Yulia Malitsky

VKY Analytics, LLC

P.O. Box 1778

New York, NY 10185

United States

Université Toulouse I Capitole

2 Rue du Doyen-Gabriel-Marty

Toulouse, 31042

France

Toulouse Business School Research Centre

1 Place Alphonse Jourdain

Toulouse, 31000

France

  • VKY Analytics, LLC

SCHOLARLY PAPERS

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Scholarly Papers (3)

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1.

Momentum with Volatility Timing

Number of pages: 18 Posted: 10 Jul 2019
Yulia Malitsky
VKY Analytics, LLC
Downloads 2,925 (8,667)
Citation 1

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Factor timing, factor investing, risk-based asset allocation, momentum

2.

Uncovering Momentum

Number of pages: 20 Posted: 18 Dec 2019 Last Revised: 21 Feb 2023
Yulia Malitsky
VKY Analytics, LLC
Downloads 965 (46,833)

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Momentum premium, top-down approach, event-oriented intertemporal analysis, volatility, fundamental characteristics

3.

A Hierarchical State-Based Asset Pricing Model

Number of pages: 30 Posted: 03 Mar 2023 Last Revised: 31 Jul 2024
Yulia Malitsky
VKY Analytics, LLC
Downloads 220 (265,765)

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Asset pricing model, hierarchical state space, explanatory gain decomposition