Andrey Ermolov

Fordham University - Gabelli School of Business

Assistant Professor of Finance and Business Economics

113 West 60th Street

Bronx, NY 10458

United States

http://faculty.fordham.edu/aermolov1/

  • Fordham University - Gabelli School of Business

SCHOLARLY PAPERS

9

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2,155

SSRN CITATIONS
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Top 18,715

in Total Papers Citations

41

CROSSREF CITATIONS

9

Scholarly Papers (9)

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1.

Bad Environments, Good Environments: A Non-Gaussian Asymmetric Volatility Model

Downloads 576 ( 51,142)
Citation 14

Bad Environments, Good Environments: A Non-Gaussian Asymmetric Volatility Model

Number of pages: 58 Posted: 23 Jul 2013 Last Revised: 08 Feb 2016
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Fordham University - Gabelli School of Business
Downloads 521 (57,397)
Citation 8

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GARCH, non-Gaussian, risk management, asymmetric volatility, heteroskedasticity, skewness, kurtosis, stock returns

Bad Environments, Good Environments: A Non-Gaussian Asymmetric Volatility Model

Netspar Discussion Paper No. 07/2013-033
Number of pages: 59 Posted: 19 Oct 2013 Last Revised: 07 Jul 2014
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Fordham University - Gabelli School of Business
Downloads 51 (425,156)
Citation 6

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Bad Environments Good Environments: A Non-Gaussian Asymmetric Volatility Model

Number of pages: 60 Posted: 16 Aug 2014
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Fordham University - Gabelli School of Business
Downloads 4 (706,972)
Citation 1

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non-Gaussianities, asymmetric volatility, GARCH, risk management, conditional skewness

2.

Aggregate Demand and Aggregate Supply Effects of COVID-19: A Real-time Analysis

Downloads 541 ( 55,336)

Aggregate Demand and Aggregate Supply Effects of COVID-19: A Real-time Analysis

Number of pages: 29 Posted: 28 May 2020 Last Revised: 01 Jun 2020
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Fordham University - Gabelli School of Business
Downloads 511 (58,799)

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macroeconomic volatility, business cycles, COVID-19

Aggregate Demand and Aggregate Supply Effects of COVID-19: A Real-Time Analysis

FEDS Working Paper No. 2020-049
Number of pages: 30 Posted: 23 Jun 2020
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Fordham University - Gabelli School of Business
Downloads 30 (521,023)

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Business cycles, COVID-19, Macroeconomic volatility

3.

Macro Risks and the Term Structure of Interest Rates

Downloads 528 ( 57,067)

Macro Risks and the Term Structure of Interest Rates

Number of pages: 67 Posted: 31 Aug 2016 Last Revised: 13 May 2018
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Fordham University - Gabelli School of Business
Downloads 406 (77,980)

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macroeconomic volatility, bond markets, bond return predictability, term premium, macro risks, Great Moderation

Macro Risks and the Term Structure of Interest Rates

FEDS Working Paper No. 2017-058
Number of pages: 76 Posted: 05 Jun 2017
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Fordham University - Gabelli School of Business
Downloads 66 (373,962)

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Bond return predictability, Business cycle, Great moderation, Macroeconomic volatility, Term premium

Macro Risks and the Term Structure of Interest Rates

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 72 Posted: 05 Jun 2018 Last Revised: 06 Dec 2019
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Fordham University - Gabelli School of Business
Downloads 35 (494,392)

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bond return predictability, term premium, macroeconomic volatility, business cycles, macro risk factors

Macro Risks and the Term Structure of Interest Rates

NBER Working Paper No. w22839
Number of pages: 62 Posted: 21 Nov 2016
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Fordham University - Gabelli School of Business
Downloads 21 (578,928)

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4.

International Real Yields

Paris December 2017 Finance Meeting EUROFIDAI - AFFI
Number of pages: 39 Posted: 03 Jun 2017 Last Revised: 29 Nov 2019
Andrey Ermolov
Fordham University - Gabelli School of Business
Downloads 121 (252,445)
Citation 1

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term structure modeling, international bond markets, sovereign bonds, inflation-linked bonds, liquidity premium

5.

International Yield Co-movements

Number of pages: 92 Posted: 19 Jun 2019 Last Revised: 07 Dec 2019
Geert Bekaert and Andrey Ermolov
Columbia Business School - Finance and Economics and Fordham University - Gabelli School of Business
Downloads 109 (272,115)
Citation 1

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sovereign bonds, cross-country co-movement, real yield, expected inflation, inflation risk premium, liquidity premium, habit formation, inflation-linked bonds

6.

The Variance Risk Premium in Equilibrium Models

Downloads 94 (300,386)

The Variance Risk Premium in Equilibrium Models

Number of pages: 69 Posted: 03 Apr 2020 Last Revised: 04 May 2020
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Fordham University - Gabelli School of Business
Downloads 91 (309,020)

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variance risk premium, macroeconomic uncertainty, non-Gaussian dynamics

The Variance Risk Premium in Equilibrium Models

NBER Working Paper No. w27108
Number of pages: 70 Posted: 12 May 2020
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Fordham University - Gabelli School of Business
Downloads 3 (716,228)
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7.

Time-Varying Risk of Nominal Bonds: How Important Are Macroeconomic Shocks?

Number of pages: 64 Posted: 27 May 2018
Andrey Ermolov
Fordham University - Gabelli School of Business
Downloads 72 (352,475)
Citation 7

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stock and bond return correlation, macroeconomic volatility, equity, fixed income, sovereign bonds

8.

When and Where Is It Cheaper to Issue Inflation-Linked Debt?

Number of pages: 61 Posted: 15 Jul 2017 Last Revised: 25 Nov 2018
Andrey Ermolov
Fordham University - Gabelli School of Business
Downloads 61 (384,486)
Citation 1

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government debt, nominal bonds, inflation-linked bonds, inflation risk premium, liquidity premium, international finance

9.

US Government Bond Liquidity during the COVID-19 Pandemic

Number of pages: 15 Posted: 04 Jun 2020 Last Revised: 08 Jun 2020
Andrey Ermolov
Fordham University - Gabelli School of Business
Downloads 53 (410,994)

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liquidity, Treasuries, inflation-linked bonds, COVID-19