Grigory Vilkov

Frankfurt School of Finance & Management

Professor of Finance

Adickesallee 32-34

Frankfurt am Main, 60322

Germany

http://www.vilkov.net

SCHOLARLY PAPERS

33

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533

CROSSREF CITATIONS

292

Ideas:
“  Creating/ updating a collection of option-implied and related data from my papers. Check on https://osf.io/z2486/  ”

Scholarly Papers (33)

1.
Downloads 13,296 ( 542)
Citation 1

Non-Standard Errors

Journal of Finance Forthcoming
Number of pages: 111 Posted: 23 Nov 2021 Last Revised: 06 Jul 2023
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. van Dijk, Chukwuma Dim, Thomas Dimpfl, Yunjiang Dong, Philip Drummond, Tom L. Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Mianjun Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schuerhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing-Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Zhou Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Marcel Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund, Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, EMLV Business School Paris, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - McDonough School of Business, University of Mannheim, Tennessee Technological University, EM Lyon (Ecole de Management de Lyon) - Emlyon Business School, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Polytechnic University of Marche - Department of Management, University of Zurich - Department of Economics, Toulouse School of Economics, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), George Washington University, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, The Brattle Group, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, VU Amsterdam, University of Queensland - Business School, Georgetown University - Department of Economics, University of Wisconsin - Milwaukee - Department of Finance, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, Public Company Accounting Oversight Board, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City University London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex - Essex Business School, Radboud University Nijmegen - Institute for Management Research, Ardea Investment Management, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tübingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Economics, University of California, Berkeley - Haas School of Business, West Virginia University - John Chambers College of Business and Economics, Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, Northeastern University - D'Amore-McKim School of Business, University of Orleans, VU University Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, VU University Amsterdam, Ludwig-Maximilians-Universität München, Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontificia Universidad Católica de Chile, HEC Montreal, University of Adelaide, Queen's University Belfast - Queen's Management School, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of New South Wales (UNSW), Square Research Center, Independent Researcher, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, North Carolina State University - Department of Business Management, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR), Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, RMIT University, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University - MNB Institute, Macquarie University, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, UNSW Australia Business School, School of Banking and Finance, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, Royal Melbourne Institute of Technolog (RMIT University) - Blockchain Innovation Hub, University of Toronto, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, University of Duisburg-Essen - Mercator School of Management, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Department of finance, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, ESSEC Business School, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Edinburgh Business School, Oklahoma State University - Department of Finance, HEC Paris - Finance Department, University of Quebec at Montreal (UQAM) - Faculty of Management (ESG), University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University - Schulich School of Business, HEC Montreal - Department of Finance, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, The University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), VU Amsterdam - School of Business and Economics, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, UNSW Business School, University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol Business School, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol - Department of Finance and Accounting, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, Vlerick Business School, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Reykjavik University, Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, VU University Amsterdam, Asia University, Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University, Columbia University, Singapore Management University - Lee Kong Chian School of Business, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, Vrije Universiteit Amsterdam (VU Amsterdam), University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS) - Monetary and Economic Department, University of Toronto at Mississauga - Department of Management, Vrije Universiteit Amsterdam, Queen's University, HEC Paris, University of Birmingham, King’s College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, University of Reading - ICMA Centre, Pontificia Universidad Católica de Chile and Zhongnan University of Economics and Law - School of Finance
Downloads 13,296 (581)
Citation 3

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non-standard errors, multi-analyst approach, liquidity

2.

Firm-level Climate Change Exposure

Journal of Finance, Forthcoming, European Corporate Governance Institute – Finance Working Paper No. 686/2020 , TRR 266 Accounting for Transparency Working Paper Series No. 33
Number of pages: 108 Posted: 13 Jul 2020 Last Revised: 21 Jun 2023
University of Zurich - Department of Banking and Finance, Frankfurt School of Finance and Management, Frankfurt School of Finance & Management and Shanghai University of Finance and Economics
Downloads 8,979 (1,144)
Citation 111

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Climate change, climate risk, conference calls, institutional investors

3.

Equal or Value Weighting? Implications for Asset-Pricing Tests

In: Zopounidis, C., Benkraiem, R., Kalaitzoglou, I. (eds) Financial Risk Management and Modeling. Risk, Systems and Decisions. Springer, Cham. https://doi.org/10.1007/978-3-030-66691-0_9
Number of pages: 64 Posted: 21 Mar 2011 Last Revised: 03 Jul 2022
Yuliya Plyakha, Raman Uppal and Grigory Vilkov
Universite du Luxembourg - School of Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 4,575 (3,684)
Citation 40

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empirical asset pricing, factor models, systematic risk, alpha, idiosyncratic volatility

4.

Carbon Tail Risk

The Review of Financial Studies, 2021, 34(3), 777-799
Number of pages: 56 Posted: 19 Jul 2018 Last Revised: 29 Jun 2022
Emirhan Ilhan, Zacharias Sautner and Grigory Vilkov
National University of Singapore, University of Zurich - Department of Banking and Finance and Frankfurt School of Finance & Management
Downloads 3,961 (4,666)
Citation 14

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carbon risk, tail risk, climate finance, climate risk

Improving Portfolio Selection Using Option-Implied Volatility and Skewness

​Journal of Financial and Quantitative Analysis, 2013, 48(6), 1813-1845
Number of pages: 45 Posted: 16 Sep 2009 Last Revised: 29 Jun 2022
London Business School, Universite du Luxembourg - School of Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 3,848 (4,802)
Citation 23

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mean variance, option-implied volatility, variance risk premium, option-implied skewness, portfolio optimization

Improving Portfolio Selection Using Option-Implied Volatility and Skewness

CEPR Discussion Paper No. DP7686
Number of pages: 49 Posted: 01 Mar 2010
London Business School, Universite du Luxembourg - School of Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 15 (960,039)
Citation 9
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mean-variance, option-implied skewness, option-implied volatility, portfolio optimization, variance risk premium

6.

Measuring Equity Risk with Option-Implied Correlations

EFA 2009 Bergen Meetings Paper, Review of Financial Studies, 2012, 25(10)
Number of pages: 39 Posted: 16 Nov 2008 Last Revised: 29 Jun 2022
Adrian Buss and Grigory Vilkov
Frankfurt School of Finance & Management and Frankfurt School of Finance & Management
Downloads 3,506 (5,769)
Citation 28

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option-implied, correlation, beta, risk-return relation, CAPM, factor models, pairs trading

Option-Implied Correlations and the Price of Correlation Risk

Advanced Risk & Portfolio Management Paper
Number of pages: 47 Posted: 26 Oct 2012 Last Revised: 19 Apr 2016
Joost Driessen, Pascal J. Maenhout and Grigory Vilkov
Tilburg University - Tilburg University School of Economics and Management, INSEAD - Finance and Frankfurt School of Finance & Management
Downloads 2,079 (12,983)
Citation 22

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implied correlation, return predictability, index variance, variance risk premium, individual options

Option-Implied Correlations and the Price of Correlation Risk

Netspar Discussion Paper No. 07/2013-061
Number of pages: 48 Posted: 26 Nov 2013
Joost Driessen, Pascal J. Maenhout and Grigory Vilkov
Tilburg University - Tilburg University School of Economics and Management, INSEAD - Finance and Frankfurt School of Finance & Management
Downloads 1,400 (23,927)
Citation 31

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8.

The Price of Correlation Risk: Evidence from Equity Options

EFA 2005 Moscow Meetings, Journal of Finance, Vol. 64, No. 3, 2009
Number of pages: 60 Posted: 25 Feb 2005 Last Revised: 29 Jun 2022
Joost Driessen, Pascal J. Maenhout and Grigory Vilkov
Tilburg University - Tilburg University School of Economics and Management, INSEAD - Finance and Frankfurt School of Finance & Management
Downloads 3,342 (6,257)
Citation 37

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Correlation risk, Dispersion trading, Index volatility, Stochastic volatility, Expected option returns

9.

Risk-Neutral Skewness: Return Predictability and Its Sources

Number of pages: 53 Posted: 16 Nov 2008 Last Revised: 14 Mar 2012
Zahid Rehman and Grigory Vilkov
BlackRock and Frankfurt School of Finance & Management
Downloads 3,184 (6,761)
Citation 65

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implied skewness, risk-neutral skewness, options, firm misvaluation, return predictability, beliefs

10.

Why Does an Equal-Weighted Portfolio Outperform Value- and Price-Weighted Portfolios?

Number of pages: 54 Posted: 29 Jan 2016 Last Revised: 16 Sep 2017
Yuliya Plyakha, Raman Uppal and Grigory Vilkov
Universite du Luxembourg - School of Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 2,922 (7,735)
Citation 8

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stock index, systematic risk, idiosyncratic risk, factor models, contrarian, trend following

11.

Pricing Climate Change Exposure

TRR 266 Accounting for Transparency Working Paper Series No. 49, Management Science, forthcoming
Number of pages: 55 Posted: 25 Feb 2021 Last Revised: 29 Jun 2022
University of Zurich - Department of Banking and Finance, Frankfurt School of Finance and Management, Frankfurt School of Finance & Management and Shanghai University of Finance and Economics
Downloads 2,720 (8,598)

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climate finance, climate change exposure, climate risk premium, tail risk, climate change opportunities

12.

Asymmetric Volatility Risk: Evidence from Option Markets

Review of Finance, 2019, 23(4), 777-799
Number of pages: 34 Posted: 15 Sep 2013 Last Revised: 29 Jun 2022
Jens Carsten Jackwerth and Grigory Vilkov
University of Konstanz - Department of Economics and Frankfurt School of Finance & Management
Downloads 1,516 (21,646)
Citation 12

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Asymmetric volatility, SPX options, VIX options, asymmetric volatility implied correlation, leverage effect, trading strategy

13.

Option-Implied Correlations, Factor Models, and Market Risk

INSEAD Working Paper No. 2017/20/FIN
Number of pages: 53 Posted: 27 Jan 2017 Last Revised: 08 Mar 2017
Adrian Buss, Lorenzo Schoenleber and Grigory Vilkov
Frankfurt School of Finance & Management, University of Turin - Collegio Carlo Alberto and Frankfurt School of Finance & Management
Downloads 1,361 (25,408)
Citation 4

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Implied Correlation, Factor Model, Market Factor, Factor Exposure, VIX, ETF, Sectors

14.

Variance Risk Premium Demystified

Number of pages: 32 Posted: 16 Mar 2006 Last Revised: 28 Aug 2008
Grigory Vilkov
Frankfurt School of Finance & Management
Downloads 1,351 (25,674)
Citation 6

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variance risk premium, variance swap, individual options, variance factors

Option-Implied Information and Predictability of Extreme Returns

Number of pages: 37 Posted: 16 Sep 2012 Last Revised: 25 Sep 2012
Grigory Vilkov and Yan Xiao
Frankfurt School of Finance & Management and Goethe University Frankfurt
Downloads 724 (60,744)
Citation 3

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extreme value theory, tail measure, implied correlation, variance risk premium, option-implied distribution, predictability, portfolio optimization

Option-Implied Information and Predictability of Extreme Returns

SAFE Working Paper No. 5
Number of pages: 40 Posted: 01 Feb 2013
Grigory Vilkov and Yan Xiao
Frankfurt School of Finance & Management and Goethe University Frankfurt
Downloads 596 (77,921)
Citation 12

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extreme value theory, tail measure, implied correlation, variance risk premium, option-implied distribution, predictability, portfolio optimization

16.

CAPM with Option-Implied Betas: Another Rescue Attempt

Number of pages: 48 Posted: 14 Feb 2009 Last Revised: 18 Mar 2009
Adrian Buss, Christian Schlag and Grigory Vilkov
Frankfurt School of Finance & Management, Goethe University Frankfurt and Frankfurt School of Finance & Management
Downloads 1,170 (31,722)
Citation 1

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conditional CAPM, regime switching, forward-looking betas, sentiment, implied correlations

17.

The Dynamics of Risk-Neutral Implied Moments: Evidence from Individual Options

Number of pages: 32 Posted: 10 Sep 2009 Last Revised: 02 Feb 2010
Alexandra Hansis, Christian Schlag and Grigory Vilkov
Goethe University Frankfurt - House of Finance, Goethe University Frankfurt and Frankfurt School of Finance & Management
Downloads 1,126 (33,475)
Citation 8

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risk-neutral distribution, option-implied moments, model-free variance, skewness, kurtosis, vector autoregression

18.

Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks

Management Science, forthcoming
Number of pages: 75 Posted: 28 Apr 2020 Last Revised: 29 Jun 2022
Fousseni Chabi-Yo, Chukwuma Dim and Grigory Vilkov
University of Massachusetts Amherst - Isenberg School of Management, George Washington University and Frankfurt School of Finance & Management
Downloads 933 (43,675)
Citation 1

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Recovery, market spanning, expected returns, higher-order moments, option-implied, FOMC cycle

19.
Downloads 828 (51,475)
Citation 3

Expected Correlation and Future Market Returns

Number of pages: 53 Posted: 10 Feb 2018 Last Revised: 05 Jul 2019
Adrian Buss, Lorenzo Schoenleber and Grigory Vilkov
Frankfurt School of Finance & Management, University of Turin - Collegio Carlo Alberto and Frankfurt School of Finance & Management
Downloads 828 (50,753)
Citation 3

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(option-)implied correlation, return predictability, idiosyncratic risk, option-implied information, contemporaneous betas

Expected Correlation and Future Market Returns

CEPR Discussion Paper No. DP12760
Number of pages: 48 Posted: 06 Mar 2018 Last Revised: 04 Jan 2019
Adrian Buss, Lorenzo Schoenleber and Grigory Vilkov
Frankfurt School of Finance & Management, University of Turin - Collegio Carlo Alberto and Frankfurt School of Finance & Management
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contemporaneous betas, correlation risk premium, expected (implied) correlation, Idiosyncratic Risk, option-implied information, return predictability

20.

0DTE Trading Rules

Number of pages: 20
Grigory Vilkov
Frankfurt School of Finance & Management
Downloads 774

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0DTE, ultra-short options, variance risk premium, volatility trading, option strategies, option trading

21.

Portfolio Policies with Stock Options

Number of pages: 40 Posted: 04 Mar 2008 Last Revised: 15 Feb 2009
Yuliya Plyakha and Grigory Vilkov
Universite du Luxembourg - School of Finance and Frankfurt School of Finance & Management
Downloads 751 (58,665)
Citation 4

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stock options, portfolio analysis, hedge fund policy, implied volatility, skew risk

22.

Non-Myopic Betas

Journal of Financial Economics (JFE), Vol. 129, No. 2, 2018
Number of pages: 60 Posted: 25 Nov 2015 Last Revised: 29 Jun 2022
Semyon Malamud and Grigory Vilkov
Ecole Polytechnique Federale de Lausanne and Frankfurt School of Finance & Management
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Citation 5

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Asset prices, beta, CAPM, hedging, asset allocation, portfolio management, mutual funds

The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis

INSEAD Working Paper No. 2016/29/FIN, Journal of Monetary Economics, Vol. 81, No. C, 2016
Number of pages: 49 Posted: 25 Jan 2016 Last Revised: 29 Jun 2022
Adrian Buss, Bernard Dumas, Raman Uppal and Grigory Vilkov
Frankfurt School of Finance & Management, INSEAD, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 448 (110,971)
Citation 3

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Tobin tax, borrowing constraints, short-sale constraints, stock market volatility, incomplete markets, differences of opinion

The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis

SAFE Working Paper No. 124
Number of pages: 59 Posted: 17 Nov 2016
Adrian Buss, Bernard Dumas, Raman Uppal and Grigory Vilkov
Frankfurt School of Finance & Management, INSEAD, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 246 (212,216)
Citation 11

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Tobin tax, borrowing constraints, short-sale constraints, stock market volatility, incomplete markets, differences of opinion

24.

Media Narratives and Price Informativeness

Number of pages: 63 Posted: 12 Jan 2023 Last Revised: 24 Aug 2023
Chukwuma Dim, Francesco Sangiorgi and Grigory Vilkov
George Washington University, Frankfurt School of Finance & Management and Frankfurt School of Finance & Management
Downloads 590 (80,049)

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media narratives, media bias, price informativeness, idiosyncratic risk, noise trading, disagreement, latent demand

25.

Dispersion of Beliefs Bounds: Sentimental Recovery

Swiss Finance Institute Research Paper No. 19-57
Number of pages: 63 Posted: 31 Oct 2019 Last Revised: 25 Apr 2023
Altan Pazarbasi, Paul Schneider and Grigory Vilkov
Bilkent University, University of Lugano - Institute of Finance and Frankfurt School of Finance & Management
Downloads 553 (86,607)
Citation 1

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Recovery, sentiment, market views, agent heterogeneity, volatility trading, market spanning, disagreement, beliefs

The Implications of Financial Innovation for Capital Markets and Household Welfare

INSEAD Working Paper No. 2017/52/FIN
Number of pages: 43 Posted: 09 Aug 2017 Last Revised: 22 Aug 2018
Adrian Buss, Raman Uppal and Grigory Vilkov
Frankfurt School of Finance & Management, EDHEC Business School and Frankfurt School of Finance & Management
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Citation 3

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household finance, household portfolio choice, wealth inequality, differences in beliefs, parameter uncertainty, Bayesian learning, recursive utility.

The Implications of Financial Innovation for Capital Markets and Household Welfare

CEPR Discussion Paper No. DP13137
Number of pages: 46 Posted: 17 Sep 2018
Adrian Buss, Raman Uppal and Grigory Vilkov
Frankfurt School of Finance & Management, EDHEC Business School and Frankfurt School of Finance & Management
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Bayesian Learning, differences in beliefs, household finance, household portfolio choice, parameter uncertainty, recursive utility, Wealth Inequality

Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs

INSEAD Working Paper No. 2014/01/FIN
Number of pages: 46 Posted: 12 Dec 2013 Last Revised: 11 Jan 2019
Adrian Buss, Raman Uppal and Grigory Vilkov
Frankfurt School of Finance & Management, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 229 (227,662)
Citation 6

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Liquidity premium, incomplete markets, portfolio choice, heterogeneous agents, general equilibrium

Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs

SAFE Working Paper No. 41
Number of pages: 48 Posted: 18 Feb 2014 Last Revised: 14 Jan 2019
Adrian Buss, Raman Uppal and Grigory Vilkov
Frankfurt School of Finance & Management, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 209 (248,182)
Citation 4

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liquidity premium, incomplete markets, portfolio choice, heterogeneous agents

Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets

Number of pages: 59 Posted: 15 Dec 2014 Last Revised: 12 Feb 2015
Adrian Buss, Raman Uppal and Grigory Vilkov
Frankfurt School of Finance & Management, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 420 (119,398)
Citation 2

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portfolio choice, alternative assets, private equity, transaction costs, heterogeneous beliefs, incomplete markets

Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets

CEPR Discussion Paper No. DP10437
Number of pages: 61 Posted: 24 Feb 2015
Adrian Buss, Raman Uppal and Grigory Vilkov
Frankfurt School of Finance & Management, EDHEC Business School and Frankfurt School of Finance & Management
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alternative assets, heterogeneous beliefs, incomplete markets, portfolio choice, private equity, transaction costs

29.

Hedging Options in the Presence of Microstructural Noise

Number of pages: 27 Posted: 03 Mar 2008
David Horn, Eva Schneider and Grigory Vilkov
Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Department of Finance and Frankfurt School of Finance & Management
Downloads 395 (129,458)
Citation 1

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parameter risk, hedging, microstructural noise, stochastic volatility

30.

Climate Value and Values Discovery in Earnings Calls

TRR 266 Accounting for Transparency Working Paper Series No. 136, Swiss Finance Institute Research Paper No. 23-92
Number of pages: 75 Posted: 10 Oct 2023 Last Revised: 03 Nov 2023
University of Zurich - Department of Banking and Finance, Frankfurt School of Finance and Management, Frankfurt School of Finance & Management and Shanghai University of Finance and Economics
Downloads 314 (166,165)

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Climate change; earnings calls; financial analysts; value and values discovery; analyst careers

31.

Factor Investing, Learning from Prices, and Endogenous Uncertainty in Asset Markets

Number of pages: 58 Posted: 10 Nov 2020 Last Revised: 30 Jun 2021
Chukwuma Dim, Francesco Sangiorgi and Grigory Vilkov
George Washington University, Frankfurt School of Finance & Management and Frankfurt School of Finance & Management
Downloads 299 (174,900)

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information acquisition, attention allocation, factor investing, endogenous uncertainty, amplification, strategic complementarity

Dynamics of Asset Demands with Confidence Heterogeneity

Number of pages: 50 Posted: 05 Sep 2020 Last Revised: 12 Aug 2021
Adrian Buss, Raman Uppal and Grigory Vilkov
Frankfurt School of Finance & Management, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 194 (265,690)
Citation 1

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institutional asset demand, asset-demand elasticity, investors' expectations, trend chasing, predictability

Investor Sophistication and Portfolio Dynamics

CEPR Discussion Paper No. DP15116
Number of pages: 56 Posted: 18 Aug 2020 Last Revised: 11 Feb 2021
Adrian Buss, Raman Uppal and Grigory Vilkov
Frankfurt School of Finance & Management, EDHEC Business School and Frankfurt School of Finance & Management
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Citation 1
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Dynamics of Asset Demands with Confidence Heterogeneity

CEPR Discussion Paper No. DP16441
Number of pages: 53 Posted: 22 Sep 2021
Adrian Buss, Raman Uppal and Grigory Vilkov
Frankfurt School of Finance & Management, EDHEC Business School and Frankfurt School of Finance & Management
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Citation 1
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asset-demand elasticity, Institutional asset demand, investors' expectations, predictability, trend chasing

Cross-Section Without Factors: Correlation Risk, Strings and Asset Prices

Swiss Finance Institute Research Paper No. 20-119
Number of pages: 55 Posted: 10 Sep 2020 Last Revised: 14 Jan 2021
Walter Distaso, Antonio Mele and Grigory Vilkov
Imperial College Business School, University of Lugano and Frankfurt School of Finance & Management
Downloads 148 (336,137)

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correlation premium, premium for correlation risk, cross-section of returns, big stocks, arbitrage pricing, string models, implied correlation.

Correlation Risk, Strings and Asset Prices

CEPR Discussion Paper No. DP13873
Number of pages: 48 Posted: 02 Aug 2019
Walter Distaso, Antonio Mele and Grigory Vilkov
Imperial College Business School, University of Lugano and Frankfurt School of Finance & Management
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arbitrage pricing, correlation premium, correlation-risk premium, cross-section of returns, implied correlation, string models