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Volatility of the stochastic discount factor, and the distinction between risk-neutral and objective probability measures
Bakshi, Gurdip S. (contributor); Chen, Zhiwu (contributor);  … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002569963
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Discounts on illiquid stocks : evidence from China
Chen, Zhiwu; Xiong, Peng - 2003
Persistent link: https://www.econbiz.de/10001809309
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Hedge fund holdings and stock market efficiency
Cao, Charles Q.; Liang, Bing; Lo, Andrew W.; Petrasek, … - 2014
Persistent link: https://www.econbiz.de/10010433420
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Liquidity risk and hedge fund ownership
Cao, Charles Q.; Petrasek, Lubomir - 2011
Persistent link: https://www.econbiz.de/10009406442
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Do higher-moment equity risks explain hedge fund returns?
Agarwal, Vikas; Bakshi, Gurdip; Huij, Joop - 2009
Hedge funds are fundamentally exposed to equity volatility, skewness, and kurtosis risks based on the systematic pattern and significant spread in alphas from the existing models that do not control for the higher-moment risks. The spread and pattern in alphas do not disappear with bootstrap...
Persistent link: https://www.econbiz.de/10010302540
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Risk sharing in international economies and market incompleteness
Bakshi, Gurdip S.; Cerrato, Mario; Crosby, John - 2015
Persistent link: https://www.econbiz.de/10011374651
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Studying the implications of consumption and asset return data for stochastic discount factors in incomplete international economies
Bakshi, Gurdip S.; Cerrato, Mario; Crosby, John - 2017
Persistent link: https://www.econbiz.de/10011583440
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Recovery in default risk modeling : theoretical foundations and empirical applications
Bakshi, Gurdip S.; Madan, Dilip B.; Zhang, Frank - 2001
Persistent link: https://www.econbiz.de/10001613473
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Investigating the sources of default risk : lessons from empirically evaluating credit risk models
Bakshi, Gurdip S.; Madan, Dilip B.; Zhang, Frank X. - 2001
Persistent link: https://www.econbiz.de/10001573166
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Do higher-moment equity risks explain hedge fund returns?
Agarwal, Vikas; Bakshi, Gurdip S.; Huij, Joop - 2010
Hedge funds are fundamentally exposed to equity volatility, skewness, and kurtosis risks based on the systematic pattern and significant spread in alphas from the existing models that do not control for the higher-moment risks. The spread and pattern in alphas do not disappear with bootstrap...
Persistent link: https://www.econbiz.de/10008666525