Aytek Malkhozov

Queen Mary University of London - School of Economics and Finance

Mile End Road

London , London E1 4NS

United Kingdom

SCHOLARLY PAPERS

12

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Top 16,378

in Total Papers Downloads

5,350

SSRN CITATIONS
Rank 8,721

SSRN RANKINGS

Top 8,721

in Total Papers Citations

104

CROSSREF CITATIONS

74

Scholarly Papers (12)

1.

How Have Central Banks Implemented Negative Policy Rates?

BIS Quarterly Review March 2016
Number of pages: 14 Posted: 09 Mar 2016
Morten L. Bech and Aytek Malkhozov
Bank for International Settlements (BIS) - Committee on Payments and Market Infrastructures and Queen Mary University of London - School of Economics and Finance
Downloads 1,954 (14,639)
Citation 14

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Funding Illiquidity, Funding Risk, and Global Stock Returns

Number of pages: 60 Posted: 06 Apr 2014 Last Revised: 20 Nov 2018
Queen Mary University of London - School of Economics and Finance, Warwick Business School Finance Group, Boston University - Department of Finance & Economics and Warwick Business School
Downloads 877 (46,939)
Citation 4

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Liquidity, Market Frictions, Capital Constraints, International CAPM

International Illiquidity

FRB International Finance Discussion Paper No. 1201
Number of pages: 60 Posted: 26 Mar 2017
Queen Mary University of London - School of Economics and Finance, Warwick Business School Finance Group, Boston University - Department of Finance & Economics and Warwick Business School
Downloads 190 (271,330)

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Liquidity, Market Frictions, Capital Constraints, International CAPM

3.
Downloads 749 (59,110)
Citation 23

Mortgage Risk and the Yield Curve

The Review of Financial Studies, Forthcoming
Number of pages: 50 Posted: 21 Mar 2013 Last Revised: 23 Jan 2016
Queen Mary University of London - School of Economics and Finance, Warwick Business School Finance Group, Boston University - Department of Finance & Economics and Warwick Business School
Downloads 667 (67,687)
Citation 1

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Term Structure of Interest Rates, MBS, Supply Factor

Mortgage Risk and the Yield Curve

BIS Working Paper No. 532
Number of pages: 53 Posted: 15 Dec 2015
Queen Mary University of London - School of Economics and Finance, Warwick Business School Finance Group, Boston University - Department of Finance & Economics and Warwick Business School
Downloads 82 (519,537)
Citation 16

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Term structure of interest rates, MBS, supply factor

4.

Expectations and Aggregate Risk

Journal of Monetary Economics, Vol. 123, 2021, Swiss Finance Institute Research Paper No. 21-68
Number of pages: 55 Posted: 14 Dec 2013 Last Revised: 24 Aug 2023
Lorenzo Bretscher, Aytek Malkhozov and Andrea Tamoni
Swiss Finance Institute - HEC Lausanne, Queen Mary University of London - School of Economics and Finance and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 430 (117,580)
Citation 4

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News Shocks, Consumption-CAPM, Cross Section of Returns, Market-to-Book Decomposition

Does Variance Risk Have Two Prices? Evidence from the Equity and Option Markets

Journal of Financial Economics, Forthcoming
Number of pages: 92 Posted: 06 Jun 2014 Last Revised: 23 Jun 2022
Laurent Barras and Aytek Malkhozov
Universite du Luxembourg - Department of Finance and Queen Mary University of London - School of Economics and Finance
Downloads 280 (186,600)
Citation 12

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Variance Risk Premium, Option, Equity, Financial Intermediaries

Does Variance Risk Have Two Prices? Evidence from the Equity and Option Markets

BIS Working Paper No. 521
Number of pages: 48 Posted: 15 Oct 2015
Laurent Barras and Aytek Malkhozov
Universite du Luxembourg - Department of Finance and Queen Mary University of London - School of Economics and Finance
Downloads 106 (437,853)
Citation 11

Abstract:

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variance risk premium, option, equity, financial intermediaries

6.
Downloads 188 (274,301)
Citation 10

Asset Prices in Affine Real Business Cycle Models

Number of pages: 33 Posted: 13 May 2011
Aytek Malkhozov, Maral Shamloo and Maral Shamloo
Queen Mary University of London - School of Economics and Finance and London School of Economics & Political Science (LSE)International Monetary Fund (IMF) - Main
Downloads 117 (404,309)
Citation 4

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Asset Prices in Affine Real Business Cycle Models

IMF Working Paper No. 10/249
Number of pages: 42 Posted: 01 Feb 2011
Aytek Malkhozov and Maral Shamloo
Queen Mary University of London - School of Economics and Finance and London School of Economics & Political Science (LSE) - Department of Economics
Downloads 71 (561,621)
Citation 8

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Asset prices, Business cycles, Economic models, External shocks, Productivity

7.

Can Cross-Border Funding Frictions Explain Financial Integration Reversals?

Forthcoming at the Review of Financial Studies
Number of pages: 74 Posted: 11 Sep 2017 Last Revised: 28 Nov 2020
Amir Akbari, Francesca Carrieri and Aytek Malkhozov
McMaster University - Michael G. DeGroote School of Business, McGill University - Desautels Faculty of Management and Queen Mary University of London - School of Economics and Finance
Downloads 182 (282,190)

Abstract:

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International Finance, Market Segmentation, Integration Reversals, Funding Liquidity

8.

Demand-and-Supply Imbalance Risk and Long-Term Swap Spreads

Number of pages: 98 Posted: 23 Dec 2022 Last Revised: 17 Jul 2023
Samuel Gregory Hanson, Aytek Malkhozov and Gyuri Venter
Harvard University - Business School (HBS), Queen Mary University of London - School of Economics and Finance and Warwick Business School
Downloads 179 (286,298)
Citation 3

Abstract:

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swap spreads, limits to arbitrage, intermediary capital constraints

9.
Downloads 94 (472,273)
Citation 1

Market Integration and Global Crashes

Swiss Finance Institute Research Paper No. 16-49
Number of pages: 39 Posted: 25 Jul 2016
Semyon Malamud and Aytek Malkhozov
Ecole Polytechnique Federale de Lausanne and Queen Mary University of London - School of Economics and Finance
Downloads 93 (479,554)
Citation 2

Abstract:

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Market Integration, Foreign Direct Investment, Frictions, Fragility, Crashes, Crises

Market Integration and Global Crashes

CEPR Discussion Paper No. DP11468
Number of pages: 40 Posted: 30 Aug 2016
Semyon Malamud and Aytek Malkhozov
Ecole Polytechnique Federale de Lausanne and Queen Mary University of London - School of Economics and Finance
Downloads 1 (1,092,784)
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Crashes, Crises, Financial Frictions, market integration

10.

Reversals in Global Market Integration and Funding Liquidity

FRB International Finance Discussion Paper No. 1202
Number of pages: 59 Posted: 26 Mar 2017
Amir Akbari, Francesca Carrieri and Aytek Malkhozov
McMaster University - Michael G. DeGroote School of Business, McGill University - Desautels Faculty of Management and Queen Mary University of London - School of Economics and Finance
Downloads 76 (533,617)

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International Finance, Market Segmentation, Integration Reversals, Funding Liquidity

11.

Portfolio Choice Problem with Stochastic Volatility and Minimum Performance Constraint

Number of pages: 18 Posted: 13 May 2011
Aytek Malkhozov
Queen Mary University of London - School of Economics and Finance
Downloads 45 (687,656)

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12.

Cyclicality and the Severity of the U.S. Supervisory Stress Test: 2014 to 2018

FEDS Notes No. 2019-06-07
Posted: 13 Aug 2019 Last Revised: 02 Oct 2020
Board of Governors of the Federal Reserve System, Queen Mary University of London - School of Economics and Finance, Board of Governors of the Federal Reserve System and Federal Reserve Banks - Federal Reserve Bank of New York

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