Details about Grigory Vilkov

Access statistics for papers by Grigory Vilkov.

Last updated 2024-09-06. Update your information in the RePEc Author Service.

Short-id: pvi267

Working Papers

2024

1. Nonstandard errors
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (2)
   Also in Working Papers, Lund University, Department of Economics (2021)
   Working Papers, Faculty of Economics and Statistics, Universität Innsbruck (2021) View citations (6)
   See also Journal Article Nonstandard Errors, Journal of Finance, American Finance Association (2024) View citations (2) (2024)

2023

2. Value and Values Discovery in Earnings Calls
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2021

3. Dynamics of Asset Demands with Confidence Heterogeneity
   CEPR Discussion Papers, C.E.P.R. Discussion Papers

2020

4. Cross-Section Without Factors: Correlation Risk, Strings and Asset Prices
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
5. Investor Sophistication and Portfolio Dynamics
   CEPR Discussion Papers, C.E.P.R. Discussion Papers

2019

6. Correlation Risk, Strings and Asset Prices
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
7. Sentimental Recovery
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2018

8. Expected Correlation and Future Market Returns
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)
9. The Implications of Financial Innovation for Capital Markets and Household Welfare
   CEPR Discussion Papers, C.E.P.R. Discussion Papers

2017

10. Financial Innovation and Asset Prices
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)

2016

11. The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis
    Carlo Alberto Notebooks, Collegio Carlo Alberto View citations (18)
    Also in SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE (2016) View citations (19)
    See also Journal Article The intended and unintended consequences of financial-market regulations: A general-equilibrium analysis, Journal of Monetary Economics, Elsevier (2016) View citations (17) (2016)

2015

12. Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (13)
13. Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)

2010

14. Improving Portfolio Selection Using Option-Implied Volatility and Skewness
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (22)
    See also Journal Article Improving Portfolio Selection Using Option-Implied Volatility and Skewness, Journal of Financial and Quantitative Analysis, Cambridge University Press (2013) View citations (100) (2013)

Journal Articles

2024

1. Cross-section without factors: a string model for expected returns
   Quantitative Finance, 2024, 24, (6), 693-718
2. Nonstandard Errors
   Journal of Finance, 2024, 79, (3), 2339-2390 View citations (2)
   See also Working Paper Nonstandard errors, LSE Research Online Documents on Economics (2024) View citations (2) (2024)

2023

3. Firm‐Level Climate Change Exposure
   Journal of Finance, 2023, 78, (3), 1449-1498 View citations (36)
4. Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks
   Management Science, 2023, 69, (2), 922-939 View citations (3)
5. Pricing Climate Change Exposure
   Management Science, 2023, 69, (12), 7540-7561

2021

6. Carbon Tail Risk
   (Measuring economic policy uncertainty)
   The Review of Financial Studies, 2021, 34, (3), 1540-1571 View citations (5)

2019

7. Asymmetric Volatility Risk: Evidence from Option Markets
   Review of Finance, 2019, 23, (4), 777-799 View citations (3)

2018

8. Non-myopic betas
   Journal of Financial Economics, 2018, 129, (2), 357-381 View citations (1)

2016

9. The intended and unintended consequences of financial-market regulations: A general-equilibrium analysis
   Journal of Monetary Economics, 2016, 81, (C), 25-43 View citations (17)
   See also Working Paper The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis, Carlo Alberto Notebooks (2016) View citations (18) (2016)

2013

10. Improving Portfolio Selection Using Option-Implied Volatility and Skewness
    Journal of Financial and Quantitative Analysis, 2013, 48, (6), 1813-1845 View citations (100)
    See also Working Paper Improving Portfolio Selection Using Option-Implied Volatility and Skewness, CEPR Discussion Papers (2010) View citations (22) (2010)

2012

11. Measuring Equity Risk with Option-implied Correlations
    The Review of Financial Studies, 2012, 25, (10), 3113-3140 View citations (81)

2009

12. The Price of Correlation Risk: Evidence from Equity Options
    Journal of Finance, 2009, 64, (3), 1377-1406 View citations (166)