Andrey Ermolov

Fordham University - Gabelli School of Business

Assistant Professor of Finance and Business Economics

113 West 60th Street

Bronx, NY 10458

United States

http://faculty.fordham.edu/aermolov1/

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 18,262

SSRN RANKINGS

Top 18,262

in Total Papers Downloads

3,221

SSRN CITATIONS
Rank 12,534

SSRN RANKINGS

Top 12,534

in Total Papers Citations

82

CROSSREF CITATIONS

11

Scholarly Papers (10)

Aggregate Demand and Aggregate Supply Effects of COVID-19: A Real-time Analysis

Number of pages: 29 Posted: 28 May 2020 Last Revised: 01 Jun 2020
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 1,080 (23,294)
Citation 9

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macroeconomic volatility, business cycles, COVID-19

Aggregate Demand and Aggregate Supply Effects of COVID-19: A Real-Time Analysis

FEDS Working Paper No. 2020-049
Number of pages: 30 Posted: 23 Jun 2020
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 139 (246,863)

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Business cycles, COVID-19, Macroeconomic volatility

2.
Downloads 600 ( 53,331)
Citation 2

Macro Risks and the Term Structure of Interest Rates

Number of pages: 67 Posted: 31 Aug 2016 Last Revised: 13 May 2018
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 457 (74,173)

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macroeconomic volatility, bond markets, bond return predictability, term premium, macro risks, Great Moderation

Macro Risks and the Term Structure of Interest Rates

FEDS Working Paper No. 2017-058
Number of pages: 76 Posted: 05 Jun 2017
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 66 (404,027)

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Bond return predictability, Business cycle, Great moderation, Macroeconomic volatility, Term premium

Macro Risks and the Term Structure of Interest Rates

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 72 Posted: 05 Jun 2018 Last Revised: 06 Dec 2019
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 54 (446,996)
Citation 2

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bond return predictability, term premium, macroeconomic volatility, business cycles, macro risk factors

Macro Risks and the Term Structure of Interest Rates

NBER Working Paper No. w22839
Number of pages: 62 Posted: 21 Nov 2016
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 23 (608,171)

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Bad Environments, Good Environments: A Non-Gaussian Asymmetric Volatility Model

Number of pages: 58 Posted: 23 Jul 2013 Last Revised: 08 Feb 2016
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 537 (60,620)
Citation 12

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GARCH, non-Gaussian, risk management, asymmetric volatility, heteroskedasticity, skewness, kurtosis, stock returns

Bad Environments, Good Environments: A Non-Gaussian Asymmetric Volatility Model

Netspar Discussion Paper No. 07/2013-033
Number of pages: 59 Posted: 19 Oct 2013 Last Revised: 07 Jul 2014
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 53 (450,883)
Citation 7

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Bad Environments Good Environments: A Non-Gaussian Asymmetric Volatility Model

Number of pages: 60 Posted: 16 Aug 2014
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 5 (748,344)
Citation 1

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non-Gaussianities, asymmetric volatility, GARCH, risk management, conditional skewness

4.

International Yield Co-movements

Columbia Business School Research Paper Forthcoming, Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 101 Posted: 19 Jun 2019 Last Revised: 21 Oct 2020
Geert Bekaert and Andrey Ermolov
Columbia Business School - Finance and Economics and Fordham University - Gabelli School of Business
Downloads 188 (190,819)
Citation 1

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sovereign bonds, cross-country co-movement, real yield, expected inflation, inflation risk premium, liquidity premium, habit formation, inflation-linked bonds

5.
Downloads 160 (219,241)
Citation 2

The Variance Risk Premium in Equilibrium Models

Number of pages: 68 Posted: 03 Apr 2020 Last Revised: 03 Feb 2021
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 157 (223,225)
Citation 1

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variance risk premium, macroeconomic uncertainty, non-Gaussian dynamics, bad volatility

The Variance Risk Premium in Equilibrium Models

NBER Working Paper No. w27108
Number of pages: 70 Posted: 12 May 2020
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 3 (766,151)
Citation 2
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6.

International Real Yields

Paris December 2017 Finance Meeting EUROFIDAI - AFFI
Number of pages: 39 Posted: 03 Jun 2017 Last Revised: 29 Nov 2019
Andrey Ermolov
Fordham University - Gabelli School of Business
Downloads 135 (251,931)
Citation 2

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term structure modeling, international bond markets, sovereign bonds, inflation-linked bonds, liquidity premium

7.

US Government Bond Liquidity during the COVID-19 Pandemic

Number of pages: 15 Posted: 04 Jun 2020 Last Revised: 08 Jun 2020
Andrey Ermolov
Fordham University - Gabelli School of Business
Downloads 121 (275,234)
Citation 1

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liquidity, Treasuries, inflation-linked bonds, COVID-19

8.

Time-Varying Risk of Nominal Bonds: How Important Are Macroeconomic Shocks?

Number of pages: 64 Posted: 27 May 2018
Andrey Ermolov
Fordham University - Gabelli School of Business
Downloads 83 (350,913)
Citation 8

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stock and bond return correlation, macroeconomic volatility, equity, fixed income, sovereign bonds

9.

When and Where Is It Cheaper to Issue Inflation-Linked Debt?

Number of pages: 59 Posted: 15 Jul 2017 Last Revised: 04 Mar 2021
Andrey Ermolov
Fordham University - Gabelli School of Business
Downloads 71 (383,702)
Citation 1

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government debt, nominal bonds, inflation-linked bonds, inflation risk premium, liquidity premium, international finance

10.

Uncertainty and the Economy: The Evolving Distributions of Aggregate Supply and Demand Shocks

Number of pages: 60 Posted: 15 Jan 2021 Last Revised: 04 Mar 2021
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business
Downloads 49 (458,811)

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uncertainty shocks, business cycles, Great Moderation, AS/AD shocks, skewness, deflation risk