420, 2019
362019
Option-implied information and predictability of extreme returns
G Vilkov, Y Xiao
SAFE Working Paper, 2013
292013
The intended and unintended consequences of financial-market regulations: A general-equilibrium analysis
A Buss, B Dumas, R Uppal, G Vilkov
Journal of Monetary Economics 81, 25-43, 2016
24*2016
Asymmetric volatility risk: Evidence from option markets
JC Jackwerth, G Vilkov
Review of Finance 23 (4), 777-799, 2019
182019
Variance risk premium demystified
G Vilkov
Available at SSRN 891360, 2008
17*2008
The dynamics of risk-neutral implied moments: Evidence from individual options
A Hansis, C Schlag, G Vilkov
Available at SSRN 1470674, 2010
162010
Non-myopic betas
S Malamud, G Vilkov
Journal of Financial Economics 129 (2), 357-381, 2018
122018
Option-implied correlations, factor models, and market risk
A Buss, L Schönleber, G Vilkov
INSEAD Working Paper, 2016
102016
Expected stock returns and the correlation risk premium
A Buss, L Schönleber, G Vilkov
Centre for Economic Policy Research, 2018
92018
Financial Innovation and Asset Prices
A Buss, R Uppal, G Vilkov
CEPR Discussion Paper No. DP12416, 2017
8*2017
A short note on the Tobin tax: The costs and benefits of a tax on financial transactions
R Uppal
EDHEC-Risk Institute, 2011
82011
Comparing different regulatory measures to control stock market volatility
A Buss, B Dumas, R Uppal, G Vilkov
52014
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