Ilya Dergunov

Australian National University (ANU)

Canberra, Australian Capital Territory 2601

Australia

Goethe University Frankfurt - Research Center SAFE

(http://www.safe-frankfurt.de)

Theodor-W.-Adorno-Platz 3

Frankfurt am Main, 60323

Germany

SCHOLARLY PAPERS

4

DOWNLOADS

341

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

Extreme Inflation and Time-Varying Expected Consumption Growth

Number of pages: 75 Posted: 02 Sep 2016 Last Revised: 03 Apr 2019
Australian National University (ANU), Deutsche Bundesbank and Goethe University Frankfurt
Downloads 211 (161,172)

Abstract:

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Long-run risk, inflation, recursive utility, filtering, disaster risk

International Capital Markets with Time-Varying Preferences

SAFE Working Paper No. 176
Number of pages: 69 Posted: 04 Aug 2017
Giuliano Curatola and Ilya Dergunov
University of Siena - Department of Economics and Statistics and Australian National University (ANU)
Downloads 83 (334,416)

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Asset pricing, general equilibrium, heterogeneous agents, interdependent preferences, portfolio choice

International Capital Markets with Time-Varying Preferences

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 68 Posted: 04 Jun 2018
Giuliano Curatola and Ilya Dergunov
University of Siena - Department of Economics and Statistics and Australian National University (ANU)
Downloads 10 (672,779)

Abstract:

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Asset pricing, general equilibrium, heterogeneous agents, interdependent preferences, portfolio choice.

3.

Stock Return Predictability in Central and Eastern European Countries

Number of pages: 39 Posted: 30 Aug 2018
Ilya Dergunov
Australian National University (ANU)
Downloads 25 (546,311)

Abstract:

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Return Predictability, Size, Market-to-Book

4.

Extreme Inflation and Time-Varying Consumption Growth

Deutsche Bundesbank Discussion Paper No. 16/2019
Number of pages: 57 Posted: 16 Apr 2019
Australian National University (ANU), Deutsche Bundesbank and Goethe University Frankfurt
Downloads 12 (632,219)

Abstract:

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long-run risk, inflation, recursive utility, filtering, disaster risk