Ilya Dergunov

HSE University

Shabolovka 26

Moscow, 119049

Russia

Goethe University Frankfurt - Research Center SAFE

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

Theodor-W.-Adorno-Platz 3

Frankfurt am Main, 60323

Germany

SCHOLARLY PAPERS

8

DOWNLOADS

1,257

SSRN CITATIONS

4

CROSSREF CITATIONS

4

Scholarly Papers (8)

Extreme Inflation and Time-Varying Expected Consumption Growth

Number of pages: 65 Posted: 02 Sep 2016 Last Revised: 03 Mar 2021
HSE University, Deutsche Bundesbank and Goethe University Frankfurt
Downloads 296 (200,216)
Citation 1

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

Extreme Inflation and Time-Varying Expected Consumption Growth

SAFE Working Paper No. 334
Number of pages: 88 Posted: 05 Jan 2022
HSE University, Deutsche Bundesbank and Goethe University Frankfurt
Downloads 134 (416,394)
Citation 1

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

2.

Risk Aversion in Corporate Bond Markets

Number of pages: 58 Posted: 11 Oct 2021 Last Revised: 12 May 2022
Antje Berndt, Ilya Dergunov and Jean Helwege
Australian National University, College of Business and Economics, HSE University and UC Riverside
Downloads 276 (216,772)

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Risk aversion, corporate bonds, monetary policy, reaching for yield, government interventions

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 HSE University
Downloads 127 (434,229)

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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 HSE University
Downloads 39 (844,257)

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

4.

Optimistic and Pessimistic Disagreement and the Cross Section of Stock Returns

Number of pages: 83 Posted: 25 Oct 2021
Ilya Dergunov, Giuliano Curatola and Christian Schlag
HSE University, University of Siena - Department of Economics and Statistics and Goethe University Frankfurt
Downloads 158 (363,758)

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Forecast disagreement, heterogeneous beliefs, asset pricing

5.

Extreme Inflation and Time-Varying Consumption Growth

Deutsche Bundesbank Discussion Paper No. 16/2019
Number of pages: 57 Posted: 16 Apr 2019
HSE University, Deutsche Bundesbank and Goethe University Frankfurt
Downloads 84 (575,526)
Citation 2

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

6.

Whose forecaster matters? The risk premium of optimistic & pessimistic disagreement

Proceedings of the EUROFIDAI-ESSEC Paris December Finance Meeting 2023
Number of pages: 83 Posted: 31 Oct 2023
Giuliano Curatola, Ilya Dergunov and Christian Schlag
University of Siena - Department of Economics and Statistics, HSE University and Goethe University Frankfurt
Downloads 76 (609,768)

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7.

Stock Return Predictability in Central and Eastern European Countries

Number of pages: 39 Posted: 30 Aug 2018
Ilya Dergunov
HSE University
Downloads 65 (661,835)

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Return Predictability, Size, Market-to-Book

8.

The Credit and Bond Liquidity Effects of Activist Investing

Number of pages: 66
Antje Berndt and Ilya Dergunov
Australian National University, College of Business and Economics and HSE University
Downloads 2

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Value creation, Wealth transfer, Credit spreads, Bond liquidity, Hedge fund activism