Details about Mikhail Chernov

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

Access statistics for papers by Mikhail Chernov.

Last updated 2024-09-13. Update your information in the RePEc Author Service.

Short-id: pch756

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Working Papers

2020

Pricing Currency Risks
NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (1)
See also Journal Article Pricing Currency Risks, Journal of Finance, American Finance Association (2023) (2023)
The Term Structure of Covered Interest Rate Parity Violations
NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
See also Journal Article The Term Structure of Covered Interest Rate Parity Violations, Journal of Finance, American Finance Association (2024) (2024)
The term structure of CIP violations
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)

2019

Benchmark Interest Rates When the Government is Risky
NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019) View citations (2)
See also Journal Article Benchmark interest rates when the government is risky, Journal of Financial Economics, Elsevier (2021) View citations (9) (2021)

2018

Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off
NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (3)
See also Journal Article Conditional Dynamics and the Multihorizon Risk-Return Trade-Off, The Review of Financial Studies, Society for Financial Studies (2022) View citations (4) (2022)
Multihorizon Currency Returns and Purchasing Power Parity
NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (2)
Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads
NBER Working Papers, National Bureau of Economic Research, Inc View citations (18)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (13)

2016

A Macrofinance View of U.S. Sovereign CDS Premiums
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
Also in 2016 Meeting Papers, Society for Economic Dynamics (2016) View citations (4)
See also Journal Article A Macrofinance View of U.S. Sovereign CDS Premiums, Journal of Finance, American Finance Association (2020) View citations (10) (2020)
Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (6)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2016) View citations (6)
See also Journal Article Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities, The Review of Financial Studies, Society for Financial Studies (2018) View citations (10) (2018)
Term Structures of Asset Prices and Returns
NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
Also in Staff Reports, Federal Reserve Bank of New York (2016) View citations (3)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) View citations (5)
Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics (2016) View citations (6)
See also Journal Article Term structures of asset prices and returns, Journal of Financial Economics, Elsevier (2018) View citations (16) (2018)

2013

Identifying Taylor Rules in Macro-Finance Models
NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
Also in Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics (2013) View citations (3)

2012

Crash Risk in Currency Returns
2012 Meeting Papers, Society for Economic Dynamics View citations (24)
See also Journal Article Crash Risk in Currency Returns, Journal of Financial and Quantitative Analysis, Cambridge University Press (2018) View citations (37) (2018)
Sources of Risk in Currency Returns
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)

2011

CDS Auctions
FMG Discussion Papers, Financial Markets Group View citations (1)
Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2011) View citations (2)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) View citations (1)
See also Journal Article CDS Auctions, The Review of Financial Studies, Society for Financial Studies (2013) View citations (2) (2013)
Sources of Entropy in Representative Agent Models
NBER Working Papers, National Bureau of Economic Research, Inc View citations (13)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) View citations (12)
Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics (2011) View citations (12)
See also Journal Article Sources of Entropy in Representative Agent Models, Journal of Finance, American Finance Association (2014) View citations (70) (2014)

2010

No-arbitrage macroeconomic determinants of the yield curve
Post-Print, HAL View citations (61)
See also Journal Article No-arbitrage macroeconomic determinants of the yield curve, Journal of Econometrics, Elsevier (2010) View citations (77) (2010)
Sources of entropy in representative agent models of asset pricing
2010 Meeting Papers, Society for Economic Dynamics

2009

Disasters Implied by Equity Index Options
Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics View citations (14)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (19)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) View citations (15)
See also Journal Article Disasters Implied by Equity Index Options, Journal of Finance, American Finance Association (2011) View citations (144) (2011)
Monetary Policy Regimes and the Term Structure of Interest Rates
2009 Meeting Papers, Society for Economic Dynamics
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) View citations (17)
See also Journal Article Monetary policy regimes and the term structure of interest rates, Journal of Econometrics, Elsevier (2013) View citations (39) (2013)

2008

The Term Structure of Inflation Expectations
2008 Meeting Papers, Society for Economic Dynamics View citations (47)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) View citations (18)
See also Journal Article The term structure of inflation expectations, Journal of Financial Economics, Elsevier (2012) View citations (108) (2012)

2007

Understanding Index Option Returns
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (11)
See also Journal Article Understanding Index Option Returns, The Review of Financial Studies, Society for Financial Studies (2009) View citations (113) (2009)

2003

Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions
CIRANO Working Papers, CIRANO View citations (7)
Also in IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse (2002) View citations (10)

2002

Alternative Models for Stock Price Dynamic
Working Papers, Duke University, Department of Economics View citations (43)
Also in CIRANO Working Papers, CIRANO (2002) View citations (24)
See also Journal Article Alternative models for stock price dynamics, Journal of Econometrics, Elsevier (2003) View citations (445) (2003)

1999

A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation
CIRANO Working Papers, CIRANO View citations (32)

1998

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

Journal Articles

2024

Interest Rate Skewness and Biased Beliefs
Journal of Finance, 2024, 79, (1), 173-217
See also Working Paper Interest Rate Skewness and Biased Beliefs, CEPR Discussion Papers (2021) (2021)
Nonstandard Errors
Journal of Finance, 2024, 79, (3), 2339-2390
See also Working Paper Nonstandard errors, LSE Research Online Documents on Economics (2024) (2024)
The Term Structure of Covered Interest Rate Parity Violations
Journal of Finance, 2024, 79, (3), 2077-2114
See also Working Paper The Term Structure of Covered Interest Rate Parity Violations, NBER Working Papers (2020) View citations (1) (2020)

2023

International Yield Curves and Currency Puzzles
Journal of Finance, 2023, 78, (1), 209-245
See also Working Paper International yield curves and currency puzzles, CEPR Discussion Papers (2022) View citations (1) (2022)
Pricing Currency Risks
Journal of Finance, 2023, 78, (2), 693-730
See also Working Paper Pricing Currency Risks, NBER Working Papers (2020) View citations (1) (2020)
Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds
Journal of International Economics, 2023, 140, (C) View citations (1)
See also Working Paper Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds, BIS Working Papers (2021) View citations (1) (2021)

2022

Conditional Dynamics and the Multihorizon Risk-Return Trade-Off
The Review of Financial Studies, 2022, 35, (3), 1310-1347 View citations (4)
See also Working Paper Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off, NBER Working Papers (2018) View citations (3) (2018)
Monetary Policy Risk: Rules versus Discretion
The Review of Financial Studies, 2022, 35, (5), 2308-2344

2021

Benchmark interest rates when the government is risky
Journal of Financial Economics, 2021, 140, (1), 74-100 View citations (9)
See also Working Paper Benchmark Interest Rates When the Government is Risky, NBER Working Papers (2019) View citations (1) (2019)
The PPP View of Multihorizon Currency Risk Premiums
The Review of Financial Studies, 2021, 34, (6), 2728-2772 View citations (4)

2020

A Macrofinance View of U.S. Sovereign CDS Premiums
Journal of Finance, 2020, 75, (5), 2809-2844 View citations (10)
See also Working Paper A Macrofinance View of U.S. Sovereign CDS Premiums, CEPR Discussion Papers (2016) View citations (4) (2016)

2018

Crash Risk in Currency Returns
Journal of Financial and Quantitative Analysis, 2018, 53, (1), 137-170 View citations (37)
See also Working Paper Crash Risk in Currency Returns, 2012 Meeting Papers (2012) View citations (24) (2012)
Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities
The Review of Financial Studies, 2018, 31, (3), 1132-1183 View citations (10)
See also Working Paper Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities, CEPR Discussion Papers (2016) View citations (6) (2016)
Term structures of asset prices and returns
Journal of Financial Economics, 2018, 129, (1), 1-23 View citations (16)
See also Working Paper Term Structures of Asset Prices and Returns, NBER Working Papers (2016) View citations (7) (2016)

2015

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

2014

Sources of Entropy in Representative Agent Models
Journal of Finance, 2014, 69, (1), 51-99 View citations (70)
See also Working Paper Sources of Entropy in Representative Agent Models, NBER Working Papers (2011) View citations (13) (2011)

2013

CDS Auctions
The Review of Financial Studies, 2013, 26, (3), 768-805 View citations (2)
See also Working Paper CDS Auctions, FMG Discussion Papers (2011) View citations (1) (2011)
Monetary policy regimes and the term structure of interest rates
Journal of Econometrics, 2013, 174, (1), 27-43 View citations (39)
See also Working Paper Monetary Policy Regimes and the Term Structure of Interest Rates, 2009 Meeting Papers (2009) (2009)

2012

The term structure of inflation expectations
Journal of Financial Economics, 2012, 106, (2), 367-394 View citations (108)
See also Working Paper The Term Structure of Inflation Expectations, 2008 Meeting Papers (2008) View citations (47) (2008)

2011

Disasters Implied by Equity Index Options
Journal of Finance, 2011, 66, (6), 1969-2012 View citations (144)
See also Working Paper Disasters Implied by Equity Index Options, Working Papers (2009) View citations (14) (2009)
Yield Curve and Volatility: Lessons from Eurodollar Futures and Options
Journal of Financial Econometrics, 2011, 9, (1), 66-105 View citations (21)

2010

No-arbitrage macroeconomic determinants of the yield curve
Journal of Econometrics, 2010, 159, (1), 166-182 View citations (77)
See also Working Paper No-arbitrage macroeconomic determinants of the yield curve, Post-Print (2010) View citations (61) (2010)

2009

Understanding Index Option Returns
The Review of Financial Studies, 2009, 22, (11), 4493-4529 View citations (113)
See also Working Paper Understanding Index Option Returns, CEPR Discussion Papers (2007) View citations (11) (2007)
Unspanned Stochastic Volatility in Affine Models: Evidence from Eurodollar Futures and Options
Management Science, 2009, 55, (8), 1292-1305 View citations (31)

2007

Efficient estimation of general dynamic models with a continuum of moment conditions
Journal of Econometrics, 2007, 140, (2), 529-573 View citations (67)
Model Specification and Risk Premia: Evidence from Futures Options
Journal of Finance, 2007, 62, (3), 1453-1490 View citations (262)
On the Role of Risk Premia in Volatility Forecasting
Journal of Business & Economic Statistics, 2007, 25, 411-426 View citations (70)
Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11
Journal of Finance, 2007, 62, (3), 1341-1377 View citations (86)

2003

Alternative models for stock price dynamics
Journal of Econometrics, 2003, 116, (1-2), 225-257 View citations (445)
See also Working Paper Alternative Models for Stock Price Dynamic, Working Papers (2002) View citations (43) (2002)
Empirical reverse engineering of the pricing kernel
Journal of Econometrics, 2003, 116, (1-2), 329-364 View citations (15)
Iterative and Recursive Estimation in Structural Nonadaptive Models: Comment
Journal of Business & Economic Statistics, 2003, 21, (4), 485-88

2000

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 View citations (260)

Chapters

2019

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