Gurdip Bakshi

Temple University - Fox School of Business and Management

Philadelphia, PA 19122

United States

http://https://sites.google.com/view/gurdipbakshi1

Fox School of Business

Marvin Wachman Professor of Finance

Department of Finance

Philadelphia, PA 19022

United States

http://https://sites.google.com/view/gurdipbakshi1

SCHOLARLY PAPERS

64

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906

CROSSREF CITATIONS

227

Scholarly Papers (64)

The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity

Number of pages: 52 Posted: 25 Jan 2011 Last Revised: 29 Feb 2012
Gurdip Bakshi, Gurdip Bakshi, George Panayotov and Georgios Skoulakis
Temple University - Fox School of Business and ManagementFox School of Business, Hong Kong University of Science & Technology (HKUST) and University of Piraeus - Department of Banking and Financial Management
Downloads 2,403 (11,005)
Citation 11

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Baltic Dry Index, global stock markets, commodity returns, global real economic activity

The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity

AFA 2012 Chicago Meetings Paper
Number of pages: 52 Posted: 22 Mar 2011
Gurdip Bakshi, Gurdip Bakshi, George Panayotov and Georgios Skoulakis
Temple University - Fox School of Business and ManagementFox School of Business, Hong Kong University of Science & Technology (HKUST) and University of Piraeus - Department of Banking and Financial Management
Downloads 1,225 (31,175)
Citation 29

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Baltic Dry Index, global stock markets, commodity returns, global real economic activity, predictive regressions, out-of-sample statistic, economic significance

2.

Stock Valuation in Dynamic Economics

Number of pages: 52 Posted: 12 Jun 2001
Zhiwu Chen, Gurdip Bakshi and Gurdip Bakshi
University of Hong Kong, Faculty of Business Economics (HKU Business School) and Temple University - Fox School of Business and ManagementFox School of Business
Downloads 2,319 (11,903)
Citation 6

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Downloads 1,878 (16,580)
Citation 29

Spanning and Derivative-Security Valuation

Number of pages: 34 Posted: 07 Apr 1999
Dilip B. Madan, Gurdip Bakshi and Gurdip Bakshi
University of Maryland - Robert H. Smith School of Business and Temple University - Fox School of Business and ManagementFox School of Business
Downloads 1,878 (16,291)
Citation 29

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Spanning and Derivative-Security Valuation

Journal of Financial Economics, Vol. 55, Iss. 2
Posted: 20 May 1999
Dilip B. Madan, Gurdip Bakshi and Gurdip Bakshi
University of Maryland - Robert H. Smith School of Business and Temple University - Fox School of Business and ManagementFox School of Business

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4.

A Theory of Volatility Spreads

Robert H. Smith School Research Paper No. RHS 06-028
Number of pages: 29 Posted: 02 Feb 2006
Gurdip Bakshi, Gurdip Bakshi and Dilip B. Madan
Temple University - Fox School of Business and ManagementFox School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 1,772 (18,202)
Citation 42

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risk-neutral volatility, physical volatility, pricing kernels, risk aversion, fat-tails

5.

Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options

Number of pages: 49 Posted: 20 Sep 2001
Gurdip Bakshi, Gurdip Bakshi, Nikunj Kapadia and Dilip B. Madan
Temple University - Fox School of Business and ManagementFox School of Business, University of Massachusetts Amherst - Department of Finance and University of Maryland - Robert H. Smith School of Business
Downloads 1,742 (18,663)
Citation 175

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6.

Investigating the Sources of Default Risk: Lessons from Empirically Evaluating Credit Risk Models

Number of pages: 53 Posted: 08 Mar 2001
Gurdip Bakshi, Gurdip Bakshi, Dilip B. Madan and Frank Xiaoling Zhang
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business and Morgan Stanley
Downloads 1,648 (20,338)
Citation 20

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7.

Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options

Number of pages: 51 Posted: 10 Oct 2000
Nikunj Kapadia, Gurdip Bakshi, Gurdip Bakshi and Dilip B. Madan
University of Massachusetts Amherst - Department of Finance, Temple University - Fox School of Business and ManagementFox School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 1,585 (21,571)
Citation 65

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risk neutral skews, option pricing, individual stock options

Delta-Hedged Gains and the Negative Market Volatility Risk Premium

Number of pages: 48 Posted: 17 Apr 2001
Nikunj Kapadia, Gurdip Bakshi and Gurdip Bakshi
University of Massachusetts Amherst - Department of Finance and Temple University - Fox School of Business and ManagementFox School of Business
Downloads 1,559 (21,793)
Citation 92

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Delta-Hedged Gains and the Negative Market Volatility Risk Premium

Posted: 10 Jan 2002
Nikunj Kapadia, Gurdip Bakshi and Gurdip Bakshi
University of Massachusetts Amherst - Department of Finance and Temple University - Fox School of Business and ManagementFox School of Business

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Option pricing, stochastic volatility, volatility risk premium, delta-hedged gains

9.

Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates

FDIC CFR Working Paper No. 06, EFA 2004 Maastricht Meetings Paper No. 3584, FEDS Working Paper, AFA 20004 Meetings
Number of pages: 32 Posted: 24 Oct 2003
Dilip B. Madan, Gurdip Bakshi, Gurdip Bakshi and Frank Xiaoling Zhang
University of Maryland - Robert H. Smith School of Business, Temple University - Fox School of Business and ManagementFox School of Business and Morgan Stanley
Downloads 1,484 (23,904)
Citation 44

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10.

Understanding the Sources of Risk Underlying the Cross-Section of Commodity Returns

Forthcoming, Management Science
Number of pages: 63 Posted: 04 Apr 2015 Last Revised: 13 Sep 2017
Gurdip Bakshi, Gurdip Bakshi, Xiaohui Gao and Alberto G. Rossi
Temple University - Fox School of Business and ManagementFox School of Business, Fox School of Business, Temple University and Georgetown University
Downloads 1,262 (30,301)
Citation 57

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Commodity asset pricing models, carry, momentum, innovations in equity volatility, speculative activity

11.

Do Higher-Moment Equity Risks Explain Hedge Fund Returns?

Robert H. Smith School Research Paper No. RHS 06-153
Number of pages: 54 Posted: 21 Mar 2008 Last Revised: 30 Jan 2011
Vikas Agarwal, Gurdip Bakshi, Gurdip Bakshi and Joop Huij
Georgia State University, Temple University - Fox School of Business and ManagementFox School of Business and Erasmus University - Rotterdam School of Management
Downloads 1,223 (31,781)
Citation 31

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volatility risk, skewness risk, kurtosis risk, higher moments, exposures, hedge funds, alphas

12.

An Alternative Valuation Model for Contingent Claims

THE CHARLES A. DICE CENTER FOR RESEARCH IN FINANCIAL ECONOMICS
Number of pages: 36 Posted: 29 Feb 1996
Zhiwu Chen, Gurdip Bakshi and Gurdip Bakshi
University of Hong Kong, Faculty of Business Economics (HKU Business School) and Temple University - Fox School of Business and ManagementFox School of Business
Downloads 1,173 (33,738)
Citation 14

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13.

Predictability of Currency Carry Trades and Asset Pricing Implications

Number of pages: 54 Posted: 30 Dec 2011
Gurdip Bakshi, Gurdip Bakshi and George Panayotov
Temple University - Fox School of Business and ManagementFox School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 910 (48,273)
Citation 38

Abstract:

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currency carry trades, predictability

14.

Book Values, Earnings, and Market Valuations

Number of pages: 50 Posted: 15 Nov 2002
Nengjiu Ju, Gurdip Bakshi and Gurdip Bakshi
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Temple University - Fox School of Business and ManagementFox School of Business
Downloads 822 (55,521)
Citation 3

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15.

Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies

Robert H. Smith School Research Paper No. RHS 06-154
Number of pages: 45 Posted: 09 May 2005 Last Revised: 13 Feb 2011
Peter Carr, Liuren Wu, Gurdip Bakshi and Gurdip Bakshi
New York University Finance and Risk Engineering, City University of New York, CUNY Baruch College - Zicklin School of Business and Temple University - Fox School of Business and ManagementFox School of Business
Downloads 818 (55,884)
Citation 38

Abstract:

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Stochastic discount factors, international economy, stochastic risk premium

16.

Crash Discovery in Stock and Option Markets

Number of pages: 58 Posted: 20 Apr 1999
Dilip B. Madan, Gurdip Bakshi and Gurdip Bakshi
University of Maryland - Robert H. Smith School of Business and Temple University - Fox School of Business and ManagementFox School of Business
Downloads 747 (63,142)
Citation 8

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17.

Volatility Uncertainty and VIX Futures Contango

Fox School of Business Research Paper Forthcoming, SMU Cox School of Business Research Paper No. 21-19
Number of pages: 46 Posted: 16 Dec 2021
Gurdip Bakshi, Gurdip Bakshi, John Crosby, Xiaohui Gao and Jinming Xue
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business, Fox School of Business, Temple University and Southern Methodist University (SMU) - Finance Department
Downloads 591 (85,405)
Citation 2

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VIX futures curve, stochastic orders, hedging instruments, contango

18.

Investigating the Role of Systematic and Firm-Specific Factors in Default Risk: Lessons from Empirically Evaluating Credit Risk Models

Number of pages: 36 Posted: 30 Dec 2004
Dilip B. Madan, Gurdip Bakshi, Gurdip Bakshi and Frank Xiaoling Zhang
University of Maryland - Robert H. Smith School of Business, Temple University - Fox School of Business and ManagementFox School of Business and Morgan Stanley
Downloads 503 (103,974)
Citation 13

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Default risk models, reduced-form, leverage, distance-to-default, hedging

19.

Estimation of Continuous-Time Models with an Application to Equity Volatility Dynamics

Number of pages: 28 Posted: 19 Mar 2005
Nengjiu Ju, Gurdip Bakshi, Gurdip Bakshi and Hui Ou-Yang
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Temple University - Fox School of Business and ManagementFox School of Business and Cheung Kong Graduate School of Business
Downloads 489 (107,660)

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Continuous-time models, Maximum-likelihood estimation, Density approximation

20.

Assessing Models of Individual Equity Option Prices

Review of Quantitative Finance and Accounting, Forthcoming
Number of pages: 34 Posted: 11 Apr 2012 Last Revised: 28 Nov 2020
Gurdip Bakshi, Gurdip Bakshi, Charles Cao and Zhaodong Zhong
Temple University - Fox School of Business and ManagementFox School of Business, Pennsylvania State University and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 451 (118,467)
Citation 7

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individual equity option-models, risk-neutral kurtosis, return-jumps, volatility-jumps, stochastic volatility, option-implied return distributions

21.
Downloads 412 (131,704)
Citation 11

Equilibrium Valuation of Foreign Exchange Claims

THE CHARLES A. DICE CENTER FOR RESEARCH IN FINANCIAL ECONOMICS
Number of pages: 39 Posted: 29 Feb 1996
Zhiwu Chen, Gurdip Bakshi and Gurdip Bakshi
University of Hong Kong, Faculty of Business Economics (HKU Business School) and Temple University - Fox School of Business and ManagementFox School of Business
Downloads 412 (130,472)
Citation 11

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Equilibrium Valuation of Foreign Exchange Claims

J. OF FINANCE
Posted: 12 Sep 1996
Zhiwu Chen, Gurdip Bakshi and Gurdip Bakshi
University of Hong Kong, Faculty of Business Economics (HKU Business School) and Temple University - Fox School of Business and ManagementFox School of Business

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22.

A New Formula for the Expected Excess Return of the Market

Fox School of Business Research Paper
Number of pages: 54 Posted: 15 Oct 2019 Last Revised: 20 Dec 2020
Gurdip Bakshi, Gurdip Bakshi, John Crosby, Xiaohui Gao and Wei Zhou
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business, Fox School of Business, Temple University and University of Maryland - Robert H. Smith School of Business
Downloads 367 (150,016)
Citation 4

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expected excess return of the market, negative correlation condition, lower bound, market risk premium

Do Subjective Expectations Explain Asset Pricing Puzzles?

Number of pages: 42 Posted: 22 Sep 2008
Gurdip Bakshi, Gurdip Bakshi and Georgios Skoulakis
Temple University - Fox School of Business and ManagementFox School of Business and University of Piraeus - Department of Banking and Financial Management
Downloads 122 (419,197)
Citation 1

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subjective expectations, learning, structural uncertainty, priors, predictive density of consumption growth, equity premium, riskfree return

Do Subjective Expectations Explain Asset Pricing Puzzles?

Journal of Financial Economics (JFE), 2010
Number of pages: 37 Posted: 14 Apr 2010
Gurdip Bakshi, Gurdip Bakshi and Georgios Skoulakis
Temple University - Fox School of Business and ManagementFox School of Business and University of Piraeus - Department of Banking and Financial Management
Downloads 90 (521,203)

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Do Subjective Expectations Explain Asset Pricing Puzzles?

Number of pages: 37 Posted: 23 Mar 2009
Gurdip Bakshi, Gurdip Bakshi and Georgios Skoulakis
Temple University - Fox School of Business and ManagementFox School of Business and University of Piraeus - Department of Banking and Financial Management
Downloads 85 (540,698)
Citation 1

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subjective expectations; learning; structural uncertainty; priors; predictive density of consumption growth; equity premium; riskfree return

Do Subjective Expectations Explain Asset Pricing Puzzles?

Number of pages: 42 Posted: 19 Feb 2009
Gurdip Bakshi, Gurdip Bakshi and Georgios Skoulakis
Temple University - Fox School of Business and ManagementFox School of Business and University of Piraeus - Department of Banking and Financial Management
Downloads 65 (632,235)

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subjective expectations, learning, structural uncertainty, priors, predictive density of consumption growth, equity premium, riskfree return

Returns of Claims on the Upside and the Viability of U-Shaped Pricing Kernels

Robert H. Smith School Research Paper No. RHS 06-107
Number of pages: 56 Posted: 28 Aug 2009 Last Revised: 30 Sep 2018
Gurdip Bakshi, Gurdip Bakshi, Dilip B. Madan and George Panayotov
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 226 (246,280)
Citation 22

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U-shaped pricing kernels, claims on the upside, negative call returns, short-selling, heterogeneity in beliefs

Returns of Claims on the Upside and the Viability of U-Shaped Pricing Kernels

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 55 Posted: 19 Mar 2010
Gurdip Bakshi, Gurdip Bakshi, Dilip B. Madan and George Panayotov
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 125 (411,615)
Citation 2

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U-shaped pricing kernels, claims on the upside, monotonically declining pricing kernels,

25.

Decoding Default Risk: A Review of Modeling Approaches, Findings, and Estimation Methods

Annual Review of Financial Economics
Number of pages: 39 Posted: 08 Apr 2022
Gurdip Bakshi, Gurdip Bakshi, Xiaohui Gao and Zhaodong Zhong
Temple University - Fox School of Business and ManagementFox School of Business, Fox School of Business, Temple University and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 307 (181,702)
Citation 3

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default, recovery in default, structural models, default intensity-based credit risk models, model estimation, empirical facts in credit markets

26.

Improving the Predictability of Real Economic Activity and Asset Returns with Forward Variances Inferred from Option Portfolios

Robert H. Smith School Research Paper No. RHS 06-137
Number of pages: 47 Posted: 08 Jun 2010 Last Revised: 29 Feb 2012
Gurdip Bakshi, Gurdip Bakshi, George Panayotov and Georgios Skoulakis
Temple University - Fox School of Business and ManagementFox School of Business, Hong Kong University of Science & Technology (HKUST) and University of Piraeus - Department of Banking and Financial Management
Downloads 304 (183,596)
Citation 20

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Predictability, traded market variance, real economic activity, Treasury returns, stock market

Heterogeneity in Beliefs and Volatility Tail Behavior

Number of pages: 37 Posted: 20 Mar 2012
Gurdip Bakshi, Gurdip Bakshi, Dilip B. Madan and George Panayotov
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 299 (185,739)
Citation 4

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traded volatility, VIX option returns, tails of pricing and physical distributions

Heterogeneity in Beliefs and Volatility Tail Behavior

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Posted: 26 Jul 2014
Gurdip Bakshi, Gurdip Bakshi, Dilip B. Madan and George Panayotov
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)

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traded volatility, VIX option returns, tails of pricing and physical distributions, heterogeneiry

28.

Unified Treatment of Average-Rate Contingent Claims with Applications

Number of pages: 40 Posted: 30 Jul 1999
Dilip B. Madan, Gurdip Bakshi and Gurdip Bakshi
University of Maryland - Robert H. Smith School of Business and Temple University - Fox School of Business and ManagementFox School of Business
Downloads 297 (188,205)
Citation 1

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29.

A Recovery that We Can Trust? Deducing and Testing the Restrictions of the Recovery Theorem

Forthcoming, Review of Financial Studies
Number of pages: 47 Posted: 20 Nov 2016 Last Revised: 13 Sep 2017
Gurdip Bakshi, Gurdip Bakshi, Fousseni Chabi-Yo and Xiaohui Gao
Temple University - Fox School of Business and ManagementFox School of Business, University of Massachusetts Amherst - Isenberg School of Management and Fox School of Business, Temple University
Downloads 269 (208,331)
Citation 23

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recovery theorem

Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors

Journal of Financial Economics (JFE), Forthcoming, Charles A. Dice Center Working Paper No. 2011-11, Fisher College of Business Working Paper No. 2011-03-011
Number of pages: 41 Posted: 21 Jun 2011 Last Revised: 18 Feb 2012
Gurdip Bakshi, Gurdip Bakshi and Fousseni Chabi-Yo
Temple University - Fox School of Business and ManagementFox School of Business and University of Massachusetts Amherst - Isenberg School of Management
Downloads 192 (286,556)
Citation 17

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Stochastic discount factors, permanent component, transitory component, variance bounds, asset pricing models, eigenfunction problems

Variance Bounds on the Permanent and Transitory Components Of Stochastic Discount Factors

Journal of Financial Economics, 2012
Number of pages: 40 Posted: 06 Mar 2012
Gurdip Bakshi and Gurdip Bakshi
Temple University - Fox School of Business and ManagementFox School of Business
Downloads 57 (676,711)

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Stochastic discount factors, permanent component, transitory component, variance bounds

31.

Treasury Option Returns and Models with Unspanned Risks

Accepted at Journal of Financial Economics (JFE), 2023
Number of pages: 78 Posted: 28 Jun 2019 Last Revised: 28 Sep 2023
Gurdip Bakshi, Gurdip Bakshi, John Crosby, Xiaohui Gao and Jorge Wolfgang Hansen
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business, Fox School of Business, Temple University and Aarhus University - Department of Economics and Business Economics
Downloads 243 (230,353)

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Options on futures on Treasury bonds, interest-rate models, option risk premiums, unspanned risks in the pricing kernel

32.

Recovery with Applications to Forecasting Equity Disaster Probability and Testing the Spanning Hypothesis in the Treasury Market

Journal of Financial and Quantitative Analysis, forthcoming
Number of pages: 60 Posted: 23 Nov 2019 Last Revised: 28 Jan 2022
Gurdip Bakshi, Gurdip Bakshi, Xiaohui Gao and Jinming Xue
Temple University - Fox School of Business and ManagementFox School of Business, Fox School of Business, Temple University and Southern Methodist University (SMU) - Finance Department
Downloads 240 (233,192)

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recovery

33.

Average Rate Contingent Claims with Emphasis on Catastrophe Loss Options

Number of pages: 31 Posted: 07 Aug 2001
Dilip B. Madan, Gurdip Bakshi and Gurdip Bakshi
University of Maryland - Robert H. Smith School of Business and Temple University - Fox School of Business and ManagementFox School of Business
Downloads 235 (238,010)
Citation 4

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34.

Deducing the Implications of Jump Models for the Structure of Stock Market Crashes, Rallies, Jump Arrival Rates, and Extremes

Number of pages: 37 Posted: 07 Jan 2009
Gurdip Bakshi, Gurdip Bakshi, Dilip B. Madan and George Panayotov
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 230 (242,967)
Citation 2

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jump structure, pure-jump price, crashes, arrival rate, extremes

35.

An Asset Pricing Theory of Volatility Tail Behavior

Number of pages: 37 Posted: 15 Mar 2011
Gurdip Bakshi, Gurdip Bakshi, Dilip B. Madan and George Panayotov
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 227 (246,055)
Citation 1

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Traded Volatility, VIX Option Returns, Tails of Pricing and Physical Distributions, Heterogeneity

36.

A Refinement to Ait-Sahalia's (2002) Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approximation Approach

Number of pages: 18 Posted: 06 Dec 2003
Gurdip Bakshi, Gurdip Bakshi and Nengjiu Ju
Temple University - Fox School of Business and ManagementFox School of Business and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 220 (253,457)

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closed-form density approximation, one-dimensional diffusion, maximum-likelihood

37.

Dark Matter in (Volatility and) Equity Option Risk Premiums

Operations Research
Number of pages: 55 Posted: 23 Nov 2019 Last Revised: 09 Apr 2023
Gurdip Bakshi, Gurdip Bakshi, John Crosby and Xiaohui Gao
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business and Fox School of Business, Temple University
Downloads 201 (275,488)
Citation 2

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Unspanned equity volatility and jump risks, unspanned risks in the pricing kernel, dark matter, option risk premiums

38.

New Entropy Restrictions and the Quest for Better Specified Asset Pricing Models

Charles A. Dice Center Working Paper No. 2014-07, Fisher College of Business Working Paper No. 2014-03-007, Robert H. Smith School Research Paper No. RHS 2432966
Number of pages: 66 Posted: 06 May 2014 Last Revised: 20 Jun 2014
Gurdip Bakshi, Gurdip Bakshi and Fousseni Chabi-Yo
Temple University - Fox School of Business and ManagementFox School of Business and University of Massachusetts Amherst - Isenberg School of Management
Downloads 198 (279,279)
Citation 6

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Entropy, stochastic discount factors, permanent component, lower entropy bounds, entropy codependence, asset pricing models, eigenfunction problem

39.

A Theory of Dissimilarity between Stochastic Discount Factors

Management Science, forthcoming
Number of pages: 57 Posted: 11 Sep 2017 Last Revised: 13 Jul 2020
Gurdip Bakshi, Gurdip Bakshi, Xiaohui Gao and George Panayotov
Temple University - Fox School of Business and ManagementFox School of Business, Fox School of Business, Temple University and Hong Kong University of Science & Technology (HKUST)
Downloads 189 (291,341)
Citation 2

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Dissimilarity between SDFs

40.

Factor Glut in Asset Pricing through a Modern Optimization Lens

Number of pages: 48 Posted: 06 Jun 2023
Gurdip Bakshi, Gurdip Bakshi, Timothy Christensen, John Crosby and Xiaohui Gao
Temple University - Fox School of Business and ManagementFox School of Business, New York University (NYU) - Department of Economics, University of Maryland - Robert H. Smith School of Business and Fox School of Business, Temple University
Downloads 187 (294,089)

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Asset Pricing, Factor Models, Stochastic Discount Factor, Model Selection, Manhattan Distance, Mixed-Integer Optimization

41.

Estimation of Continuous-Time Models with an Application to Equity Volatility Dynamics

Journal of Financial Economics, Forthcoming, Robert H. Smith School Research Paper No. RHS 06-017
Number of pages: 29 Posted: 27 Jan 2006
Hui Ou-Yang, Gurdip Bakshi and Gurdip Bakshi
Cheung Kong Graduate School of Business and Temple University - Fox School of Business and ManagementFox School of Business
Downloads 184 (298,181)
Citation 11

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Continuous-time models, Maximum-likelihood estimation, Density approximation, Market volatility dynamics

42.

A Refinement to Ait-Sahalia's (2002) 'Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approximation Approach'

Number of pages: 18 Posted: 30 Dec 2004
Gurdip Bakshi, Gurdip Bakshi and Nengjiu Ju
Temple University - Fox School of Business and ManagementFox School of Business and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 158 (340,433)
Citation 4

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Density approximation, one-dimensional diffusions

43.

An Inquiry into the Nature and Sources of Variation in the Expected Excess Return of a Long-Term Bond

Number of pages: 51 Posted: 29 Apr 2015
Gurdip Bakshi, Gurdip Bakshi, Fousseni Chabi-Yo and Xiaohui Gao
Temple University - Fox School of Business and ManagementFox School of Business, University of Massachusetts Amherst - Isenberg School of Management and Fox School of Business, Temple University
Downloads 157 (342,214)
Citation 2

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Long-term Treasury bond, expected excess return, lower bound, options on bond futures

44.

First-Passage Probability, Jump Models and Intra-Horizon Risk

Journal of Financial Economics, Vol. 95, No. 1, 2010
Number of pages: 50 Posted: 14 Feb 2010
Gurdip Bakshi, Gurdip Bakshi and George Panayotov
Temple University - Fox School of Business and ManagementFox School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 156 (344,080)
Citation 1

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Intra-Period Risk, First-Passage Probability, Value-At-Risk, Jump Models

45.

King U.S. Dollar, Global Risks, and Currency Option Premiums

Number of pages: 51 Posted: 06 May 2022
Gurdip Bakshi, Gurdip Bakshi and Juan M. Londono
Temple University - Fox School of Business and ManagementFox School of Business and Board of Governors of the Federal Reserve System
Downloads 121 (419,965)

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dominant currency, currency put risk premium, currency volatility risk premium, carry trade

Cross-Currency Consistency, Three-Part SDF Factorizations, and an Impossibility Theorem for the Stationarity of Exchange Rates in International Economies

Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 78 Posted: 23 Oct 2018 Last Revised: 01 Oct 2019
Gurdip Bakshi, Gurdip Bakshi and John Crosby
Temple University - Fox School of Business and ManagementFox School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 86 (536,643)

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Three-Part Decomposition, Stationarity of Exchange Rates, Incomplete Markets, SDFs

Cross-Currency Consistency, Three-Part SDF Factorizations, and an Impossibility Theorem for the Stationarity of Exchange Rates in International Economies

Number of pages: 35 Posted: 31 Jan 2020 Last Revised: 09 Jan 2021
Gurdip Bakshi, Gurdip Bakshi and John Crosby
Temple University - Fox School of Business and ManagementFox School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 31 (864,872)

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47.

Implications of Incomplete Markets for International Economies

Review of Financial Studies (Forthcoming)
Number of pages: 71 Posted: 21 Sep 2017
Gurdip Bakshi, Gurdip Bakshi, Mario Cerrato and John Crosby
Temple University - Fox School of Business and ManagementFox School of Business, Glasgow University and University of Maryland - Robert H. Smith School of Business
Downloads 115 (436,249)
Citation 5

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Incomplete Markets, Exchange Rates

48.

An Approach to Measure the Expectation of Generic Functions of the Market Return

Number of pages: 59 Posted: 11 Sep 2017
Gurdip Bakshi, Gurdip Bakshi, Xiaohui Gao and Jinming Xue
Temple University - Fox School of Business and ManagementFox School of Business, Fox School of Business, Temple University and Southern Methodist University (SMU) - Finance Department
Downloads 112 (444,883)

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Expected market return; Disaster probabilities; Girsanov theorem; Equity index options

49.

Do Investors Gain by Selling the Tails of Return Distributions

Number of pages: 53 Posted: 08 Jul 2021 Last Revised: 08 Aug 2023
Gurdip Bakshi, Gurdip Bakshi, John Crosby and Xiaohui Gao
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business and Fox School of Business, Temple University
Downloads 93 (505,927)

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Blowups, ambiguity aversion, performance measure, selling return tails

50.

Crossing a Rubicon into Active Money Management Realities: Performance Measurement When Funds Follow Opaque Strategies

Number of pages: 78 Posted: 03 Nov 2017 Last Revised: 22 Feb 2018
Gurdip Bakshi, Gurdip Bakshi, John Crosby and Xiaohui Gao
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business and Fox School of Business, Temple University
Downloads 89 (520,132)

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51.

Fund Performance Measurement Respecting an Industry Benchmark

Fox School of Business Research Paper Forthcoming
Number of pages: 70 Posted: 23 Nov 2019 Last Revised: 29 May 2020
Gurdip Bakshi, Gurdip Bakshi, John Crosby and Xiaohui Gao
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business and Fox School of Business, Temple University
Downloads 74 (580,199)

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mutual fund, benchmark, ambiguity aversion

52.

The Geography of Exchange Rate Disconnect

Number of pages: 48 Posted: 18 Feb 2021 Last Revised: 07 Aug 2023
Gurdip Bakshi, Gurdip Bakshi, John Crosby and Xiaohui Gao
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business and Fox School of Business, Temple University
Downloads 67 (612,091)

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Exchange rate disconnect, geography, international bond, equity, and currency markets

53.

Models of Gold Options Market and Evidence in Favor of Financialized Gold and Against Disasterization

Number of pages: 51 Posted: 08 Dec 2023 Last Revised: 12 Dec 2023
Gurdip Bakshi, Gurdip Bakshi, Xiaohui Gao and Zhaowei Zhang
Temple University - Fox School of Business and ManagementFox School of Business, Fox School of Business, Temple University and Temple University
Downloads 56 (686,345)

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Estimated gold models, financialized gold, safe haven, options on gold futures

54.

Technical Note on Local Time Risk Premiums in Parameterized Models of Interest-Rate Claims

Fox School of Business Research Paper Forthcoming
Number of pages: 34 Posted: 27 Dec 2019 Last Revised: 17 Dec 2020
Gurdip Bakshi, Gurdip Bakshi, John Crosby and Xiaohui Gao
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business and Fox School of Business, Temple University
Downloads 52 (692,129)

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Expected return of options on Treasury bond futures, unspanned components of pricing kernel, interest-rate models, Tanaka’s formula, local time risk premiums

55.

Bundled Risks, Dollar Index Options, and Quantitative Implications for Dynamic Currency Models

Number of pages: 42 Posted: 08 Dec 2023
Gurdip Bakshi, Gurdip Bakshi, Xiaohui Gao and Yuan Hu
Temple University - Fox School of Business and ManagementFox School of Business, Fox School of Business, Temple University and Temple University - Department of Finance
Downloads 48 (723,359)

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Traded bundled risks, model of options on futures on the dollar index, formulation of dollar index option risk premiums, returns of options on futures on the dollar index, dynamic models of currency behavior

56.

Studying the Implications of Consumption and Asset Return Data for Stochastic Discount Factors in Incomplete International Economies

Robert H. Smith School Research Paper No. RHS 2858834
Number of pages: 50 Posted: 27 Oct 2016
Gurdip Bakshi, Gurdip Bakshi, Mario Cerrato and John Crosby
Temple University - Fox School of Business and ManagementFox School of Business, London Metropolitan University - Department of Economics, Finance and International Business (EFIB) and University of Maryland - Robert H. Smith School of Business
Downloads 47 (723,359)
Citation 2

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Incomplete Markets, Limited Risk Sharing, Currency Puzzles

57.

Technical Note on 'Fund Performance Measurement Respecting an Industry Benchmark'

Number of pages: 16 Posted: 08 Mar 2021
Gurdip Bakshi, Gurdip Bakshi, John Crosby and Xiaohui Gao
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business and Fox School of Business, Temple University
Downloads 25 (892,602)

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Fund management, Fund performance

58.

Risk Sharing in International Economies and Market Incompleteness

American Finance Association Meeting 2016 , 27th Australasian Finance and Banking Conference 2014 Paper
Posted: 16 Aug 2014 Last Revised: 30 Sep 2018
Gurdip Bakshi, Gurdip Bakshi, Mario Cerrato and John Crosby
Temple University - Fox School of Business and ManagementFox School of Business, London Metropolitan University - Department of Economics, Finance and International Business (EFIB) and University of Maryland - Robert H. Smith School of Business

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International risk sharing, incomplete markets, exchange rates, high (low) interest rates, carry trade

59.

Volatility Risk Premiums Embedded in Individual Equity Options: Some New Insights

Posted: 09 Sep 2003
Nikunj Kapadia, Gurdip Bakshi and Gurdip Bakshi
University of Massachusetts Amherst - Department of Finance and Temple University - Fox School of Business and ManagementFox School of Business

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60.

Growth Outlook and the Cross-Section of Stock Returns

Posted: 16 Feb 2001
Amy Chan, Gurdip Bakshi and Gurdip Bakshi
University of Maryland and Temple University - Fox School of Business and ManagementFox School of Business

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Growth outlook, return cross-section, stock valuation, expected stock returns

61.

Do Call Prices and the Underlying Stock Always Move in the Same Direction?

Posted: 14 Oct 1999
Zhiwu Chen, Gurdip Bakshi, Gurdip Bakshi and Charles Cao
University of Hong Kong, Faculty of Business Economics (HKU Business School), Temple University - Fox School of Business and ManagementFox School of Business and Pennsylvania State University

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62.

Inflation, Asset Prices and the Term Structure of Interest Rates in Monetary Economies

REVIEW OF FINANCIAL STUDIES, Vol 9 No 1
Posted: 24 Aug 1998
Zhiwu Chen, Gurdip Bakshi and Gurdip Bakshi
University of Hong Kong, Faculty of Business Economics (HKU Business School) and Temple University - Fox School of Business and ManagementFox School of Business

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63.

Pricing and Hedging Long-Term Options

Journal of Econometrics, 1998
Posted: 06 May 1998
Zhiwu Chen, Gurdip Bakshi, Gurdip Bakshi and Charles Cao
University of Hong Kong, Faculty of Business Economics (HKU Business School), Temple University - Fox School of Business and ManagementFox School of Business and Pennsylvania State University

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Empirical Performance of Alternative Option Pricing Models

J. OF FINANCE
Posted: 30 Apr 1997
Zhiwu Chen, Charles Cao, Gurdip Bakshi and Gurdip Bakshi
University of Hong Kong, Faculty of Business Economics (HKU Business School), Pennsylvania State University and Temple University - Fox School of Business and ManagementFox School of Business

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Empirical Performance of Alternative Option Pricing Models

Posted: 06 Mar 1997
Zhiwu Chen, Charles Cao, Gurdip Bakshi and Gurdip Bakshi
University of Hong Kong, Faculty of Business Economics (HKU Business School), Pennsylvania State University and Temple University - Fox School of Business and ManagementFox School of Business

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