Published Papers
- Joost Driessen, Pascal Maenhout and Grigory Vilkov. The Price of Correlation Risk: Evidence from Equity Options,
Journal of Finance, 2009, 64 (3). DOI doi.org/10.1111/j.1540-6261.2009.01467.x
- Adrian Buss and Grigory Vilkov. Measuring Equity Risk with Option-Implied Correlations,
Review of Financial Studies, 2012, 25(10). DOI doi.org/10.1093/rfs/hhs087
Download data with the implied and historical betas from the paper, 1996-2009.
- Victor DeMiguel, Yuliya Plyakha, Raman Uppal, Grigory Vilkov, Improving Portfolio Selection Using Option-Implied Volatility and Skewness,
Journal of Financial and Quantitative Analysis, 2013, 48(6), 1813-1845. DOI doi.org/10.1017/S0022109013000616
- Adrian Buss, Bernard Dumas, Raman Uppal, and Grigory Vilkov.
The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis,
Journal of Monetary Economics, 2016, 81(C), 25-43. DOI doi.org/10.1016/j.jmoneco.2016.03.008
- Semyon Malamud and Grigory Vilkov. Non-Myopic Betas,
Journal of Financial Economics, 2018, 129(2), 357-381. DOI doi.org/10.1016/j.jfineco.2018.05.004
- Jens Jackwerth and Grigory Vilkov. Asymmetric Volatility Risk: Evidence from Option Markets,
Review of Finance, 2019, 23(4), 777-799. DOI doi.org/10.1093/rof/rfy025
- Emirhan Ilhan, Zacharias Sautner, and Grigory Vilkov. Carbon Tail Risk (SSRN Copy),
Review of Financial Studies, 2021, 34(3), 777-799, DOI: https://doi.org/10.1093/rfs/hhaa071
Download selected data from the paper.
- Fousseni Chabi-Yo, Chukwuma Dim, and Grigory Vilkov. Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks (SSRN Copy), Management Science, 2023, 69(2), 922-939, DOI: doi.org/10.1287/mnsc.2022.4367
Data from the paper: https://doi.org/10.17605/OSF.IO/7XCQW
- Zacharias Sautner, Laurence van Lent, Grigory Vilkov, and Ruishen Zhang. Firm-level Climate Change Exposure,
Journal of Finance, 2023, 78(3), 1449-1498, DOI: https://doi.org/10.1111/jofi.13219 Data from the paper: https://osf.io/fd6jq/
- Zacharias Sautner, Laurence van Lent, Grigory Vilkov, and Ruishen Zhang. Pricing Climate Change Exposure,
Management Science, forthcoming (2023), DOI: https://doi.org/10.1287/mnsc.2023.4686
- Altan Pazarbasi, Paul Schneider, and Grigory Vilkov (2024). Dispersion of Beliefs Bounds: Sentimental Recovery
Management Science, Forthcoming (2023), DOI: TBD
- Menkveld et al. (*** for full list of coauthors see at the page bottom: part of a huge team effort), (2023). Non-Standard Errors.
Journal of Finance (2023).
In Books
- Yuliya Plyakha, Raman Uppal, and Grigory Vilkov. Equal or Value Weighting? Implications for Asset-Pricing Tests (SSRN Copy), In: Zopounidis C., Benkraiem R., Kalaitzoglou I. (eds) Financial Risk Management and Modeling. Risk, Systems and Decisions. Springer, Cham.
DOI: doi.org/10.1007/978-3-030-66691-0_9
Working Papers
- Chukwuma Dim, Bjorn Eraker, Grigory Vilkov (2024), ODTEs: Trading, Gamma Risk and Volatility Propagation
- Grigory Vilkov (2023). ODTE Trading Rules
- Zacharias Sautner, Laurence van Lent, Grigory Vilkov, and Ruishen Zhang, Climate Value and Values Discovery in Earning Calls
- Adrian Buss, Raman Uppal, and Grigory Vilkov (2022). Investor Sophistication and Portfolio Dynamics R&R in Review of Financial Studies
- Chukwuma Dim, Francesco Sangiorgi, and Grigory Vilkov (2023). Media Narratives and Price Informativeness
- Chukwuma Dim, Francesco Sangiorgi, and Grigory Vilkov (2020). Factor Investing, Learning from Prices, and Endogenous Uncertainty in Asset Markets
In Progress
- Daniil Gerchik, Vittorio Ruffo, Lorenzo Schoenleber, Grigory Vilkov (2023-24). Factor Dispersions
Permanent Working Papers
- Adrian Buss, Raman Uppal, and Grigory Vilkov (2017). The Implications of Financial Innovation for Capital Markets and Household Welfare
- Adrian Buss, Lorenzo Schoenleber, and Grigory Vilkov (2017). Expected Correlation and Future Market Returns, updated 12/2018
- Adrian Buss, Lorenzo Schoenleber, and Grigory Vilkov (2016). Option-Implied Correlations, Factor Models, and Market Risk, updated 02/2017
- Adrian Buss, Raman Uppal, and Grigory Vilkov (2014). Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets
- Adrian Buss, Raman Uppal, and Grigory Vilkov (2013). Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs
- Joost Driessen, Pascal Maenhout, Grigory Vilkov (2012). Option-Implied Correlations and the Price of Correlation Risk, 2005, updated 10/2012
- Grigory Vilkov, Yan Xiao (2012). Option-Implied Information and Predictability of Extreme Returns, updated 09/2012
- Yuliya Plyakha, Raman Uppal, Grigory Vilkov (2011). Why Does an Equal-Weighted Portfolio Outperform Value- and Price-Weighted Portfolios?, updated 01/2012, Under Submission; winner of SPIVA Award 2011/First Prize
- Zahid Ur Rehman and Grigory Vilkov (2008). Risk-Neutral Skewness: Return Predictability and Its Sources, updated 03/2012
- Alexandra Hansis, Christian Schlag, Grigory Vilkov (2009). The Dynamics of Risk-Neutral Implied Moments: Evidence from Individual Options.
- Adrian Buss, Christian Schlag and Grigory Vilkov (2009). CAPM with Option-Implied Betas: Another Rescue Attempt.
- Yuliya Plyakha and Grigory Vilkov (2008). Portfolio Policies with Stock Options.
- David Horn , Eva Schneider and Grigory Vilkov (2007). Hedging Options in the Presence of Microstructural Noise.
- Grigory Vilkov (2006). Variance Risk Premium Demystified.
- Adaptive Parallel Computing for Large-Scale Distributed and Parallel Applications, 2010, Authors (more than you can imagine!): Jaiganesh Balasubramanian, Alexander Mintz, Andrew Kaplan, Grigory Vilkov, Artem Gleyzer, Antony Kaplan, Ron Guida, Pooja Varshneya, Douglas C. Schmidt, DD4LCCI '10 Proceedings of the First International Workshop on Data Dissemination for Large Scale Complex Critical Infrastructures
- Zircon Adaptive Software on SGI® Altix® UV 1000 for High Performance Data Analytics, 2010, Alexander Mintz, Douglas C. Schmidt, Grigory Vilkov, Jaiganesh Balasubramanian, Pooja Varshneya, Sanhita Sarkar, SGI White Paper Series
***Full list of coauthors for Non-Standard Errors: Dreber, Anna and Menkveld, Albert J. and Holzmeister, Felix and Johanneson, Magnus and Huber, Juergen and Kirchler, Michael and Razen, Michael and Weitzel, Utz and Abad, David and Abudy, Menachem (Meni) and Adrian, Tobias and Ait-Sahalia, Yacine and Akmansoy, Olivier and Alcock, Jamie and Alexeev, Vitali and Aloosh, Arash and Amato, Livia and Amaya, Diego and Angel, James J. and Bach, Amadeus and Baidoo, Edwin and Bakalli, Gaetan and Barbon, Andrea and Bashchenko, Oksana and Bindra, Parampreet Christopher and Bjonnes, Geir Hoidal and Black, Jeffrey R. and Black, Bernard S. and Bohorquez, Santiago and Bondarenko, Oleg and Bos, Charles S. and Bosch-Rosa, Ciril and Bouri, Elie and Brownlees, Christian T. and Calamia, Anna and Cao, Viet Nga and Capelle-Blancard, Gunther and Capera, Laura and Caporin, Massimiliano and Carrion, Allen and Caskurlu, Tolga and Chakrabarty, Bidisha and Chernov, Mikhail and Cheung, William Ming Yan and Chincarini, Ludwig B. and Chordia, Tarun and Chow, Sheung Chi and Clapham, Benjamin and Colliard, Jean-Edouard and Comerton-Forde, Carole and Curran, Edward and Dao, Thong and Dare, Wale and Davies, Ryan J. and De Blasis, Riccardo and De Nard, Gianluca and Declerck, Fany and Deev, Oleg and Degryse, Hans and Deku, Solomon and Desagre, Christophe and Van Dijk, Mathijs A. and Dim, Chukwuma and Dimpfl, Thomas and Dong, Yun Jiang and Drummond, Philip and Dudda, Tom and Dumitrescu, Ariadna and Dumitrescu, Ariadna and Dyakov, Teodor and Dyhrberg, Anne Haubo and Dzieliński, Michał and Eksi, Asli and El Kalak, Izidin and ter Ellen, Saskia and Eugster, Nicolas and Evans, Martin D.D. and Farrell, Michael and Félez-Viñas, Ester and Ferrara, Gerardo and FERROUHI, El Mehdi and Flori, Andrea and Fluharty-Jaidee, Jonathan and Foley, Sean and Fong, Kingsley Y. L. and Foucault, Thierry and Franus, Tatiana and Franzoni, Francesco A. and Frijns, Bart and Frömmel, Michael and Fu, Servanna and Füllbrunn, Sascha and Gan, Baoqing and Gehrig, Thomas and Gerritsen, Dirk and Gil-Bazo, Javier and Glosten, Lawrence R. and Gomez, Thomas and Gorbenko, Arseny and Güçbilmez, Ufuk and Grammig, Joachim and Gregoire, Vincent and Hagströmer, Björn and Hambuckers, Julien and Hapnes, Erik and Harris, Jeffrey H. and Harris, Lawrence and Hartmann, Simon and Hasse, Jean-Baptiste and Hautsch, Nikolaus and He, Xue-Zhong 'Tony' and Heath, Davidson and Hediger, Simon and Hendershott, Terrence J. and Hibbert, Ann Marie and Hjalmarsson, Erik and Hoelscher, Seth and Hoffmann, Peter and Holden, Craig W. and Horenstein, Alex R. and Huang, Wenqian and Huang, Da and Hurlin, Christophe and Ivashchenko, Alexey and Iyer, Subramanian R. and Jahanshahloo, Hossein and Jalkh, Naji and Jones, Charles M. and Jurkatis, Simon and Jylha, Petri and Kaeck, Andreas and Kaiser, Gabriel and Karam, Arzé and Karmaziene, Egle and Kassner, Bernhard and Kaustia, Markku and Kazak, Ekaterina and Kearney, Fearghal and van Kervel, Vincent and Khan, Saad and Khomyn, Marta and Klein, Tony and Klein, Olga and Klos, Alexander and Koetter, Michael and Krahnen, Jan Pieter and Kolokolov, Aleksey and Korajczyk, Robert A. and Kozhan, Roman and Kwan, Amy and Lajaunie, Quentin and Lam, Full Yet Eric Campbell and Lambert, Marie and Langlois, Hugues and Lausen, Jens and Lauter, Tobias and Leippold, Markus and Levin, Vladimir and Li, Yijie and Li, (Michael) Hui and Liew, Chee Yoong and Liew, Chee Yoong and Lindner, Thomas and Linton, Oliver B. and Liu, Jiacheng and Liu, Anqi and Llorente-Alvarez, Jesus-Guillermo and Lof, Matthijs and Lohr, Ariel and Longstaff, Francis A. and Lopez-Lira, Alejandro and Mankad, Shawn and Mano, Nicola and Marchal, Alexis and Martineau, Charles and Mazzola, Francesco and Meloso, Debrah C and Mihet, Roxana and Mohan, Vijay and Moinas, Sophie and Moore, David and Mu, Liangyi and Muravyev, Dmitriy and Murphy, Dermot and Neszveda, Gabor and Neumeier, Christian and Nielsson, Ulf and Nimalendran, Mahendrarajah and Nolte, Sven and Nordén, Lars L. and O'Neill, Peter and Obaid, Khaled and Ødegaard, Bernt Arne and Östberg, Per and Painter, Marcus and Palan, Stefan and Palit, Imon and Park, Andreas and Pascual Gascó, Roberto and Pasquariello, Paolo and Pastor, Lubos and Patel, Vinay and Patton, Andrew J. and Pearson, Neil D. and Pelizzon, Loriana and Pelizzon, Loriana and Pelster, Matthias and Pérignon, Christophe and Pfiffer, Cameron and Philip, Richard and Plíhal, Tomáš and Prakash, Puneet and Press, Oliver-Alexander and Prodromou, Tina and Putnins, Talis J. and Raizada, Gaurav and Rakowski, David A. and Ranaldo, Angelo and Regis, Luca and Reitz, Stefan and Renault, Thomas and Wang, Renjie and Renò, Roberto and Riddiough, Steven and Riddiough, Steven and Rinne, Kalle and Rintamäki, Paul and Riordan, Ryan and RITTMANNSBERGER, Thomas and Rodríguez Longarela, Iñaki and Rösch, Dominik and Rognone, Lavinia and Roseman, Brian and Rosu, Ioanid and Roy, Saurabh and Rudolf, Nicolas and Rush, Stephen and Rzayev, Khaladdin and Rzeźnik, Aleksandra and Sanford, Anthony and Sankaran, Harikumar and Sarkar, Asani and Sarno, Lucio and Scaillet, Olivier and Scharnowski, Stefan and Schenk-Hoppé, Klaus Reiner and Schertler, Andrea and Schneider, Michael and Schroeder, Florian and Schürhoff, Norman and Schuster, Philipp and Schwarz, Marco A. and Seasholes, Mark S. and Seeger, Norman and Shachar, Or and Shkilko, Andriy and Shui, Jessica and Sikic, Mario and Simion, Giorgia and Smales, Lee A. and Söderlind, Paul and Sojli, Elvira and Sokolov, Konstantin and Spokeviciute, Laima and Stefanova, Denitsa and Subrahmanyam, Marti G. and Szaszi, Barnabas and Talavera, Oleksandr and Tang, Yuehua and Taylor, Nicholas and Tham, Wing Wah and Theissen, Erik and Thimme, Julian and Tonks, Ian and Tran, Hai and Trapin, Luca and Trolle, Anders B. and Vaduva, Maria and Valente, Giorgio and Van Ness, Robert A. and Vasquez, Aurelio and Verousis, Thanos and Verwijmeren, Patrick and Vilhelmsson, Anders and Vilkov, Grigory and Vladimirov, Vladimir and Vogel, Sebastian and Voigt, Stefan and Wagner, Wolf and Walther, Thomas and Weiss, Patrick and Weiss, Patrick and van der Wel, Michel and Werner, Ingrid M. and Westerholm, P. Joakim and Westheide, Christian and Wipplinger, Evert and Wolf, Michael and Wolff, Christian C. P. and Wolk, Leonard and Wong, Wing Keung and Wrampelmeyer, Jan and Wu, Zhen-Xing and Xia, Shuo and Xiu, Dacheng and Xu, Ke and Xu, Caihong and Yadav, Pradeep K. and Yagüe, José and Yan, Cheng and Yang, Antti and Yoo, Woongsun and Yu, Wenjia and Yu, Shihao and Yu, Shihao and Yueshen, Bart Zhou and Yuferova, Darya and Zamojski, Marcin and Zareei, Abalfazl and Zeisberger, Stefan and Zhang, Sarah and Zhang, Xiaoyu and Zhong, Zhuo and Zhou, Zeyang Ivy and Zhou, Chen and Zhu, Xingyu and Zhu, Xingyu and Zhu, Xingyu and Zoican, Marius and Zwinkels, Remco C.J. and Duevski, Teodor and Gao, Ge and Gemayel, Roland and Gilder, Dudley and Kuhle, Paul and Pagnotta, Emiliano and Pagnotta, Emiliano and Pelli, Michele and Neusüss, Sebastian and Sönksen, Jantje and Zhang, Lu and Bogoev, Dimitar and Chen, Jian and Ilczuk, Konrad and Qian, Ya and Wika, Hans C. and Yu, Yihe and Zhao, Lu and Mi, Michael and Bao, Li.