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/

SCHOLARLY PAPERS

6

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CITATIONS
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21

Scholarly Papers (6)

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 502 (54,211)
Citation 7

Abstract:

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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 46 (407,141)
Citation 1

Abstract:

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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 (645,881)
Citation 1

Abstract:

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

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 367 (79,214)

Abstract:

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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 64 (347,620)

Abstract:

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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: 67 Posted: 05 Jun 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 27 (493,207)

Abstract:

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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 20 (536,638)

Abstract:

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3.

International Real Yields

Paris December 2017 Finance Meeting EUROFIDAI - AFFI
Number of pages: 68 Posted: 03 Jun 2017 Last Revised: 08 Jul 2017
Andrey Ermolov
Fordham University - Gabelli School of Business
Downloads 95 (272,451)
Citation 3

Abstract:

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government bonds, inflation-linked bonds, liquidity premium, inflation risk premium, international comovement

4.

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 56 (366,666)
Citation 1

Abstract:

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

5.

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 53 (376,140)
Citation 6

Abstract:

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

6.

Inflation-Linked versus Nominal Bond Yields: On Liquidity and Inflation Risk Premiums Around the World

Number of pages: 69 Posted: 19 Jun 2019
Geert Bekaert and Andrey Ermolov
Columbia Business School - Finance and Economics and Fordham University - Gabelli School of Business
Downloads 31 (459,856)

Abstract:

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sovereign bonds, inflation-linked bonds, expected inflation, inflation risk premium