Alexei G. Orlov

Securities and Exchange Commission

100 F Street NE

Washington, DC 20549

United States

SCHOLARLY PAPERS

21

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Scholarly Papers (21)

1.

Can Investors Benefit from Hedge Fund Strategies? Utility‐Based, Out‐of‐Sample Evidence

BAFFI CAREFIN Centre Research Paper No. 2018-90
Number of pages: 62 Posted: 10 Oct 2018
Massimo Guidolin and Alexei G. Orlov
Bocconi University - Department of Finance and Securities and Exchange Commission
Downloads 457 (68,342)

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Strategic asset allocation, hedge fund strategies, predictive regressions, out-of sample performance, certainty equivalent return

2.

Are Unconventional Monetary Policies a Priced Risk Factor for Hedge Fund Strategies?

BAFFI CAREFIN Centre Research Paper No. 2020-146
Number of pages: 60 Posted: 15 Jul 2020
Massimo Guidolin and Alexei G. Orlov
Bocconi University - Department of Finance and Securities and Exchange Commission
Downloads 374 (87,705)

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Hedge fund strategies, unconventional monetary policy, risk factors, modified event studies, Markov switching models, breakpoints tests

3.

How Good Can Heuristic-Based Forecasts Be? A Comparative Performance of Econometric and Heuristic Models for UK and US Asset Returns

Number of pages: 92 Posted: 22 Jul 2014 Last Revised: 26 Jun 2017
Massimo Guidolin, Alexei G. Orlov and Manuela Pedio
Bocconi University - Department of Finance, Securities and Exchange Commission and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 151 (212,352)

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predictive regressions, forecasting, behavioral finance, heuristics, investor attention, information demand, Google search volume index, web-search-based forecasts

4.

Understanding the Impact of Monetary Policy Shocks on the Corporate Bond Market in Good and Bad Times: A Markov Switching Model

BAFFI CAREFIN Centre Research Paper No. 2016-23
Number of pages: 63 Posted: 24 Jun 2016
Massimo Guidolin, Alexei G. Orlov and Manuela Pedio
Bocconi University - Department of Finance, Securities and Exchange Commission and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 149 (214,668)
Citation 1

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Unconventional monetary policy, corporate bonds, term structure of Treasury yields, vector autoregression, Markov switching.

5.

The Tone of Financial News and the Perceptions of Stock and CDS Traders

Number of pages: 44 Posted: 09 Apr 2014 Last Revised: 04 Jul 2018
Michael Liebmann, Alexei G. Orlov and Dirk Neumann
University of Freiburg (Germany), Securities and Exchange Commission and University of Freiburg
Downloads 113 (265,490)
Citation 1

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News content analysis, sentiment analysis, financial news, investor perception, the Great Recession, news anticipation, post-announcement drift, semi-strong market efficiency

6.

Do Economics Courses Improve Students' Analytical Skills? A Difference-in-Difference Estimation

Journal of Economic Behavior and Organization, Vol. 165, 2019
Number of pages: 35 Posted: 23 Aug 2019
Seife Dendir, Alexei G. Orlov and John Roufagalas
Radford University - Department of Economics, Securities and Exchange Commission and Troy University - Montgomery
Downloads 44 (444,840)

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Economics classes, analytical skills, Cognitive Reflection Test, difference-in-difference estimation

7.

Bond Liquidity and Dealer Inventories: Insights from US and European Regulatory Data

Occasional Paper 52/DERA Working Paper, February 2020
Number of pages: 33 Posted: 11 Mar 2020 Last Revised: 23 Mar 2020
Plamen Ivanov, Alexei G. Orlov and Michael Schihl
Financial Conduct Authority, Securities and Exchange Commission and Securities and Exchange Commission
Downloads 40 (461,465)

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bond liquidity, dealer inventories, regulatory cooperation, TRACE, ZEN

8.

Towards Designing an Ideal Patent System

Number of pages: 5 Posted: 20 Apr 2004
Alexei G. Orlov
Securities and Exchange Commission
Downloads 13 (613,236)
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9.

Endogenous Growth, Human Capital and the Dynamic Costs of Recessions

Journal of Economic Studies, Forthcoming
Number of pages: 37 Posted: 06 May 2019
John Roufagalas and Alexei G. Orlov
Troy University - Montgomery and Securities and Exchange Commission
Downloads 7 (655,555)

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Endogenous growth, human capital, cyclical depreciation, learning by doing, long-run costs of recessions

10.

The Core, Periphery, and Beyond: Stock Market Comovements Among EU and Non‐EU Countries

Financial Review, Vol. 54, Issue 1, pp. 5-56, 2019
Number of pages: 52 Posted: 08 Jan 2019
Michael A. Goldstein, Joseph McCarthy and Alexei G. Orlov
Babson College - Finance Division, Bryant University and Securities and Exchange Commission
Downloads 1 (708,149)
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financial interdependence, comovements, European stock markets, PIIGS, Brexit, copulas, global financial crisis

11.

A Cospectral Analysis of Exchange Rate Comovements During Asian Financial Crisis

Journal of International Financial Markets, Institutions and Money, Vol. 19, No. 5, 2009
Posted: 13 Apr 2014
Alexei G. Orlov
Securities and Exchange Commission

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Exchange rate comovements, Financial crisis, Cospectral analysis

12.

Capital Controls and Stock Market Volatility in Frequency Domain

Economics Letters, Vol. 91, No. 2, 2006
Posted: 13 Apr 2014
Alexei G. Orlov
Securities and Exchange Commission

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Capital controls, Stock market volatility, Spectral analysis

13.

A Panel-Regressions Investigation of Exchange Rate Volatility

International Journal of Finance & Economics (Forthcoming)
Posted: 13 Apr 2014 Last Revised: 19 Jul 2014
Axel Grossmann and Alexei G. Orlov
Radford University and Securities and Exchange Commission

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Exchange rate volatility, spectral analysis, high-frequency components of volatility, macroeconomic and policy variables, panel estimation

14.

Pros and Cons of Capital Controls in the Presence of Incomplete Markets

American Economist, Vol. 49, No. 1, 79-93
Posted: 13 Apr 2014
Alexei G. Orlov
Securities and Exchange Commission

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15.

Capital-Labor Complementarities in R&D Production and the Lingering Effects of Economic Slowdowns

Journal of Economic Development, Vol. 33, No. 1, 2008.
Posted: 13 Apr 2014
Alexei G. Orlov and John Roufagalas
Securities and Exchange Commission and Troy University - Montgomery

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Costs of recession, Endogenous growth, Embodied technology, Capital-labor complementarities

16.

Performance Determinants in Undergraduate Economics Classes: The Effect of Cognitive Reflection

International Review of Economics Education, Vol. 11, No. 2, 2012
Posted: 13 Apr 2014
Alexei G. Orlov and John Roufagalas
Securities and Exchange Commission and Troy University - Montgomery

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Student performance, Undergraduate economics, cognitive reflection, CRT

17.

Exchange Rate Misalignments in Frequency Domain

International Review of Economics and Finance, Vol 24, No. 1, 2012
Posted: 13 Apr 2014
Axel Grossmann and Alexei G. Orlov
Radford University and Securities and Exchange Commission

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Equilibrium exchange rates, Spectral analysis, Plaza Accord, Euro

18.

Time-Frequency Analysis of Crude Oil and S&P500 Futures Contracts

Quantitative Finance, Vol.12, No. 12, 2012
Posted: 12 Apr 2014
Joseph McCarthy and Alexei G. Orlov
Bryant University and Securities and Exchange Commission

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Wavelets in finance, Comovements, Financial futures, Commodity prices, Cross-spectrum in finance

19.

Spatial Modeling of Stock Market Comovements

Finance Research Letters, Vol. 9, No. 4, 2012
Posted: 12 Apr 2014
University of Castilla-La Mancha, University of Castilla-La Mancha - Faculty of Law and Social Sciences and Securities and Exchange Commission

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Stock markets comovements, Geostatistics, Variogram, Kriging

20.

The Core, Periphery, and Beyond: Stock Market Comovements among EU and non-EU Countries

Posted: 09 Apr 2014 Last Revised: 17 Sep 2018
Michael A. Goldstein, Joseph McCarthy and Alexei G. Orlov
Babson College - Finance Division, Bryant University and Securities and Exchange Commission
Downloads 0 (726,247)

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Financial interdependence, comovements, European stock markets, PIIGS, Brexit, copulas, global financial crisis

21.

An Application of the Black-Litterman Model with EGARCH-M-Derived Views for International Portfolio Management

Financial Markets and Portfolio Management, Vol. 21, No. 2, pp. 147-166, 2007
Posted: 16 May 2007
Steven L. Beach and Alexei G. Orlov
Radford University - Department of Accounting, Finance & Business Law and Securities and Exchange Commission

Abstract:

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Black-Litterman, GARCH, Global portfolio management