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

6

DOWNLOADS

484

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (6)

1.

Extreme Inflation and Time-Varying Expected Consumption Growth

Number of pages: 65 Posted: 02 Sep 2016 Last Revised: 03 Mar 2021
Australian National University (ANU), Deutsche Bundesbank and Goethe University Frankfurt
Downloads 242 (161,798)
Citation 1

Abstract:

Loading...

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 91 (357,378)

Abstract:

Loading...

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 14 (719,917)

Abstract:

Loading...

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

3.

Risk Aversion in Corporate Bond Markets

Number of pages: 51 Posted: 11 Oct 2021 Last Revised: 22 Nov 2021
Antje Berndt, Ilya Dergunov and Jean Helwege
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics, Australian National University (ANU) and UC Riverside
Downloads 51 (485,564)

Abstract:

Loading...

Default risk, default risk premia, default beta, reaching for yield

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
Australian National University (ANU), University of Siena - Department of Economics and Statistics and Goethe University Frankfurt
Downloads 36 (550,560)

Abstract:

Loading...

Forecast disagreement, heterogeneous beliefs, asset pricing

5.

Stock Return Predictability in Central and Eastern European Countries

Number of pages: 39 Posted: 30 Aug 2018
Ilya Dergunov
Australian National University (ANU)
Downloads 29 (589,473)

Abstract:

Loading...

Return Predictability, Size, Market-to-Book

6.

Extreme Inflation and Time-Varying Consumption Growth

Number of pages: 57 Posted: 16 Apr 2019
Australian National University (ANU), Deutsche Bundesbank and Goethe University Frankfurt
Downloads 21 (642,909)

Abstract:

Loading...

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