Stanislav Khrapov

New Economic School (NES)

Assistant Professor of Finance

100A Novaya Street, Skolkovo, Moscow

Moscow, 143026

Russia

http://sites.google.com/site/khrapovs/

SCHOLARLY PAPERS

3

DOWNLOADS

166

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Risk Premia: Short and Long-Term

Number of pages: 36 Posted: 18 Jan 2012 Last Revised: 31 Jan 2012
Stanislav Khrapov
New Economic School (NES)
Downloads 99 (313,803)

Abstract:

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term structure of risk premium, Epstein-Zin utility, generalized disappointment aversion, finite state economy, Markov chain

2.

Pricing Central Tendency in Volatility

Number of pages: 60 Posted: 12 Jun 2012 Last Revised: 26 Mar 2013
Stanislav Khrapov
New Economic School (NES)
Downloads 53 (443,001)

Abstract:

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stochastic volatility, central tendency, volatility risk premium, GMM

3.

Right on Target, or Is it? The Role of Distributional Shape in Variance Targeting

Econometrics, 3(3), pp. 610-632
Number of pages: 23 Posted: 01 Sep 2015
Stanislav Anatolyev and Stanislav Khrapov
New Economic School and New Economic School (NES)
Downloads 14 (650,216)

Abstract:

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GARCH, variance targeting, non-normality, heavy tails, skewness, quasi-maximum likelihood