Gurdip Bakshi and John Crosby and Xiaohui Gao, “Do Investors Gain by Selling the Tails of Return Distributions?” Forthcoming at Mathematical Finance
Gurdip Bakshi and John Crosby and Xiaohui Gao and Jinming Xue and Wei Zhou, ``The Options-Inferred Equity Premium and the Slippery Slope of The Negative Correlation Condition”, Forthcoming at Journal Of Investment Management, 2024.
Gurdip Bakshi and Xiaohui Gao and Zhaowei Zhang, ``What Insights Do Short-Maturity (7DTE) Return Predictive Regressions Offer about Risk Preferences in the Oil Market?” Commodities 3(2), 2024, 225-247, https://doi.org/10.3390/commodities3020014
Gurdip Bakshi and John Crosby and Xiaohui Gao and Jorge W. Hansen, `` Treasury Option Returns and Models with Unspanned Risks” Journal of Financial Economics150, 2023.
Gurdip Bakshi and John Crosby, and Xiaohui Gao, "Dark Matter in (Volatility and) Equity Option Risk Premiums", Operations Research 70 (6), 2022, 3035-3628. SSRN version with Internet Appendix.
Gurdip Bakshi and Xiaohui Gao and Jinming Xue, ``Recovery with Applications to Forecasting Equity Disaster Probability and Testing the Spanning Hypothesis in the Treasury Market.” Journal of Financial and Quantitative Analysis 58 (4), 2023, 1808-1842 (https://www.doi.org/10.1017/S0022109022000758)
Gurdip Bakshi and Xiaohui Gao and Zhaodong Zhong, "Decoding Default Risk: A Review of Modeling Approaches, Findings, and Estimation Methods,", Annual Review of Financial Economics, volume 14, 2022, 391-413.
Gurdip Bakshi and Xiaohui Gao and George Panayotov, ``A Theory of Dissimilarity Between Stochastic Discount Factors." Management Science, Volume 67, No. 7, 2021, 4602-4622.
Gurdip Bakshi and Fousseni Chabi-Yo, `` New Entropy Restrictions and the Quest for Better Specified Asset Pricing Models.” Journal of Financial and Quantitative Analysis, volume 54, Issue 6, pages: 2517-2541, 2019.
Gurdip Bakshi, Xiaohui Gao, and Alberto Rossi, ``Understanding the Sources of Risk Underlying the Cross-section of Commodity Returns.” Management Science, volume 65, Issue 2, pages:619-641, 2019.
Gurdip Bakshi, Marrio Cerrato, and John Crosby, ``Implications of Incomplete Markets for International Economies.” Review of Financial Studies, volume 31, Issue 10, pages:4017-4062, 2018.
Gurdip Bakshi, Fousseni Chabi-Yo, and Xiaohui Gao, ``A Recovery that We Can Trust? Deducing and Testing the Restrictions of the Recovery Theorem.” Review of Financial Studies 2018, 31(2), 532-555.
Gurdip Bakshi and Dilip Madan and George Panayotov, ``Heterogeneity in Beliefs and Volatility Tails.” Journal of Financial and Quantitative Analysis 2015, volume 50 (6), 1389-1414, December.
Gurdip Bakshi and George Panayotov, ``Currency Carry Trade Return Predictability and Asset Pricing Implications,” Journal of Financial Economics 2013, Volume 110, 139-163.
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), 5 (doi: 10.1198/jbes.2009.06176), 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 Nikunj Kapadia, 2003, ``Delta-Hedged Gains and the Negative Volatility Risk Premium," Review of Financial Studies 16 (2), 527-566.
Gurdip Bakshi, Nikunj Kapadia , and Dilip Madan, 2003, ``Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options," Review of Financial Studies 16 (1), 101-143.
Gurdip Bakshi and Dilip Madan, 2002, ``Average-Rate Contingent Claims with Emphasis on Catastrophe Loss Options," Journal of Financial and Quantitative Analysis Vol. 37 No. 1, March 2002, p93-115.
Gurdip Bakshi, Charles Cao, and Zhiwu Chen, 2000, ``Do Call Prices and the Underlying Stock Always Move in the Same Direction?" Review of Financial Studies 13, Fall 2000, p549-584.
Gurdip Bakshi and Dilip Madan, 2000, ``Spanning and Derivative-Security Valuation," Journal 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, Charles Cao and Zhiwu Chen, 1997, ``Empirical Performance of Alternative Option Pricing Models," Journal of Finance Volume 52, December 1997, p2003-2049.
Gurdip Bakshi and Zhiwu Chen, 1997, ``Equilibrium Valuation of Foreign Exchange Claims,” Journal of Finance 52, 1997, p799-826.
Gurdip Bakshi and Zhiwu Chen, 1997, ``An Alternative Valuation Model for Contingent Claims," Journal of Financial Economics 44, 1997, p123-165.
Gurdip Bakshi and Atsuyuki Naka, 1997, ``An Empirical Investigation of Asset Pricing Models using Japanese Stock Market Data," Journal of International Money and Finance 16, 1997, p81-112.
Gurdip Bakshi and Zhiwu Chen, 1996, ``Inflation, Asset Prices, and the Term Structure of Interest Rates in Monetary Economies," Review of Financial Studies, Vol. 9, No. 1, 1996, p237-271.
Gurdip Bakshi and Zhiwu Chen, 1996, ``The Spirit of Capitalism and Stock Market Prices," American Economic Review, Vol. 86, No. 1, 1996, p133-157.
Gurdip Bakshi, Zhiwu Chen, and Yuki Naka, 1995, ``Production-Based Asset Pricing in Japan," Pacific-Basin Finance Journal, 3, 1995, p217-240.
Gurdip Bakshi and Zhiwu Chen, 1994, ``Baby Boom, Population Aging and Capital Markets," Journal of Business, Vol. 67, No. 2, 1994, p165-202.