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Economics and Finance

D-Index
43
Citations
16540
World Ranking
1913
National Ranking
1117

Overview

Gurdip Bakshi is affiliated with Temple University in the United States and specializes in the field of Economics, Econometrics, and Finance, with a focus on finance. Their research encompasses a range of topics within finance and economics, including stochastic processes and financial applications, financial markets and investment strategies, monetary policy and economic impact, capital investment and risk analysis, financial risk and volatility modeling, economic theories and models, as well as credit risk and financial regulations.

Their recent scholarly contributions include several papers published between 2021 and 2023. These papers explore various aspects of financial economics and quantitative finance. Notable publications include:

  • Dark Matter in (Volatility and) Equity Option Risk Premiums (2022) in Operations Research
  • Assessing models of individual equity option prices (2021) in Review of Quantitative Finance and Accounting
  • Recovery with Applications to Forecasting Equity Disaster Probability and Testing the Spanning Hypothesis in the Treasury Market (2022) in Journal of Financial and Quantitative Analysis
  • Treasury option returns and models with unspanned risks (2023) in Journal of Financial Economics
  • Decoding Default Risk: A Review of Modeling Approaches, Findings, and Estimation Methods (2022) in Annual Review of Financial Economics

Bakshi's body of work is published across a variety of academic journals, with frequent venues including:

  • SSRN Electronic Journal
  • Operations Research
  • Review of Quantitative Finance and Accounting
  • Journal of Financial and Quantitative Analysis
  • Journal of Financial Economics

Collaborative research has been a significant aspect of Bakshi's work, with frequent co-authors contributing to multiple publications. These collaborators include Xiaohui Gao, John Crosby, Zhaodong Zhong, Jinming Xue, and Jorge Wolfgang Hansen.

Best Publications

  • Empirical Performance of Alternative Option Pricing Models

    Gurdip Bakshi;Charles Cao;Zhiwu Chen

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

    Gurdip Bakshi;Nikunj Kapadia;Dilip Madan

  • Delta-Hedged Gains and the Negative Market Volatility Risk Premium

    Gurdip Bakshi;Nikunj Kapadia

  • Spanning and derivative-security valuation

    Gurdip Bakshi;Dilip Madan

  • Empirical Performance of Alternative Option Pricing Models

    Zhiwu Chen;Zhiwu Chen;Charles Cao;Gurdip Bakshi

  • Baby boom population aging and capital markets.

    Gurdip S. Bakshi;Zhiwu Chen

  • The Spirit of Capitalism and Stock-Market Prices

    Gurdip S. Bakshi;Zhiwu Chen

  • Pricing and hedging long-term options

    Gurdip Bakshi;Charles Cao;Zhiwu Chen

  • Delta-Hedged Gains and the Negative Market Volatility Risk Premium

    Nikunj Kapadia;Gurdip Bakshi

  • A Theory of Volatility Spreads

    Gurdip Bakshi;Dilip Madan

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

    Gurdip S. Bakshi;Zhiwu Chen

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

    Gurdip Bakshi;Dilip Madan;George Panayotov

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

    Gurdip Bakshi;Nikunj Kapadia;Dilip B. Madan

  • Spanning and Derivative-Security Valuation

    Dilip B. Madan;Gurdip Bakshi

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

    Gurdip Bakshi;Charles Cao;Zhiwu Chen

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

    Gurdip Bakshi;Peter Carr;Peter Carr;Liuren Wu

  • Predictability of currency carry trades and asset pricing implications

    Gurdip Bakshi;George Panayotov

  • Understanding the role of recovery in default risk models: empirical comparisons and implied recovery rates

    Gurdip Bakshi;Dilip B. Madan;Frank X. Zhang

  • An alternative valuation model for contingent claims

    Gurdip S. Bakshi;Zhiwu Chen

  • Volatility Risk Premiums Embedded in Individual Equity Options: Some New Insights

    Gurdip Bakshi;Nikunj Kapadia

  • Stock valuation in dynamic economies

    Gurdip Bakshi;Zhiwu Chen

Frequent Co-Authors

Dilip B. Madan
Dilip B. Madan University of Maryland, College Park
Charles Cao
Charles Cao Pennsylvania State University
Liuren Wu
Liuren Wu City University of New York
Peter Carr
Peter Carr New York University
Eric Ghysels
Eric Ghysels University of North Carolina at Chapel Hill
Geert Bekaert
Geert Bekaert Columbia University
Alexander Ljungqvist
Alexander Ljungqvist Stockholm School of Economics
Turan G. Bali
Turan G. Bali Georgetown University

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