Research

Publications and Working Papers

  • The Multiplicative Wedge Approach to Incomplete Markets and the Trifecta of Exchange Rate Puzzles [pdf]
  • A Recovery that We can Trust? Deducing and Testing the Restrictions of the Recovery Theorem [pdf]
  • New Entropy Restrictions and the Quest for Better Specified Asset Pricing Models [pdf], under revision
  • Studying the Implications of Consumption and Asset Return Data for Stochastic Discount Factors in Incomplete International Economies[pdf]
  • Bakshi G, Madan D, Panayotov G. Heterogeneity in Beliefs and Volatility tails. Social Science Research Network Working Paper Series (JFQA [forthcoming]) [Internet]. 2014. Publisher's Version (link is external)Abstractjfqa_style_06_03_2014_accepted.pdf

  •  Gurdip Bakshi and George Panayotov, ``Currency Carry Trade Return  Predictability and Asset Pricing Implications,” Journal of Financial Economics 110, 139-163 (year 2013).

  •  Gurdip Bakshi and Fousseni Chabi-Yo, `` Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors,” Journal of Financial Economics  2012, Volume 105, 191-208.

  • Gurdip Bakshi, George Panayotov, and Georgios Skoulakis. Improving the  Predictability of Real Economic Activity and Asset Returns with Forward Variances Inferred from Option Portfolios,   Journal of Financial Economics 2011, Volume 100, 475-495.

  •  Gurdip Bakshi, and Liuren Wu, ``The Behavior of Risk and Market Prices of Risk over the Nasdaq Bubble Period.” Management  Science,  Volume 56, No. 12, December 2010, 2237-2250.

  • Gurdip Bakshi, and Georgios Skoulakis, ``Do Subjective Expectations  Explain Asset Pricing Puzzles,”  Journal of  Financial  Economics  98,  (2010),  462-477.

  • Gurdip Bakshi, Dilip Madan, and George Panayotov,  `` Returns of Claims  on the Upside and the Viability of  U-Shaped Pricing Kernels,”  Journal of  Financial Economics 97 (2010), 130-154.

  • Gurdip Bakshi, Dilip Madan, and George Panayotov.  ``Deducing the Implications of Jump Models for the Structure of Crashes, Rallies,  Jump Arrival rates and Extremes,” Journal of  Business  and Economic  Statistics  (JBES), July 2010, Volume 28, No. 3,  380-396.

  • Gurdip Bakshi, and George Panayotov,  ``First Passage  Probability, Jump Models, and Intra-Period Risk,”  Journal of  Financial Economics  95 , 2010, 20-40.

  • Gurdip Bakshi, Peter Carr, and Liuren Wu, ``Stochastic Risk Premiums,  Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies.” Journal of Financial Economics  87 (January 2008), 132-156. 

  • Gurdip Bakshi and Dilip Madan, ``A Theory of Volatility Spreads.” Management  Science  2006, 52, Issue 12, (December 2006), 1945-1956.

  • Gurdip Bakshi, Nengjiu Ju, and Hui Ou-Yang , ``Estimation of  Continuous-time Models with an Application to Equity Volatility,Journal of Financial Economics 82, 227-249 (October 2006).

  • Gurdip Bakshi, Dilip Madan, and Frank Zhang, ``Investigating Role of  Systematic and Firm-Specific Factors in Default Risk: Lessons from Empirically Evaluating Credit Risk Models," Journal of Business  2006, 79,  No. 4, 1955-1988 (July 2006).

  • Gurdip Bakshi and Nengjiu Ju,  ``A Refinement to Ait-Sahalia’s (2000) Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach,” Journal of Business , 2005, Volume 78, No. 5, 2037-2052  (September 2005).

  • Gurdip Bakshi, and Zhiwu Chen, ``Stock Valuation in Dynamic Economies,” Journal of Financial Markets,  2005, Volume 8, No. 2, 111-151.

  •  Gurdip Bakshi and Nikunj Kapadia, ``Volatility Risk Premium Embedded Individual Equity Options: Some New Insights,” Journal of Derivatives (Fall issue 2003),  45-54.

  • Gurdip Bakshi and Dilip Madan, 2000, ``Spanning and Derivative-Security Valuation," J ournal of Financial Economics 55, No. 2, 2000, p205-238.

  • Gurdip Bakshi, Charles Cao, and Zhiwu Chen, 2000, ``Pricing and Hedging Long-Term Options,” Journal of Econometrics,  94, 2000, p277-318.

  • Gurdip Bakshi and Zhiwu Chen, 1997, ``Equilibrium Valuation of  Foreign Exchange Claims,” Journal of Finance 52, 1997, p799-826.

  • Gurdip Bakshi, Zhiwu Chen, and Yuki Naka, 1995, ``Production-Based Asset Pricing in Japan," Pacific-Basin Finance Journal, 3, 1995, p217-240.