S
Study
Academic Library
Search
Shelves
Open access
My library
Review
Gurdip Bakshi · Study
Home
/
Author
Gurdip Bakshi
36 works
· latest 2017
· 4 institutions
cluster: provisional
ORCID 0000-0003-0838-4128
Works
36 shown
Understanding the Sources of Risk Underlying the Cross Section of Commodity Returns
Management Science
·
2017
·
3 authors
·
Open access
198
citations
A Recovery that We Can Trust? Deducing and Testing the Restrictions of the Recovery Theorem
Review of Financial Studies
·
2016
·
3 authors
·
Open access
56
citations
Variance bounds on the permanent and transitory components of stochastic discount factors
Journal of Financial Economics
·
2012
·
2 authors
55
citations
Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios
Journal of Financial Economics
·
2011
·
3 authors
·
Open access
111
citations
Predictability of Currency Carry Trades and Asset Pricing Implications
Journal of Financial Economics
·
2011
·
2 authors
·
Open access
161
citations
The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity
SSRN Electronic Journal
·
2011
·
3 authors
·
preprint
·
Open access
92
citations
The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity
SSRN Electronic Journal
·
2011
·
3 authors
·
preprint
·
Open access
65
citations
Returns of claims on the upside and the viability of U-shaped pricing kernels☆
Journal of Financial Economics
·
2010
·
3 authors
·
Open access
192
citations
First-passage probability, jump models, and intra-horizon risk
Journal of Financial Economics
·
2009
·
2 authors
·
Open access
40
citations
Do Higher-Moment Equity Risks Explain Hedge Fund Returns?
SSRN Electronic Journal
·
2008
·
3 authors
·
preprint
·
Open access
56
citations
Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies
Journal of Financial Economics
·
2007
·
3 authors
191
citations
A Theory of Volatility Spreads
Management Science
·
2006
·
2 authors
·
Open access
292
citations
Investigating the Role of Systematic and Firm‐Specific Factors in Default Risk: Lessons from Empirically Evaluating Credit Risk Models*
The Journal of Business
·
2006
·
3 authors
106
citations
Estimation of continuous-time models with an application to equity volatility dynamics
Journal of Financial Economics
·
2006
·
3 authors
132
citations
Stock valuation in dynamic economies
Journal of Financial Markets
·
2005
·
2 authors
·
Open access
97
citations
Volatility Risk Premiums Embedded in Individual Equity Options
The Journal of Derivatives
·
2003
·
2 authors
136
citations
Delta-Hedged Gains and the Negative Market Volatility Risk Premium
Review of Financial Studies
·
2003
·
2 authors
934
citations
Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options
Review of Financial Studies
·
2003
·
3 authors
1,354
citations
Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates
SSRN Electronic Journal
·
2003
·
3 authors
·
preprint
·
Open access
123
citations
Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options
Review of Financial Studies
·
2002
·
1 author
133
citations
Average Rate Claims with Emphasis on Catastrophe Loss Options
Journal of Financial and Quantitative Analysis
·
2002
·
2 authors
44
citations
Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options
SSRN Electronic Journal
·
2001
·
3 authors
·
preprint
·
Open access
419
citations
Delta-Hedged Gains and the Negative Market Volatility Risk Premium
SSRN Electronic Journal
·
2001
·
2 authors
·
preprint
·
Open access
185
citations
Understanding the Role of Recovery in Default Risk Models: Empirical Comarisons and Implied Recovery Rates
Finance and Economics Discussion Series
·
2001
·
2 authors
·
Open access
60
citations
Investigating the Sources of Default Risk: Lessons from Empirically Evaluating Credit Risk Models
Finance and Economics Discussion Series
·
2001
·
2 authors
·
Open access
44
citations
Do Call Prices and the Underlying Stock Always Move in the Same Direction?
Review of Financial Studies
·
2000
·
3 authors
191
citations
Spanning and derivative-security valuation
Journal of Financial Economics
·
2000
·
2 authors
746
citations
Pricing and hedging long-term options
Journal of Econometrics
·
2000
·
3 authors
243
citations
Spanning and Derivative-Security Valuation
SSRN Electronic Journal
·
1999
·
2 authors
·
preprint
·
Open access
154
citations
Empirical Performance of Alternative Option Pricing Models
The Journal of Finance
·
1997
·
3 authors
·
Open access
2,708
citations
Equilibrium Valuation of Foreign Exchange Claims
The Journal of Finance
·
1997
·
2 authors
106
citations
An alternative valuation model for contingent claims
Journal of Financial Economics
·
1997
·
2 authors
129
citations
Unbiasedness of the Forward Exchange Rates
Financial Review
·
1997
·
2 authors
26
citations
The Spirit of Capitalism and Stock-Market Prices
RePEc: Research Papers in Economics
·
1996
·
2 authors
·
preprint
379
citations
Inflation, Asset Prices, and the Term Structure of Interest Rates in Monetary Economics
Review of Financial Studies
·
1996
·
2 authors
170
citations
Baby Boom, Population Aging, and Capital Markets
The Journal of Business
·
1994
·
2 authors
423
citations