Oleksandr (Alex) Zhylyevskyy: Research

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Curriculum vitae

Overview

My fields of research interest comprise labor economics, finance, and applied econometrics. More recently, I have developed an interest in selected topics in the economics of food consumption and food security, and in the topic of idiosyncratic stock volatility.

Peer-reviewed journal articles

Khovansky, Serguey, Oleksandr Zhylyevskyy. 2013. "Impact of idiosyncratic volatility on stock returns: A cross-sectional study," Journal of Banking and Finance, vol. 37 (8), pp. 3064-3075; DOI (article link, ScienceDirect): 10.1016/j.jbankfin.2013.02.034; Abstract.

Zhylyevskyy, Oleksandr, Helen H. Jensen, Steven B. Garasky, Carolyn E. Cutrona, Frederick X. Gibbons. 2013. "Effects of Family, Friends, and Relative Prices on Fruit and Vegetable Consumption by African Americans," forthcoming in Southern Economic Journal; DOI (article link): 10.4284/0038-4038-2011.277; Supplementary Appendix; Abstract; an earlier version circulated as CARD working paper 10-WP 515.

Zhylyevskyy, Oleksandr. 2012. "Joint Characteristic Function of Stock Log-Price and Squared Volatility in the Bates Model and Its Asset Pricing Applications," Theoretical Economics Letters, vol. 2 (4), pp. 400-407; DOI (article link, open access): 10.4236/tel.2012.24074; Abstract.

Zhylyevskyy, Oleksandr. 2012. "Spousal Conflict and Divorce," Journal of Labor Economics, vol. 30 (4), pp. 915-962; DOI (article link, JSTOR): 10.1086/666654; Abstract. Note: this article is based on my Ph.D. dissertation entitled "A Bad Peace or a Good War: A Structural Estimation Model of Spousal Conflict and Divorce" (University of Virginia, August 2008); full text: .pdf.

Zhylyevskyy, Oleksandr. 2012. "Efficient Pricing of European-Style Options under Heston's Stochastic Volatility Model," Theoretical Economics Letters, vol. 2 (1), pp. 16-20; DOI (article link, open access): 10.4236/tel.2012.21003; Abstract.

Zhylyevskyy, Oleksandr. 2010. "The paradox of interest rates of the Greenback Era: A reexamination," Journal of Monetary Economics, vol. 57 (8), pp. 1026-1037; DOI (article link): 10.1016/j.jmoneco.2010.10.003; Abstract.

Zhylyevskyy, Oleksandr. 2010. "A fast Fourier transform technique for pricing American options under stochastic volatility," Review of Derivatives Research, vol. 13 (1), pp. 1-24; DOI (article link): 10.1007/s11147-009-9041-6; Abstract.

Ramdas, Kamalini, Oleksandr Zhylyevskyy, William L. Moore. 2010. "A Methodology to Support Product Differentiation Decisions," IEEE Transactions on Engineering Management, vol. 57 (4), pp. 649 - 660; DOI (article link): 10.1109/TEM.2009.2035612; Abstract; final working paper version (download at SSRN): link.

Alternatively, please see the list of my publications in the departmental database.

Research grant

PI: Helen H. Jensen, Co-PI: Oleksandr Zhylyevskyy. Awarded in May 2012. The Effect of Household Financial, Time, and Environmental Constraints on Very Low Food Security among Children. Award amount: $99,593 (10% overhead), period: June 2012 to December 2013, grant institution: the University of Kentucky Center for Poverty Research (UKCPR); awarded under the terms of the UKCPR Research Program on Childhood Hunger funded by the Food and Nutrition Service (FNS) of the U.S. Dept. of Agriculture (USDA).

Paper under journal review

"Cross-Sectional GMM Estimation under a Common Data Shock" (with Serguey Khovansky).

Other publications

I list here works that appeared in conference proceedings, in print or on a CD. Although these works were pre-reviewed for inclusion in a conference, and pre-screened and edited for inclusion in the conference proceedings, they were not subject to a full formal peer-review process that would accompany a refereed journal article publication.

Khovansky, Serguey, Oleksandr Zhylyevskyy. 2012. "Estimating Idiosyncratic Volatility and Its Effects on a Cross-Section of Returns," in Proceedings of the 2012 Midwest Finance Association Annual Meeting (New Orleans, LA), Grand Valley State University; Full text: .pdf; Abstract.

Zhylyevskyy, Oleksandr, Serguey Khovansky. 2011. "Cross-sectional GMM estimation under a common data shock," in Book of Abstracts of the 5th CSDA International Conference on Computational and Financial Econometrics (London, UK), Elsevier; Abstract.

Khovansky, Serguey, Oleksandr Zhylyevskyy. 2011. "What Can We Learn from a Cross-Section of Returns? An Investigation of Idiosyncratic Volatility Range," in Proceedings of the 2011 Midwest Finance Association Annual Meeting (Chicago, IL); Full text (detailed abstract): .pdf; Abstract.

Alternatively, please see the list of my publications in the departmental database.

Research in progress

"No Time to Eat: An Analysis of Eating and Food Preparation Time among Single-Headed Households" (with Mark C. Senia and Helen H. Jensen).

"More on the Link between Deposit Insurance and Depositor Behavior: Experimental Results" (with Roger D. Stover and Amrit Tiwana).

Conference presentations

Annual Meeting of the Midwest Economics Association, March 2013. I chaired a conference session Topics in Financial and Time Series Methods. In addition, I presented a joint paper with Helen Jensen "Household Financial, Time, and Environmental Constraints and Low Food Security among Children." Download the presentation slides in .pdf. Also, I discussed a paper by Nicole Hair and Kevin Hutchinson "Co-residential Informal Caregiving: Effects on Female Employment and Retirement Wealth." Download the discussion slides in .pdf.

Annual Meeting of the Southern Economic Association, November 2012. I chaired a conference session Topics in Finance and Taxation. In addition, I presented a joint paper with Serguey Khovansky "Impact of Idiosyncratic Volatility on Stock Returns: A Cross-Sectional Study." Download the presentation slides in .pdf. Also, I discussed a paper by J. Marcelo Ochoa "Labor Adjustment Costs and Expected Equity Returns." Download the discussion slides in .pdf.

Annual Meeting of the Midwest Economics Association, March 2012. I presented a joint paper with Serguey Khovansky "Estimating Idiosyncratic Volatility and Its Effects on a Cross-Section of Returns." Download the presentation slides in .pdf.

CSDA International Conference on Computational and Financial Econometrics (CFE'11), December 2011. I presented a joint paper with Serguey Khovansky "Cross-Sectional GMM Estimation under a Common Data Shock." Download the presentation slides in .pdf.

Annual Meeting of the Southern Economic Association, November 2011. I chaired a conference session on the Economics of Food, Obesity, and Family Assistance. Also, I presented a joint paper with Helen H. Jensen, Steven B. Garasky, Carolyn E. Cutrona, and Frederick X. Gibbons "Fruit and Vegetable Choices of African American Youths." Download the presentation slides in .pdf.

Midwest Econometrics Group Meeting, October 2011. I presented a joint paper with Serguey Khovansky "Cross-Sectional GMM Estimation under a Common Data Shock." Download conference presentation slides in .pdf.

Annual Meeting of the Agricultural & Applied Economics Association, pre-conference workshop "Economics and Child Nutrition Programs," July 2011. I presented a joint paper with Helen H. Jensen, Steven B. Garasky, Carolyn E. Cutrona, and Frederick X. Gibbons "Fruit and Vegetable Choices of African American Youths." Download workshop presentation slides in .pdf.

Annual Meeting of the Midwest Economics Association, March 2011. I presented a joint paper with Helen H. Jensen, Steven B. Garasky, Carolyn E. Cutrona, and Frederick X. Gibbons "Effects of Family, Friends, and Relative Prices on Fruit and Vegetable Consumption by African American Youths." Download conference presentation slides in .pdf.

Annual Meeting of the Southern Economic Association, November 2010. I presented a joint paper with S. Khovansky "Hidden Secrets of Idiosyncratic Risk Premia: An Investigation on Cross-Sections of U.S. Stock Returns." Download conference presentation slides in .pdf.

Third World Conference of the European Association of Labour Economists and the Society of Labor Economists, June 2010. I presented a paper "A Bad Peace or a Good War: A Structural Estimation Model of Spousal Conflict and Divorce." Download conference presentation slides in .pdf.

Annual Meeting of the Midwest Economics Association, March 2010. I presented a joint paper with S. Khovansky "A Stock Market Model with Systematic and Idiosyncratic Risks: A GMM Estimation Approach for Cross-Sectional Data." Download conference presentation slides in .pdf.

North American Summer Meeting of the Econometric Society, June 2009. I presented a paper "A Bad Peace or a Good War: A Structural Estimation Model of Spousal Conflict and Divorce." Download conference presentation slides in .pdf.

Annual Meeting of the Southern Economic Association, November 2007. I presented my job market paper "A Bad Peace or a Good War: A Structural Estimation Model of Spousal Conflict and Divorce." Download conference presentation slides in .pdf.

International Atlantic Economic Conference, October 2007. I presented my job market paper "A Bad Peace or a Good War: A Model of Spousal Conflict." Download conference presentation slides in .pdf.

International Conference on Computing in Economics and Finance, June 2005. I presented a paper "Pricing American-style Derivatives under the Heston Model Dynamics: A Fast Fourier Transformation in the Geske-Johnson Scheme." Download conference presentation slides in .pdf.

Miscellaneous presentations

University of Kentucky Center for Poverty Research (UKCPR) grant progress report conference, University of Illinois at Urbana-Champaign, May 2013. I presented a report on the progress of a joint grant project with Helen H. Jensen (PI) "Household Financial, Time, and Environmental Constraints and Low Food Security among Children." Download presentation slides in .pdf.

Department Seminar, Iowa State University, March 2010. I presented early results for a joint research project with Serguey Khovansky "What Can We Learn from a Cross-Section of Returns?" Download presentation slides in .pdf.

Department Seminar, Iowa State University, February 2008. I presented my job market paper "A Bad Peace or a Good War: A Structural Estimation Model of Spousal Conflict and Divorce." Download presentation slides in .pdf.

Department Seminar, Vanderbilt University, January 2008. I presented my job market paper "A Bad Peace or a Good War: A Structural Estimation Model of Spousal Conflict and Divorce." Download presentation slides in .pdf.

Public Economics Workshop, University of Virginia, September 2007. I presented an early version of my job market paper under the title of "A Bad Peace or a Good War: A Model of Spousal Conflict." Download presentation slides in .pdf.

Brown Bag Workshop, University of Virginia, June 2007. I presented an early version of my job market paper under the title of "A Bad Peace Is Better Than A Good War: A Structural Model of Marital Disagreements." Download presentation slides in .pdf.

Brown Bag Workshop, University of Virginia, April 2005. I presented early results for a research project "The Mystery of the 'Greenback Era' Interest Rates: What Does the New York Money Market Have to Tell?" Download presentation slides in .pdf. See also the accompanying research note in .pdf.

Small research grants

• Faculty resources grant, the LAS college, ISU, October 2012: a small grant to support travel to the SEA 2012 conference
• Faculty resources grant, the LAS college, ISU, September 2009: a small grant to support a research project on child support enforcement
• Faculty development grant, Office of Vice President of Research and Economic Development, ISU, September 2008: a supercomputer access grant to work on the spousal conflict and divorce research

Grant applications

"Food Insecurity among Children: The Effects of Multiple Food Assistance Program Participation and Local Food Environment" (Institute for Research on Poverty [IRP, University of Wisconsin-Madison] RIDGE Center for National Food and Nutrition Assistance Research, 2013-2014 Small Grants Program; PI: Helen H. Jensen, Co-PIs: Brent Kreider and Oleksandr Zhylyevskyy), April 2013.

"Social Network Effects and Health Investment Behaviors of African Americans" (National Institutes of Health [NIH]: Social Network Analysis and Health; PI: Oleksandr Zhylyevskyy, Co-investigators: Helen H. Jensen and Steven B. Garasky, Advisor: Carolyn E. Cutrona, Consultant: Frederick X. Gibbons), May 2011.

"Food Choices of African American Youths: Food Program, Family and Neighborhood Environment Effects" (Economic Research Service, USDA: Food Assistance and Nutrition Research Programs [FANRP]; PI: Helen H. Jensen, Co-PIs: Oleksandr Zhylyevskyy and Steven B. Garasky), April 2011.

"Facilitating Healthy Eating by African American Youths through Social, Neighborhood and Market Environments" (The Robert Wood Johnson Foundation: Healthy Eating Research: Building Evidence to Prevent Childhood Obesity, Round 6 grant; PI: Helen H. Jensen, Co-PIs: Oleksandr Zhylyevskyy and Steven Garasky), March 2011.

"Empirical Examination of the Term Structure of Market Volatility and Idiosyncratic Risk Premium" (Inquire Europe Grant Competition; PI: Serguey Khovansky, Co-investigator: Oleksandr Zhylyevskyy), February 2010.

"Social Influences, Socioeconomic Status, and Health Behaviors of Youths" (PSID Small Grant Competition, Institute for Social Research, University of Michigan; PI: Oleksandr Zhylyevskyy), June 2009.

"Social Network Effects and Health Behaviors of Youths" (Recovery Act Limited Competition: National Institutes of Health [NIH], Challenge Grants in Health and Science Research; PI: Oleksandr Zhylyevskyy, Co-investigators: Helen Jensen and Steven Garasky), April 2009.

"An Experimental Study of Matching Mechanisms" (Early Career Researcher Grant, Australian School of Business; PI: AJ Bostian, Co-PI: Oleksandr Zhylyevskyy), October 2008.