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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 2021-10-29. Update your information in the RePEc Author Service.

Short-id: pch756


Jump to Journal Articles Chapters

Working Papers

2021

  1. Interest Rate Skewness and Biased Beliefs
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    Also in IMFS Working Paper Series, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS) (2021) Downloads View citations (1)
    CESifo Working Paper Series, CESifo (2021) Downloads View citations (1)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2021) Downloads
  2. Monetary Policy Risk: Rules vs. Discretion
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  3. Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds
    BIS Working Papers, Bank for International Settlements Downloads
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2020) Downloads View citations (1)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) Downloads View citations (1)
  4. The Real Channel for Nominal Bond-Stock Puzzles
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2021) Downloads

2020

  1. Pricing Currency Risks
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) Downloads
  2. The term structure of CIP violations
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2020) Downloads

2019

  1. Benchmark Interest Rates When the Government is Risky
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019) Downloads View citations (1)

    See also Journal Article in Journal of Financial Economics (2021)

2018

  1. Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) Downloads View citations (2)
  2. International Yield Curves and Currency Puzzles
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) Downloads View citations (1)
  3. Multihorizon Currency Returns and Purchasing Power Parity
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2018) Downloads
  4. Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (17)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) Downloads View citations (11)

2016

  1. A Macrofinance View of U.S. Sovereign CDS Premiums
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
    Also in 2016 Meeting Papers, Society for Economic Dynamics (2016) Downloads View citations (4)

    See also Journal Article in Journal of Finance (2020)
  2. Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (3)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2016) Downloads View citations (3)

    See also Journal Article in Review of Financial Studies (2018)
  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 (4)
    Staff Reports, Federal Reserve Bank of New York (2016) Downloads View citations (3)
    Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics (2016) Downloads

    See also Journal Article in Journal of Financial Economics (2018)

2013

  1. Identifying Taylor Rules in Macro-Finance Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) Downloads View citations (2)
    Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics (2013) Downloads View citations (2)

2012

  1. Crash Risk in Currency Returns
    2012 Meeting Papers, Society for Economic Dynamics Downloads View citations (23)
    See also Journal Article in Journal of Financial and Quantitative Analysis (2018)
  2. Sources of Risk in Currency Returns
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (7)

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
    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 (2011) Downloads View citations (8)
    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 (35)
    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 (10)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) Downloads View citations (5)

    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 (12)

    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 (17)
    Also in 2008 Meeting Papers, Society for Economic Dynamics (2008) Downloads View citations (44)

    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 (25)

1998

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

Journal Articles

2021

  1. Benchmark interest rates when the government is risky
    Journal of Financial Economics, 2021, 140, (1), 74-100 Downloads
    See also Working Paper (2019)
  2. The PPP View of Multihorizon Currency Risk Premiums
    Review of Financial Studies, 2021, 34, (6), 2728-2772 Downloads View citations (2)

2020

  1. A Macrofinance View of U.S. Sovereign CDS Premiums
    Journal of Finance, 2020, 75, (5), 2809-2844 Downloads View citations (3)
    See also Working Paper (2016)

2018

  1. Crash Risk in Currency Returns
    Journal of Financial and Quantitative Analysis, 2018, 53, (1), 137-170 Downloads View citations (28)
    See also Working Paper (2012)
  2. Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities
    Review of Financial Studies, 2018, 31, (3), 1132-1183 Downloads View citations (8)
    See also Working Paper (2016)
  3. Term structures of asset prices and returns
    Journal of Financial Economics, 2018, 129, (1), 1-23 Downloads View citations (6)
    See also Working Paper (2016)

2015

  1. Arginylation regulates purine nucleotide biosynthesis by enhancing the activity of phosphoribosyl pyrophosphate synthase
    Nature Communications, 2015, 6, (1), 1-9 Downloads

2014

  1. Sources of Entropy in Representative Agent Models
    Journal of Finance, 2014, 69, (1), 51-99 Downloads View citations (53)
    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 (34)
    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 (77)
    See also Working Paper (2008)

2011

  1. Disasters Implied by Equity Index Options
    Journal of Finance, 2011, 66, (6), 1969-2012 Downloads View citations (128)
    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 (18)

2010

  1. No-arbitrage macroeconomic determinants of the yield curve
    Journal of Econometrics, 2010, 159, (1), 166-182 Downloads View citations (64)
    See also Working Paper (2010)

2009

  1. Understanding Index Option Returns
    Review of Financial Studies, 2009, 22, (11), 4493-4529 Downloads View citations (87)
    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 (22)

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 (52)
  2. Model Specification and Risk Premia: Evidence from Futures Options
    Journal of Finance, 2007, 62, (3), 1453-1490 Downloads View citations (215)
  3. On the Role of Risk Premia in Volatility Forecasting
    Journal of Business & Economic Statistics, 2007, 25, 411-426 Downloads View citations (67)
  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 (70)

2003

  1. Alternative models for stock price dynamics
    Journal of Econometrics, 2003, 116, (1-2), 225-257 Downloads View citations (377)
    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 (12)
  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 (221)

Chapters

2019

  1. Determinants of Asia-Pacific government bond yields
    A chapter in Asia-Pacific fixed income markets: evolving structure, participation and pricing, 2019, vol. 102, pp 29-39 Downloads
 
Page updated 2022-05-18