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Details about Mikhail Chernov

E-mail:
Homepage:http://sites.google.com/site/mbchernov
Workplace:Finance Group, Anderson Graduate School of Management, University of California-Los Angeles (UCLA), (more information at EDIRC)
National Bureau of Economic Research (NBER), (more information at EDIRC)

Access statistics for papers by Mikhail Chernov.

Last updated 2017-06-06. Update your information in the RePEc Author Service.

Short-id: pch756


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Working Papers

2016

  1. A Macrofinance View of U.S. Sovereign CDS Premiums
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in 2016 Meeting Papers, Society for Economic Dynamics (2016) Downloads
  2. Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) Downloads View citations (1)
  3. Term Structures of Asset Prices and Returns
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) Downloads View citations (1)
    Staff Reports, Federal Reserve Bank of New York (2016) Downloads View citations (3)

2013

  1. Identifying Taylor Rules in Macro-Finance Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    Also in Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics (2013) Downloads View citations (1)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) Downloads View citations (1)

2012

  1. Crash Risk in Currency Returns
    2012 Meeting Papers, Society for Economic Dynamics Downloads View citations (5)
  2. Sources of Risk in Currency Returns
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (6)

2011

  1. CDS Auctions
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
    Also in FMG Discussion Papers, Financial Markets Group (2011) Downloads View citations (1)

    See also Journal Article in Review of Financial Studies (2013)
  2. Sources of Entropy in Representative Agent Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (8)
    Also in Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics (2011) Downloads View citations (5)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) Downloads View citations (5)

    See also Journal Article in Journal of Finance (2014)

2010

  1. No-arbitrage macroeconomic determinants of the yield curve
    Post-Print, HAL Downloads View citations (12)
    See also Journal Article in Journal of Econometrics (2010)
  2. Sources of entropy in representative agent models of asset pricing
    2010 Meeting Papers, Society for Economic Dynamics Downloads

2009

  1. Disasters Implied by Equity Index Options
    Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics Downloads View citations (5)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) Downloads View citations (8)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) Downloads View citations (4)

    See also Journal Article in Journal of Finance (2011)
  2. Monetary Policy Regimes and the Term Structure of Interest Rates
    2009 Meeting Papers, Society for Economic Dynamics Downloads
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) Downloads View citations (11)

    See also Journal Article in Journal of Econometrics (2013)

2008

  1. The Term Structure of Inflation Expectations
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (18)
    Also in 2008 Meeting Papers, Society for Economic Dynamics (2008) Downloads View citations (29)

    See also Journal Article in Journal of Financial Economics (2012)

2007

  1. Understanding Index Option Returns
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (10)
    See also Journal Article in Review of Financial Studies (2009)

2003

  1. Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions
    CIRANO Working Papers, CIRANO Downloads View citations (7)
    Also in IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse (2002) Downloads View citations (7)

2002

  1. Alternative Models for Stock Price Dynamic
    Working Papers, Duke University, Department of Economics Downloads View citations (43)
    Also in CIRANO Working Papers, CIRANO (2002) Downloads View citations (17)

    See also Journal Article in Journal of Econometrics (2003)

1999

  1. A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation
    CIRANO Working Papers, CIRANO Downloads View citations (21)

1998

  1. What Data Should Be Used to Price Options?
    CIRANO Working Papers, CIRANO Downloads View citations (8)

Journal Articles

2014

  1. Sources of Entropy in Representative Agent Models
    Journal of Finance, 2014, 69, (1), 51-99 Downloads View citations (21)
    See also Working Paper (2011)

2013

  1. CDS Auctions
    Review of Financial Studies, 2013, 26, (3), 768-805 Downloads View citations (2)
    See also Working Paper (2011)
  2. Monetary policy regimes and the term structure of interest rates
    Journal of Econometrics, 2013, 174, (1), 27-43 Downloads View citations (17)
    See also Working Paper (2009)

2012

  1. The term structure of inflation expectations
    Journal of Financial Economics, 2012, 106, (2), 367-394 Downloads View citations (30)
    See also Working Paper (2008)

2011

  1. Disasters Implied by Equity Index Options
    Journal of Finance, 2011, 66, (6), 1969-2012 Downloads View citations (73)
    See also Working Paper (2009)
  2. Yield Curve and Volatility: Lessons from Eurodollar Futures and Options
    Journal of Financial Econometrics, 2011, 9, (1), 66-105 Downloads View citations (12)

2010

  1. No-arbitrage macroeconomic determinants of the yield curve
    Journal of Econometrics, 2010, 159, (1), 166-182 Downloads View citations (41)
    See also Working Paper (2010)

2009

  1. Understanding Index Option Returns
    Review of Financial Studies, 2009, 22, (11), 4493-4529 Downloads View citations (50)
    See also Working Paper (2007)
  2. Unspanned Stochastic Volatility in Affine Models: Evidence from Eurodollar Futures and Options
    Management Science, 2009, 55, (8), 1292-1305 Downloads View citations (14)

2007

  1. Efficient estimation of general dynamic models with a continuum of moment conditions
    Journal of Econometrics, 2007, 140, (2), 529-573 Downloads View citations (32)
  2. Model Specification and Risk Premia: Evidence from Futures Options
    Journal of Finance, 2007, 62, (3), 1453-1490 Downloads View citations (123)
  3. On the Role of Risk Premia in Volatility Forecasting
    Journal of Business & Economic Statistics, 2007, 25, 411-426 Downloads View citations (45)
  4. Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11
    Journal of Finance, 2007, 62, (3), 1341-1377 Downloads View citations (33)

2003

  1. Alternative models for stock price dynamics
    Journal of Econometrics, 2003, 116, (1-2), 225-257 Downloads View citations (303)
    See also Working Paper (2002)
  2. Empirical reverse engineering of the pricing kernel
    Journal of Econometrics, 2003, 116, (1-2), 329-364 Downloads View citations (7)
  3. Iterative and Recursive Estimation in Structural Nonadaptive Models: Comment
    Journal of Business & Economic Statistics, 2003, 21, (4), 485-88

2000

  1. A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation
    Journal of Financial Economics, 2000, 56, (3), 407-458 Downloads View citations (166)
 
Page updated 2017-08-21