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George Panayotov

Hong Kong University of Science & Technology (HKUST)

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SCHOLARLY PAPERS

12

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Scholarly Papers (12)

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1.

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

Downloads 2,808 ( 4,310)

Citation 22

2

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

Fox School of Business, Hong Kong University of Science & Technology (HKUST) and University of British Columbia (UBC) - Division of Finance

Downloads 1,796 (8,912)

Citation 9

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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

Fox School of Business, Hong Kong University of Science & Technology (HKUST) and University of British Columbia (UBC) - Division of Finance

Downloads 1,012 (21,763)

Citation 28

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Abstract:

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

2.

Good Carry, Bad Carry

Downloads 1,737 ( 9,589)

Citation 8

4

Good Carry, Bad Carry

Columbia Business School Research Paper No. 15-53

Number of pages: 88 Posted: 30 Apr 2015 Last Revised: 06 Mar 2018

Geert Bekaert and George Panayotov

Columbia Business School - Finance and Economics and Hong Kong University of Science & Technology (HKUST)

Downloads 1,638 (10,401)

Citation 3

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Abstract:

currency carry trade, currency risk factors

Good Carry, Bad Carry

Number of pages: 77 Posted: 04 Jan 2019

Geert Bekaert and George Panayotov

Columbia Business School - Finance and Economics and Hong Kong University of Science & Technology (HKUST)

Downloads 93 (290,253)

Citation 2

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Abstract:

currency carry trade, predictability, currency risk factors

Good Carry, Bad Carry

NBER Working Paper No. w25420

Number of pages: 78 Posted: 07 Jan 2019 Last Revised: 12 Jan 2019

Geert Bekaert and George Panayotov

Columbia Business School - Finance and Economics and Hong Kong University of Science & Technology (HKUST)

Downloads 5 (666,060)

Good Carry, Bad Carry

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Abstract:

Good Carry, Bad Carry

CEPR Discussion Paper No. DP13463

Number of pages: 80 Posted: 23 Jan 2019

Geert Bekaert and George Panayotov

Columbia Business School - Finance and Economics and Hong Kong University of Science & Technology (HKUST)

Downloads 1 (707,290)

Citation 2

Good Carry, Bad Carry

This is a CEPR Discussion Paper. CEPR charges a fee of $8.00 for this paper.

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Abstract:

currency carry trade, currency risk factors, predictability

3.

Predictability of Currency Carry Trades and Asset Pricing Implications

Number of pages: 54 Posted: 30 Dec 2011

Gurdip Bakshi and George Panayotov

Fox School of Business and Hong Kong University of Science & Technology (HKUST)

Downloads 787 (31,709)

Citation 13

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Abstract:

currency carry trades, predictability

4.

Heterogeneity in Beliefs and Volatility Tail Behavior

Downloads 251 (126,453)

Citation 2

2

Heterogeneity in Beliefs and Volatility Tail Behavior

Number of pages: 37 Posted: 20 Mar 2012

Gurdip Bakshi, Dilip B. Madan and George Panayotov

Fox School of Business, University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)

Downloads 251 (125,872)

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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

Fox 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

5.

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

Downloads 249 (127,533)

Citation 15

2

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, Dilip B. Madan and George Panayotov

Fox School of Business, University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)

Downloads 166 (186,231)

Citation 13

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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

Fox School of Business, University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)

Downloads 83 (312,101)

Citation 3

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Abstract:

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

6.

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

Fox School of Business, Hong Kong University of Science & Technology (HKUST) and University of British Columbia (UBC) - Division of Finance

Downloads 229 (138,559)

Citation 5

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Abstract:

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

7.

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

Fox School of Business, University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)

Downloads 197 (159,823)

Citation 2

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Abstract:

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

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

Fox School of Business, University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)

Downloads 196 (160,576)

Citation 1

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Abstract:

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

9.

Eye in the Sky: Private Satellites and Government Macro Data

Downloads 130 (227,510)

2

Eye in the Sky: Private Satellites and Government Macro Data

Journal of Financial Economics (JFE), Forthcoming

Number of pages: 76 Posted: 12 Sep 2019 Last Revised: 11 Jan 2020

Abhiroop Mukherjee, George Panayotov and Janghoon Shon

Hong Kong University of Science & Technology (HKUST) - Department of Finance, Hong Kong University of Science & Technology (HKUST) and Hong Kong University of Science & Technology (HKUST) - Department of Finance

Downloads 124 (236,770)

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Abstract:

Alternative data, Satellite imagery, Asset price impact, Macroeconomic estimates

Eye in the Sky: Private Satellites and Government Macro Data

HKUST IEMS Working Paper No. 2019-68

Number of pages: 48 Posted: 05 Feb 2020

Abhiroop Mukherjee, George Panayotov and Janghoon Shon

Hong Kong University of Science & Technology (HKUST) - Department of Finance, Hong Kong University of Science & Technology (HKUST) and Hong Kong University of Science & Technology (HKUST) - Department of Finance

Downloads 6 (658,444)

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Abstract:

Alternative data, Satellite Imagery, Asset price impact, Macroeconomic Estimates

10.

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

Fox School of Business and Hong Kong University of Science & Technology (HKUST)

Downloads 115 (249,319)

Citation 1

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Abstract:

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

11.

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

Fox School of Business, Fox School of Business, Temple University and Hong Kong University of Science & Technology (HKUST)

Downloads 86 (302,647)

Citation 1

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Abstract:

Dissimilarity between SDFs

12.

Global Risks in the Currency Market

Number of pages: 60 Posted: 19 Oct 2018 Last Revised: 05 Nov 2019

George Panayotov

Hong Kong University of Science & Technology (HKUST)

Downloads 54 (388,748)

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Abstract:

global risk, carry trades, currency returns

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