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Details about Grigory Vilkov

E-mail:
Homepage:http://www.vilkov.net
Workplace:Frankfurt School of Finance and Management, (more information at EDIRC)

Access statistics for papers by Grigory Vilkov.

Last updated 2019-03-06. Update your information in the RePEc Author Service.

Short-id: pvi267


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Working Papers

2018

  1. Expected Correlation and Future Market Returns
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
  2. The Implications of Financial Innovation for Capital Markets and Household Welfare
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads

2016

  1. The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis
    Carlo Alberto Notebooks, Collegio Carlo Alberto Downloads View citations (6)
    Also in SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE (2016) Downloads View citations (6)

    See also Journal Article in Journal of Monetary Economics (2016)

2015

  1. Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE Downloads View citations (11)
  2. Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)

2010

  1. Improving Portfolio Selection Using Option-Implied Volatility and Skewness
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (21)
    See also Journal Article in Journal of Financial and Quantitative Analysis (2013)

Journal Articles

2018

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

2016

  1. The intended and unintended consequences of financial-market regulations: A general-equilibrium analysis
    Journal of Monetary Economics, 2016, 81, (C), 25-43 Downloads View citations (6)
    See also Working Paper (2016)

2013

  1. Improving Portfolio Selection Using Option-Implied Volatility and Skewness
    Journal of Financial and Quantitative Analysis, 2013, 48, (6), 1813-1845 Downloads View citations (52)
    See also Working Paper (2010)

2012

  1. Measuring Equity Risk with Option-implied Correlations
    Review of Financial Studies, 2012, 25, (10), 3113-3140 Downloads View citations (50)

2009

  1. The Price of Correlation Risk: Evidence from Equity Options
    Journal of Finance, 2009, 64, (3), 1377-1406 Downloads View citations (122)
 
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