Aytek Malkhozov

McGill University

1001 Sherbrooke St. W

Montreal, Quebec H3A 1G5

Canada

  • McGill University

SCHOLARLY PAPERS

13

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6,255

TOTAL CITATIONS
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SSRN RANKINGS

Top 8,969

in Total Papers Citations

93

Scholarly Papers (13)

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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 McGill University
Downloads 2,105 (16,251)
Citation 14

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2.

Funding Illiquidity, Funding Risk, and Global Stock Returns

Downloads 1,145 (40,929)
Citation 4

Funding Illiquidity, Funding Risk, and Global Stock Returns

Number of pages: 60 Posted: 06 Apr 2014 Last Revised: 20 Nov 2018
Aytek Malkhozov, Philippe Mueller, Andrea Vedolin and Gyuri Venter
McGill University, Warwick Business School Finance Group, Boston University - Department of Finance & Economics and Warwick Business School
Downloads 915 (55,218)
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
Aytek Malkhozov, Philippe Mueller, Andrea Vedolin and Gyuri Venter
McGill University, Warwick Business School Finance Group, Boston University - Department of Finance & Economics and Warwick Business School
Downloads 230 (284,234)

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Liquidity, Market Frictions, Capital Constraints, International CAPM

3.

Mortgage Risk and the Yield Curve

Downloads 788 (68,671)
Citation 22

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
Aytek Malkhozov, Philippe Mueller, Andrea Vedolin and Gyuri Venter
McGill University, Warwick Business School Finance Group, Boston University - Department of Finance & Economics and Warwick Business School
Downloads 692 (80,171)
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
Aytek Malkhozov, Philippe Mueller, Andrea Vedolin and Gyuri Venter
McGill University, Warwick Business School Finance Group, Boston University - Department of Finance & Economics and Warwick Business School
Downloads 96 (596,915)
Citation 21

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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, McGill University and University of Notre Dame - Mendoza College of Business
Downloads 478 (129,318)
Citation 4

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

5.

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

Downloads 422 (149,914)
Citation 28

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 McGill University
Downloads 305 (212,796)
Citation 17

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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 McGill University
Downloads 117 (515,248)
Citation 11

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variance risk premium, option, equity, financial intermediaries

6.

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), McGill University and Warwick Business School
Downloads 309 (211,539)
Citation 7

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swap spreads, limits to arbitrage, intermediary capital constraints

7.

Distorted Beliefs and Asset Prices

Downloads 276 (238,205)

Distorted Beliefs and Asset Prices

Swiss Finance Institute Research Paper No. 24-66
Number of pages: 40 Posted: 09 Oct 2024 Last Revised: 19 Nov 2024
Lorenzo Bretscher, Aytek Malkhozov, Andrea Tamoni and Haoxi Yang
Swiss Finance Institute - HEC Lausanne, McGill University, University of Notre Dame - Mendoza College of Business and Sun Yat-sen University (SYSU) - Lingnan (University) College
Downloads 160 (398,428)

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distorted beliefs, return predictability, ICAPM, cross-section of stock returns

Distorted Beliefs and Asset Prices

Number of pages: 38 Posted: 08 Nov 2024
Aytek Malkhozov, Lorenzo Bretscher, Andrea Tamoni and Haoxi Yang
McGill University, Swiss Finance Institute - HEC Lausanne, University of Notre Dame - Mendoza College of Business and Sun Yat-sen University (SYSU) - Lingnan (University) College
Downloads 116 (518,758)

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distorted beliefs, return predictability, ICAPM, cross-section of stock returns. JEL Classification: G12

8.

Asset Prices in Affine Real Business Cycle Models

Downloads 269 (244,570)
Citation 12

Asset Prices in Affine Real Business Cycle Models

Number of pages: 33 Posted: 13 May 2011
Aytek Malkhozov, Maral Shamloo and Maral Shamloo
McGill University and London School of Economics & Political Science (LSE)International Monetary Fund (IMF) - Main
Downloads 187 (346,380)
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
McGill University and London School of Economics & Political Science (LSE) - Department of Economics
Downloads 82 (659,705)
Citation 8

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

9.

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 McGill University
Downloads 206 (317,484)

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International Finance, Market Segmentation, Integration Reversals, Funding Liquidity

10.

Market Integration and Global Crashes

Downloads 114 (522,484)
Citation 2

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 McGill University
Downloads 111 (536,725)
Citation 2

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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 McGill University
Downloads 3 (1,374,881)
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Crashes, Crises, Financial Frictions, market integration

11.

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 McGill University
Downloads 87 (628,486)

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International Finance, Market Segmentation, Integration Reversals, Funding Liquidity

12.

Portfolio Choice Problem with Stochastic Volatility and Minimum Performance Constraint

Number of pages: 18 Posted: 13 May 2011
Aytek Malkhozov
McGill University
Downloads 56 (798,844)

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13.

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
Jose M. Berrospide, Aytek Malkhozov, Robert Sarama and David Hou
Board of Governors of the Federal Reserve System, McGill University, Board of Governors of the Federal Reserve System and Federal Reserve Banks - Federal Reserve Bank of New York

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