George Panayotov

Hong Kong University of Science & Technology (HKUST)

Clearwater Bay

Kowloon, 999999

Hong Kong

SCHOLARLY PAPERS

10

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CITATIONS
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34

Scholarly Papers (10)

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, George Panayotov and Georgios Skoulakis
University of Maryland - Robert H. Smith School of Business, Hong Kong University of Science & Technology (HKUST) and University of British Columbia (UBC) - Division of Finance
Downloads 1,493 (9,163)
Citation 4

Abstract:

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, George Panayotov and Georgios Skoulakis
University of Maryland - Robert H. Smith School of Business, Hong Kong University of Science & Technology (HKUST) and University of British Columbia (UBC) - Division of Finance
Downloads 894 (20,385)
Citation 4

Abstract:

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

2.

Predictability of Currency Carry Trades and Asset Pricing Implications

Number of pages: 54 Posted: 30 Dec 2011
Gurdip Bakshi and George Panayotov
University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 607 (29,681)
Citation 1

Abstract:

currency carry trades, predictability

3.

Good Carry, Bad Carry

Columbia Business School Research Paper No. 15-53
Number of pages: 64 Posted: 30 Apr 2015 Last Revised: 15 Oct 2017
Geert Bekaert and George Panayotov
Columbia Business School - Finance and Economics and Hong Kong University of Science & Technology (HKUST)
Downloads 549 (12,237)

Abstract:

currency carry trade, currency risk factors

Heterogeneity in Beliefs and Volatility Tail Behavior

Number of pages: 37 Posted: 20 Mar 2012
Gurdip Bakshi, Dilip B. Madan and George Panayotov
University of Maryland - Robert H. Smith School of Business, University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 233 (110,162)

Abstract:

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, Dilip B. Madan and George Panayotov
University of Maryland - Robert H. Smith School of Business, University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)

Abstract:

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

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: 29 Feb 2012
Gurdip Bakshi, Dilip B. Madan and George Panayotov
University of Maryland - Robert H. Smith School of Business, University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 154 (162,385)
Citation 13

Abstract:

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, Dilip B. Madan and George Panayotov
University of Maryland - Robert H. Smith School of Business, University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 60 (309,652)
Citation 13

Abstract:

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

6.

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, Dilip B. Madan and George Panayotov
University of Maryland - Robert H. Smith School of Business, University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 183 (133,281)
Citation 2

Abstract:

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

7.

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, George Panayotov and Georgios Skoulakis
University of Maryland - Robert H. Smith School of Business, Hong Kong University of Science & Technology (HKUST) and University of British Columbia (UBC) - Division of Finance
Downloads 175 (127,772)
Citation 12

Abstract:

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

8.

An Asset Pricing Theory of Volatility Tail Behavior

Number of pages: 37 Posted: 15 Mar 2011
Gurdip Bakshi, Dilip B. Madan and George Panayotov
University of Maryland - Robert H. Smith School of Business, University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 167 (138,074)
Citation 1

Abstract:

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

9.

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 and George Panayotov
University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 97 (215,717)
Citation 1

Abstract:

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

10.

A Theory of Dissimilarity between Stochastic Discount Factors

Number of pages: 64 Posted: 11 Sep 2017 Last Revised: 20 Sep 2017
Gurdip Bakshi, Xiaohui Gao Bakshi and George Panayotov
University of Maryland - Robert H. Smith School of Business, University of Maryland - Department of Finance and Hong Kong University of Science & Technology (HKUST)
Downloads 0 (436,401)

Abstract:

Dissimilarity between SDFs