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1

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

Bakshi, Gurdip, Gao, Xiaohui, Rossi, Alberto G.

Journal:

Management Science

Year:

2017

Language:

english

File:

PDF, 653 KB

english, 2017

2

Predictability of currency carry trades and asset pricing implications

Bakshi, Gurdip, Panayotov, George

Journal:

Journal of Financial Economics

Year:

2013

Language:

english

File:

PDF, 786 KB

english, 2013

3

Empirical Performance of Alternative Option Pricing Models

Gurdip Bakshi, Charles Cao and Zhiwu Chen

Journal:

The Journal of Finance

Year:

1997

Language:

english

File:

PDF, 938 KB

english, 1997

4

Implications of Incomplete Markets for International Economies

Bakshi, Gurdip, Cerrato, Mario, Crosby, John

Journal:

Review of Financial Studies

Year:

2017

Language:

english

File:

PDF, 425 KB

english, 2017

5

Spanning and derivative-security valuation

Gurdip Bakshi, Dilip Madan

Journal:

Journal of Financial Economics

Year:

2000

Language:

english

File:

PDF, 233 KB

english, 2000

6

Empirical Performance of Alternative Option Pricing Models

GURDIP BAKSHI, CHARLES CAO, ZHIWU CHEN

Journal:

The Journal of Finance

Year:

1997

Language:

english

File:

PDF, 2.76 MB

english, 1997

7

Volatility Risk Premiums Embedded in Individual Equity Options

Bakshi, Gurdip, Kapadia, Nikunj

Journal:

The Journal of Derivatives

Year:

2003

Language:

english

File:

PDF, 187 KB

english, 2003

8

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

Gurdip S. Bakshi and Zhiwu Chen

Journal:

Review of Financial Studies

Year:

1996

Language:

english

File:

PDF, 862 KB

english, 1996

9

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

Gurdip Bakshi, Charles Cao and Zhiwu Chen

Journal:

Review of Financial Studies

Year:

2000

Language:

english

File:

PDF, 891 KB

english, 2000

10

Pricing and hedging long-term options

Gurdip Bakshi, Charles Cao, Zhiwu Chen

Journal:

Journal of Econometrics

Year:

2000

Language:

english

File:

PDF, 374 KB

english, 2000

11

Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies

Gurdip Bakshi, Peter Carr, Liuren Wu

Journal:

Journal of Financial Economics

Year:

2008

Language:

english

File:

PDF, 342 KB

english, 2008

12

First-passage probability, jump models, and intra-horizon risk

Gurdip Bakshi, George Panayotov

Journal:

Journal of Financial Economics

Year:

2010

Language:

english

File:

PDF, 523 KB

english, 2010

13

Equilibrium Valuation of Foreign Exchange Claims

GURDIP S. BAKSHI, ZHIWU CHEN

Journal:

The Journal of Finance

Year:

1997

Language:

english

File:

PDF, 1.47 MB

english, 1997

14

Stock valuation in dynamic economies

Gurdip Bakshi, Zhiwu Chen

Journal:

Journal of Financial Markets

Year:

2005

Language:

english

File:

PDF, 477 KB

english, 2005

15

A Theory of Volatility Spreads

Gurdip Bakshi and Dilip Madan

Journal:

Management Science

Year:

2006

Language:

english

File:

PDF, 2.24 MB

english, 2006

16

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

Gurdip Bakshi, Nikunj Kapadia and Dilip Madan

Journal:

Review of Financial Studies

Year:

2003

Language:

english

File:

PDF, 1.12 MB

english, 2003

17

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

Bakshi, Gurdip, Chabi-Yo, Fousseni, Gao, Xiaohui

Journal:

Review of Financial Studies

Year:

2018

Language:

english

File:

PDF, 237 KB

english, 2018

18

Estimation of continuous-time models with an application to equity volatility dynamics

Gurdip Bakshi, Nengjiu Ju, Hui Ou-Yang

Journal:

Journal of Financial Economics

Year:

2006

Language:

english

File:

PDF, 305 KB

english, 2006

19

Returns of claims on the upside and the viability of U-shaped pricing kernels

Gurdip Bakshi, Dilip Madan, George Panayotov

Journal:

Journal of Financial Economics

Year:

2010

Language:

english

File:

PDF, 643 KB

english, 2010

20

Do subjective expectations explain asset pricing puzzles?

Gurdip Bakshi, Georgios Skoulakis

Journal:

Journal of Financial Economics

Year:

2010

Language:

english

File:

PDF, 530 KB

english, 2010

21

Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios

Gurdip Bakshi, George Panayotov, Georgios Skoulakis

Journal:

Journal of Financial Economics

Year:

2011

Language:

english

File:

PDF, 509 KB

english, 2011

22

Variance bounds on the permanent and transitory components of stochastic discount factors

Gurdip Bakshi, Fousseni Chabi-Yo

Journal:

Journal of Financial Economics

Year:

2012

Language:

english

File:

PDF, 469 KB

english, 2012

23

An alternative valuation model for contingent claims

Gurdip S. Bakshi, Zhiwu Chen

Journal:

Journal of Financial Economics

Year:

1997

Language:

english

File:

PDF, 2.16 MB

english, 1997

24

The Behavior of Risk and Market Prices of Risk Over the Nasdaq Bubble Period

Bakshi, Gurdip, Wu, Liuren

Journal:

Management Science

Year:

2010

Language:

english

File:

PDF, 242 KB

english, 2010

25

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

Bakshi, Gurdip, Madan, Dilip, Zhang, Frank Xiaoling

Journal:

The Journal of Business

Year:

2006

Language:

english

File:

PDF, 214 KB

english, 2006

26

Baby Boom, Population Aging, and Capital Markets

Gurdip S. Bakshi and Zhiwu Chen

Journal:

The Journal of Business

Year:

1994

Language:

english

File:

PDF, 3.40 MB

english, 1994

27

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

Bakshi, Gurdip, Madan, Dilip, Panayotov, George

Journal:

Journal of Business and Economic Statistics

Year:

2010

Language:

english

File:

PDF, 218 KB

english, 2010

28

The Spirit of Capitalism and Stock-Market Prices

Gurdip S. Bakshi and Zhiwu Chen

Journal:

American Economic Review

Year:

1996

Language:

english

File:

PDF, 708 KB

english, 1996

29

Average Rate Claims with Emphasis on Catastrophe Loss Options

Gurdip Bakshi and Dilip Madan

Journal:

Journal of Financial and Quantitative Analysis

Year:

2002

Language:

english

File:

PDF, 656 KB

english, 2002

30

Heterogeneity in Beliefs and Volatility Tail Behavior

Bakshi, Gurdip, Madan, Dilip, Panayotov, George

Journal:

Journal of Financial and Quantitative Analysis

Year:

2015

Language:

english

File:

PDF, 422 KB

english, 2015

31

Equilibrium Valuation of Foreign Exchange Claims

Gurdip S. Bakshi and Zhiwu Chen

Journal:

The Journal of Finance

Year:

1997

Language:

english

File:

PDF, 728 KB

english, 1997

32

A Theory of Volatility Spreads

Bakshi, Gurdip, Madan, Dilip

Journal:

Management Science

Year:

2006

Language:

english

File:

PDF, 221 KB

english, 2006

33

Delta-Hedged Gains and the Negative Market Volatility Risk Premium

Gurdip Bakshi and Nikunj Kapadia

Journal:

Review of Financial Studies

Year:

2003

Language:

english

File:

PDF, 1006 KB

english, 2003

34

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

Bakshi, Gurdip S., Kapadia, Nikunj, Madan, Dilip B.

Journal:

SSRN Electronic Journal

Year:

2000

Language:

english

File:

PDF, 581 KB

english, 2000

35

An Alternative Valuation Model for Contingent Claims

Bakshi, Gurdip S., Chen, Zhiwu

Journal:

SSRN Electronic Journal

Year:

1996

Language:

english

File:

PDF, 344 KB

english, 1996

36

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

Bakshi, Gurdip S., Ju, Nengjiu

Journal:

SSRN Electronic Journal

Year:

2003

Language:

english

File:

PDF, 189 KB

english, 2003

37

A Theory of Dissimilarity Between Stochastic Discount Factors

Bakshi, Gurdip, Gao, Xiaohui, Panayotov, George

Journal:

Management Science

Year:

2020

File:

PDF, 993 KB

2020

38

Unbiasedness of the Forward Exchange Rates

Gurdip S. Bakshi, Atsuyuki Naka

Journal:

Financial Review

Year:

1997

Language:

english

File:

PDF, 855 KB

english, 1997

39

Production-based asset pricing in Japan

Gurdip S. Bakshi, Zhiwu Chen, Atsuyuki Naka

Journal:

Pacific-Basin Finance Journal

Year:

1995

Language:

english

File:

PDF, 1.19 MB

english, 1995

40

An empirical investigation of asset pricing models using Japanese stock market data

Gurdip S. Bakshi, Atsuyuki Naka

Journal:

Journal of International Money and Finance

Year:

1997

Language:

english

File:

PDF, 1.87 MB

english, 1997

41

A Refinement to Aït‐Sahalia's (2002) “Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed‐Form Approximation Approach”*

Bakshi, Gurdip, Ju, Nengjiu

Journal:

The Journal of Business

Year:

2005

Language:

english

File:

PDF, 200 KB

english, 2005

42

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

Bakshi, Gurdip, Kapadia, Nikunj, Madan, Dilip

Journal:

Review of Financial Studies

Year:

2003

Language:

english

File:

PDF, 271 KB

english, 2003

43

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

Bakshi, Gurdip, Gao Bakshi, Xiaohui, Rossi, Alberto G.

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 2.38 MB

english, 2014

44

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

Bakshi, Gurdip S., Panayotov, George, Skoulakis, Georgios

Journal:

SSRN Electronic Journal

Year:

2010

Language:

english

File:

PDF, 240 KB

english, 2010

45

Spanning and Derivative-Security Valuation

Bakshi, Gurdip S., Madan, Dilip B.

Journal:

SSRN Electronic Journal

Year:

1999

Language:

english

File:

PDF, 372 KB

english, 1999

46

Heterogeneity in Beliefs and Volatility Tail Behavior

Bakshi, Gurdip S., Madan, Dilip B., Panayotov, George

Journal:

SSRN Electronic Journal

Year:

2011

Language:

english

File:

PDF, 416 KB

english, 2011

47

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

Carr, Peter P., Wu, Liuren, Bakshi, Gurdip S.

Journal:

SSRN Electronic Journal

Year:

2006

Language:

english

File:

PDF, 239 KB

english, 2006

48

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

Bakshi, Gurdip S., Madan, Dilip B., Panayotov, George

Journal:

SSRN Electronic Journal

Year:

2008

Language:

english

File:

PDF, 251 KB

english, 2008

49

Predictability of Currency Carry Trades and Asset Pricing Implications

Bakshi, Gurdip S., Panayotov, George

Journal:

SSRN Electronic Journal

Year:

2011

Language:

english

File:

PDF, 355 KB

english, 2011

50

Do Subjective Expectations Explain Asset Pricing Puzzles?

Bakshi, Gurdip S., Skoulakis, Georgios

Journal:

SSRN Electronic Journal

Year:

2009

Language:

english

File:

PDF, 384 KB

english, 2009