Research

Publications

• Hyojin Hana, Stanislav Khrapov, Eric Renault (2020). The leverage effect puzzle revisited: Identification in discrete time. Journal of Econometrics.

• Stanislav Anatolyev and Stanislav Khrapov (2015). Right on Target, or Is it? The Role of Distributional Shape in Variance Targeting. Econometrics, 3(3), pp. 610--632. (Additional materials, SSRN)

Working papers

• Buy Global, Sell Local. Consumption Heterogeneity, Regional Risk-sharing, and the Cross-section of Equity Returns (with Riccardo Colacito) (SSRN)

• Option Pricing via Risk-Neutral Density Forecasting

• Pricing Central Tendency in Volatility (SSRN)

• Do Spatial Structures Yield Better Volatility Forecasts? (with Stanislav Anatolyev)

• Risk Premia: Short and Long-term (SSRN)

• Realized Skewness Predicts Jump Variation (with Elena Buchatskaya)

Work in progress

• Modeling Vast Dimensional Autoregressive Conditional Density (with Stanislav Anatolyev and Andrey Zeleneev)

• Capital Structure and Equity Correlation Premiums (with Oleg Gredil)