Mikhail Chernov : Citation Profile


Are you Mikhail Chernov?

University of California-Los Angeles (UCLA) (50% share)
National Bureau of Economic Research (NBER) (50% share)

15

H index

19

i10 index

1642

Citations

RESEARCH PRODUCTION:

23

Articles

56

Papers

1

Chapters

RESEARCH ACTIVITY:

   23 years (1998 - 2021). See details.
   Cites by year: 71
   Journals where Mikhail Chernov has often published
   Relations with other researchers
   Recent citing documents: 160.    Total self citations: 41 (2.44 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pch756
   Updated: 2021-10-16    RAS profile: 2021-08-21    
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Relations with other researchers


Works with:

Creal, Drew (7)

Song, Dongho (5)

Boyarchenko, Nina (5)

Augustin, Patrick (4)

Bauer, Michael (3)

Hördahl, Peter (3)

Backus, David (2)

Zviadadze, Irina (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Mikhail Chernov.

Is cited by:

Christoffersen, Peter (57)

Asai, Manabu (31)

McAleer, Michael (31)

Bollerslev, Tim (29)

Andersen, Torben (23)

Bekaert, Geert (21)

Diebold, Francis (20)

Caporin, Massimiliano (19)

Garcia, René (18)

Shephard, Neil (17)

Santa-Clara, Pedro (15)

Cites to:

Singleton, Kenneth (40)

Gallant, A. (29)

Tauchen, George (29)

Hansen, Lars (24)

Duffie, Darrell (21)

Ghysels, Eric (18)

Renault, Eric (14)

Duffee, Greg (14)

Ang, Andrew (13)

Ait-Sahalia, Yacine (13)

Andersen, Torben (11)

Main data


Where Mikhail Chernov has published?


Journals with more than one article published# docs
Journal of Finance5
Journal of Econometrics5
Journal of Financial Economics4
Review of Financial Studies3
Journal of Business & Economic Statistics2

Recent works citing Mikhail Chernov (2021 and 2020)


YearTitle of citing document
2021The incremental information in the yield curve about future interest rate risk. (2021). Veliyev, Bezirgen ; Kjar, Mads Markvart ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2021-11.

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2020Welfare Costs of Catastrophes: Lost Consumption and Lost Lives. (2020). Martin, Ian ; Pindyck, Robert S ; Ian, . In: 2030 Agenda. RePEc:ags:feemgc:308023.

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2020A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

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2021Epstein-Zin Utility Maximization on Random Horizons. (2019). Huang, Yu-Jui ; Aurand, Joshua. In: Papers. RePEc:arx:papers:1903.08782.

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2020The Leland-Toft optimal capital structure model under Poisson observations. (2019). Yamazaki, Kazutoshi ; Surya, Budhi Arta ; Jos'e Luis P'erez, ; Palmowski, Zbigniew. In: Papers. RePEc:arx:papers:1904.03356.

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2020Robust Inference about Conditional Tail Features: A Panel Data Approach. (2019). Wang, Yulong ; Sasaki, Yuya. In: Papers. RePEc:arx:papers:1909.00294.

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2021An analytical perturbative solution to the Merton Garman model using symmetries. (2019). Shaw, Nathaniel Wiesendanger ; Calmet, Xavier. In: Papers. RePEc:arx:papers:1909.01413.

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2020A Put-Call Transformation of the Exchange Option Problem under Stochastic Volatility and Jump Diffusion Dynamics. (2020). , Gerald ; Dominic, Len Patrick. In: Papers. RePEc:arx:papers:2002.10194.

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2020Long-Range Dependence in Financial Markets: a Moving Average Cluster Entropy Approach. (2020). Carbone, Anna ; Ponta, Linda ; Murialdo, Pietro. In: Papers. RePEc:arx:papers:2004.14736.

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2020Parisian excursion with capital injection for draw-down reflected Levy insurance risk process. (2020). Zhou, Xiaowen ; Zhao, Xianghua ; Wang, Wenyuan ; Surya, Budhi. In: Papers. RePEc:arx:papers:2005.09214.

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2020Dynamic Network Risk. (2020). Baruník, Jozef ; Ellington, Michael ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2006.04639.

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2020Option Pricing Under a Discrete-Time Markov Switching Stochastic Volatility with Co-Jump Model. (2020). Li, Bingqing ; Fu, Michael C ; Zhang, Tianqi ; Wu, Rongwen . In: Papers. RePEc:arx:papers:2006.15054.

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2021A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: Papers. RePEc:arx:papers:2006.15312.

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2020Risk Modelling on Liquidations with L\{e}vy Processes. (2020). Chen, Ping ; Zhang, Aili ; Wang, Wenyuan ; Li, Shuanming. In: Papers. RePEc:arx:papers:2007.01426.

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2020Measures of Model Risk in Continuous-time Finance Models. (2020). Qi, Shuyuan ; Lazar, Emese ; Tunaru, Radu. In: Papers. RePEc:arx:papers:2010.08113.

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2021Uncertainty Network Risk and Currency Returns. (2021). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2101.09738.

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2021An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975.

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2021Revisiting the Implied Remaining Variance framework of Carr and Sun (2014): Locally consistent dynamics and sandwiched martingales. (2021). Martini, Claude ; Raffaelli, Iacopo. In: Papers. RePEc:arx:papers:2105.06390.

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2021A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208.

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2021A Numerical Approach to Pricing Exchange Options under Stochastic Volatility and Jump-Diffusion Dynamics. (2021). , Gerald ; Dominic, Len Patrick. In: Papers. RePEc:arx:papers:2106.07362.

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2021On optimality of barrier dividend control under endogenous regime switching with application to Chapter 11 bankruptcy. (2021). Zhou, Xiaowen ; Yu, Xiang ; Wang, Wenyuan. In: Papers. RePEc:arx:papers:2108.01800.

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2020Are Unconventional Monetary Policies a Priced Risk Factor for Hedge Fund Strategies?. (2020). Guidolin, Massimo ; Orlov, Alexei. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20146.

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2020Break-even inflation rates: the Italian case. (2020). Fanari, Marco ; di Iorio, Alberto. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_578_20.

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2020Mispriced index option portfolios. (2020). Perrakis, Stylianos ; Czerwonko, Michal ; Constantinides, George M. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:2:p:297-330.

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2020Catastrophe Risk and the Implied Volatility Smile. (2020). ben Ammar, Semir. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:87:y:2020:i:2:p:381-405.

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2020Distressed Firm Valuation: A Scenario Discounted Cash Flow Approach. (2020). Fabio, Buttignon. In: Journal of Business Valuation and Economic Loss Analysis. RePEc:bpj:jbvela:v:15:y:2020:i:1:p:47:n:3.

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2021What model for the target rate. (2021). Feunou, Bruno ; Bruno, Feunou ; Jianjian, Jin ; Jean-Sebastien, Fontaine. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:1:p:23:n:1.

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2021Uncertainty Network Risk and Currency Returns. (2021). Barunik, Jozef ; Babiak, Mykola. In: CERGE-EI Working Papers. RePEc:cer:papers:wp687.

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2021The Impact of Delay: Evidence from Formal Out-of-Court Restructuring. (2021). Srhoj, Stjepan ; Filer, Randall ; Shapiro, Jacob N ; Kova, Dejan. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9248.

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2020Asset Pricing vs Asset Expected Returning in Factor-Portfolio Models. (2020). Favero, Carlo A ; Melone, Alessandro. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14417.

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2020The (ir)relevance of the nominal lower bound for real yield curve analysis. (2020). Schupp, Fabian. In: Working Paper Series. RePEc:ecb:ecbwps:20202476.

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2020An iterative splitting method for pricing European options under the Heston model?. (2020). Huang, Zhongyi ; Li, Hongshan. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:387:y:2020:i:c:s0096300320303854.

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2021An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model. (2021). Huh, Jeonggyu ; Kim, Geonwoo ; Jeon, Jaegi. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:144:y:2021:i:c:s0960077920310328.

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2020Time to build and bond risk premia. (2020). Li, Kai ; Huang, Fuzhe ; Guo, Bin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:121:y:2020:i:c:s0165188920301925.

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2021Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps. (2021). Yang, Nian ; Wan, Xiangwei. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:125:y:2021:i:c:s016518892100018x.

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2021Pricing discretely monitored barrier options: When Malliavin calculus expansions meet Hilbert transforms. (2021). Shi, Chao ; Li, Chenxu ; Cai, Ning. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:127:y:2021:i:c:s0165188921000488.

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2021Optimal capital structure, ambiguity aversion, and leverage puzzles. (2021). Liu, Hening ; Duan, Xiaoman ; Cao, Wenbin ; Attaoui, Sami. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:129:y:2021:i:c:s0165188921001111.

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2021Macroeconomic forecasts and commodity futures volatility. (2021). Liu, Xiaoquan ; Jiang, Ying ; Deschamps, Bruno ; Guo, Ranran ; Ye, Wuyi. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:981-994.

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2021Discounting for public-private partnership projects in China. (2021). Zou, Ziran ; Luo, Lanlan ; Chen, Shou. In: Economic Modelling. RePEc:eee:ecmode:v:98:y:2021:i:c:p:218-226.

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2020Impact of volatility jumps in a mean-reverting model: Derivative pricing and empirical evidence. (2020). Chen, Ting-Fu ; Chiu, Hsin-Yu . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819300026.

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2020Jump probability using volatility periodicity filters in US Dollar/Euro exchange rates. (2020). Yi, Chae-Deug. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300814.

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2020Model specification of conditional jump intensity: Evidence from S&P 500 returns and option prices. (2020). Tsai, Jeffrey Tzuhao ; Lo, Chien-Ling ; Cheng, Hung-Wen . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818303772.

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2020“Small things matter most”: The spillover effects in the cryptocurrency market and gold as a silver bullet. (2020). Vo, Xuan Vinh ; Nasir, Muhammad Ali ; Nguyen, Thong Trung ; Duc, Toan Luu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301716.

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2021Spillovers between sovereign CDS and exchange rate markets: The role of market fear. (2021). Feng, Qianqian ; Li, Jian Ping ; Liu, Chang ; Sun, Xiaolei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820301960.

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2020On the identification of models with conditional characteristic functions. (2020). Han, Hyojin. In: Economics Letters. RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519304343.

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2020Nonparametric filtering of conditional state-price densities. (2020). Dalderop, Jeroen. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:295-325.

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2020Nonparametric assessment of hedge fund performance. (2020). Garcia, René ; Ardison, Kym ; Almeida, Caio. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:349-378.

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2020Inference for local distributions at high sampling frequencies: A bootstrap approach. (2020). Varneskov, Rasmus T ; Hounyo, Ulrich. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:1-34.

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2020The leverage effect puzzle revisited: Identification in discrete time. (2020). Khrapov, Stanislav ; Han, Hyojin ; Renault, Eric. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:230-258.

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2020Testing distributional assumptions using a continuum of moments. (2020). Sentana, Enrique ; Carrasco, Marine ; Amengual, Dante. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:655-689.

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2020The term structure of equity and variance risk premia. (2020). Ait-Sahalia, Yacine ; Mancini, Loriano ; Karaman, Mustafa. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:2:p:204-230.

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2021Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors. (2021). Ghysels, Eric ; Andreou, Elena. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:366-398.

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2021Closed-form implied volatility surfaces for stochastic volatility models with jumps. (2021). Xu, Chen ; Li, Chenxu ; Ait-Sahalia, Yacine. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:364-392.

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2021Generalized aggregation of misspecified models: With an application to asset pricing. (2021). Maasoumi, Esfandiar ; Gospodinov, Nikolay. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:451-467.

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2021Empirical asset pricing with multi-period disaster risk: A simulation-based approach. (2021). Grammig, Joachim ; Sonksen, Jantje. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:805-832.

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2021Sieve estimation of option-implied state price density. (2021). Qu, Zhongjun ; Lu, Junwen. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:88-112.

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2021Monetary policy at the zero lower bound: Information in the Federal Reserve’s balance sheet. (2021). Golinski, Adam ; Goliski, Adam. In: European Economic Review. RePEc:eee:eecrev:v:131:y:2021:i:c:s0014292120302439.

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2020VIX derivatives, hedging and vol-of-vol risk. (2020). Kaeck, Andreas ; Seeger, Norman J. In: European Journal of Operational Research. RePEc:eee:ejores:v:283:y:2020:i:2:p:767-782.

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2020Unifying Gaussian dynamic term structure models from a Heath–Jarrow–Morton perspective. (2020). Yu, Fan ; Ye, Xiaoxia ; Li, Haitao. In: European Journal of Operational Research. RePEc:eee:ejores:v:286:y:2020:i:3:p:1153-1167.

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2021Option pricing with conditional GARCH models. (2021). Stentoft, Lars ; Escobar Anel, Marcos ; Escobar-Anel, Marcos ; Rastegari, Javad. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:1:p:350-363.

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2020The time-varying asymmetry of exchange rate returns: A stochastic volatility – stochastic skewness model. (2020). Iseringhausen, Martin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:275-292.

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2021Risk premia in electricity derivatives markets. (2021). Tunaru, Diana ; Leccadito, Arturo ; Algieri, Bernardina. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s014098832100205x.

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2021Electricity price modelling with stochastic volatility and jumps: An empirical investigation. (2021). Ignatieva, Katja ; Gudkov, Nikolay. In: Energy Economics. RePEc:eee:eneeco:v:98:y:2021:i:c:s0140988321001651.

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2020Impact of portfolio flows and heterogeneous expectations on FX jumps: Evidence from an emerging market. (2020). Sensoy, Ahmet ; Serdengeti, Suleyman. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521919305642.

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2020Does Bitcoin behave as a currency?: A standard monetary model approach. (2020). Wong, Andrew ; Chau, Po-Hon ; Lo, Chi-Fai ; Hui, Cho-Hoi. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521920301629.

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2020The economic importance of rare earth elements volatility forecasts. (2020). Schweizer, Denis ; Proelss, Juliane ; Seiler, Volker. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521918306148.

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2020The dynamics of sovereign yields over swap rates in the Eurozone market. (2020). Galil, Koresh ; David-Pur, Lior ; Rosenboim, Mosi. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302222.

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2020Tales of tails: Jumps in currency markets. (2020). Wang, Minho ; Lee, Suzanne S. In: Journal of Financial Markets. RePEc:eee:finmar:v:48:y:2020:i:c:s138641811830243x.

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2021The economics of the financial market for volatility trading. (2021). Zhang, Jin E ; Ruan, Xinfeng. In: Journal of Financial Markets. RePEc:eee:finmar:v:52:y:2021:i:c:s1386418120300252.

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2020Liquidation risk in insurance under contemporary regulatory frameworks. (2020). Zhu, Jinxia ; Tang, Qihe ; Liu, Haibo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:36-49.

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2020Levelling the playing field: A VIX-linked structure for funded pension schemes. (2020). Begin, Jean-Franois. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:94:y:2020:i:c:p:58-78.

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2021Prepayment risk in reverse mortgages: An intensity-governed surrender model. (2021). Lee, Yung-Tsung ; Shi, Tianxiang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:98:y:2021:i:c:p:68-82.

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2020No-arbitrage determinants of credit spread curves under the unconventional monetary policy regime in Japan. (2020). Takaoka, Sumiko ; Okimoto, Tatsuyoshi. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:64:y:2020:i:c:s1042443119300290.

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2020Tail behavior of Bitcoin, the dollar, gold and the stock market index. (2020). Ho, JI. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:67:y:2020:i:c:s104244312030086x.

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2021The interest rate determination when economic variables are partially observable. (2021). Okimoto, Tatsuyoshi ; Morita, Hiroshi. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000421.

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2020Forecasting value at risk and expected shortfall with mixed data sampling. (2020). Le, Trung H. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:4:p:1362-1379.

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2020VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump. (2020). Wang, Zerong. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:116:y:2020:i:c:s0378426620301114.

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2020Do investors follow the herd in option markets?. (2020). Voukelatos, Nikolaos ; Verousis, Thanos ; Bernales, Alejandro. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:119:y:2020:i:c:s0378426616000406.

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2021Unspanned stochastic volatility from an empirical and practical perspective. (2021). Backwell, Alex. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:122:y:2021:i:c:s0378426620302557.

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2020Economic momentum and currency returns. (2020). Hasseltoft, Henrik ; Dahlquist, Magnus. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:1:p:152-167.

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2020Why do option returns change sign from day to night?. (2020). Ni, Xuechuan ; Muravyev, Dmitriy . In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:1:p:219-238.

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2020Is the credit spread puzzle a myth?. (2020). Yang, Fan ; Goldstein, Robert S ; Bai, Jennie. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:2:p:297-319.

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2020Fiscal policy driven bond risk premia. (2020). Tamoni, Andrea ; Hsu, Alex ; Bretscher, Lorenzo. In: Journal of Financial Economics. RePEc:eee:jfinec:v:138:y:2020:i:1:p:53-73.

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2020The term structure and inflation uncertainty. (2020). Orphanides, Athanasios ; Breach, Tomas ; Damico, Stefania. In: Journal of Financial Economics. RePEc:eee:jfinec:v:138:y:2020:i:2:p:388-414.

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2020Credit migration and covered interest rate parity. (2020). Liao, Gordon. In: Journal of Financial Economics. RePEc:eee:jfinec:v:138:y:2020:i:2:p:504-525.

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2021Index option returns and generalized entropy bounds. (2021). Liu, Yan. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:3:p:1015-1036.

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2021Rare disaster probability and options pricing. (2021). Barro, Robert ; Liao, Gordon Y. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:3:p:750-769.

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2021The cross-section of currency volatility premia. (2021). Neuberger, Anthony ; Kozhan, Roman ; Della Corte, Pasquale. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:3:p:950-970.

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2021Treasury yield implied volatility and real activity. (2021). Fleckenstein, Matthias ; Cremers, Martijn ; Gandhi, Priyank. In: Journal of Financial Economics. RePEc:eee:jfinec:v:140:y:2021:i:2:p:412-435.

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2021Macro risks and the term structure of interest rates. (2021). Bekaert, Geert ; Ermolov, Andrey ; Engstrom, Eric. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:2:p:479-504.

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2021Volatility and the cross-section of returns on FX options. (2021). Marsh, Ian W ; James, Jessica ; Fullwood, Jonathan. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:3:p:1262-1284.

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2020Dynamic effects of monetary policy shocks on macroeconomic volatility. (2020). Theodoridis, Konstantinos ; Mumtaz, Haroon. In: Journal of Monetary Economics. RePEc:eee:moneco:v:114:y:2020:i:c:p:262-282.

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2020Efficient hedging currency options in fractional Brownian motion model with jumps. (2020). Ri, Ju-Hyang ; Ju, Dong-Chol ; Kim, Nam-Ung. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:539:y:2020:i:c:s0378437119316309.

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2020Measuring systematic risk with neural network factor model. (2020). Huh, Jeonggyu. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:542:y:2020:i:c:s037843711931893x.

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2021Combination of transition probability distribution and stable Lorentz distribution in stock markets. (2021). Chang, Chuo ; Liu, Chang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:565:y:2021:i:c:s0378437120308529.

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2021Information measure for long-range correlated time series: Quantifying horizon dependence in financial markets. (2021). Carbone, Anna ; Murialdo, Pietro ; Ponta, Linda. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:570:y:2021:i:c:s0378437121000492.

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2020How informative are variance risk premium and implied volatility for Value-at-Risk prediction? International evidence. (2020). Boughrara, Adel ; Dahmene, Meriam ; Slim, Skander. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:76:y:2020:i:c:p:22-37.

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2021The influence of real interest rates and risk premium effects on the ability of the nominal term structure to forecast inflation. (2021). Tzavalis, Elias ; Argyropoulos, Efthymios. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:785-796.

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2020Financing affordable and sustainable homeownership with Fixed-COFI mortgages. (2020). Passmore, Stuart Wayne ; von Hafften, Alexander H. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:80:y:2020:i:c:s0166046217304519.

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2020CBOE VIX and Jump-GARCH option pricing models. (2020). Yoon, Sun-Joong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:839-859.

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2020Dynamics of variance risk premium: Evidence from India. (2020). Ramachandran, Shankar ; Sankar, Ganesh ; Lukose, Jijo. In: International Review of Economics & Finance. RePEc:eee:reveco:v:70:y:2020:i:c:p:321-334.

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More than 100 citations found, this list is not complete...

Works by Mikhail Chernov:


YearTitleTypeCited
2003Iterative and Recursive Estimation in Structural Nonadaptive Models: Comment. In: Journal of Business & Economic Statistics.
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article0
2007On the Role of Risk Premia in Volatility Forecasting In: Journal of Business & Economic Statistics.
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2019Determinants of Asia-Pacific government bond yields In: BIS Papers chapters.
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2021Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds In: BIS Working Papers.
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2020Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds.(2020) In: CEPR Discussion Papers.
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paper
2020Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds.(2020) In: NBER Working Papers.
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2007Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11 In: Journal of Finance.
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article65
2007Model Specification and Risk Premia: Evidence from Futures Options In: Journal of Finance.
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article197
2011Disasters Implied by Equity Index Options In: Journal of Finance.
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article119
2009Disasters implied by equity index options.(2009) In: CEPR Discussion Papers.
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paper
2009Disasters implied by equity index options.(2009) In: NBER Working Papers.
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This paper has another version. Agregated cites: 119
paper
2009Disasters Implied by Equity Index Options.(2009) In: Working Papers.
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This paper has another version. Agregated cites: 119
paper
2014Sources of Entropy in Representative Agent Models In: Journal of Finance.
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article46
2011Sources of entropy in representative agent models.(2011) In: CEPR Discussion Papers.
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paper
2011Sources of Entropy in Representative Agent Models.(2011) In: NBER Working Papers.
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paper
2011Sources of Entropy in Representative Agent Models.(2011) In: Working Papers.
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paper
2020A Macrofinance View of U.S. Sovereign CDS Premiums In: Journal of Finance.
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article1
2016A Macrofinance View of U.S. Sovereign CDS Premiums.(2016) In: CEPR Discussion Papers.
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2016A macrofinance view of US Sovereign CDS premiums.(2016) In: 2016 Meeting Papers.
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2021Interest Rate Skewness and Biased Beliefs In: CESifo Working Paper Series.
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2021Interest Rate Skewness and Biased Beliefs.(2021) In: NBER Working Papers.
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paper
2021Interest rate skewness and biased beliefs.(2021) In: IMFS Working Paper Series.
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2002Alternative Models for Stock Price Dynamics In: CIRANO Working Papers.
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paper420
2002Alternative Models for Stock Price Dynamic.(2002) In: Working Papers.
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paper
2003Alternative models for stock price dynamics.(2003) In: Journal of Econometrics.
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article
2003Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions In: CIRANO Working Papers.
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paper9
2002Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions.(2002) In: IDEI Working Papers.
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paper
1998What Data Should Be Used to Price Options? In: CIRANO Working Papers.
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paper8
1999A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper24
2016Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities In: CEPR Discussion Papers.
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paper9
2016Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities.(2016) In: NBER Working Papers.
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2018Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities.(2018) In: Review of Financial Studies.
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2016Term structures of asset prices and returns In: CEPR Discussion Papers.
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paper13
2018Term structures of asset prices and returns.(2018) In: Journal of Financial Economics.
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2016Term structures of asset prices and returns.(2016) In: Staff Reports.
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2016Term Structures of Asset Prices and Returns.(2016) In: NBER Working Papers.
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2016Term structures of asset prices and returns.(2016) In: Working Papers.
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2018Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads In: CEPR Discussion Papers.
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paper14
2018Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads.(2018) In: NBER Working Papers.
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2018Multihorizon Currency Returns and Purchasing Power Parity In: CEPR Discussion Papers.
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2018Multihorizon Currency Returns and Purchasing Power Parity.(2018) In: NBER Working Papers.
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2018International yield curves and currency puzzles In: CEPR Discussion Papers.
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paper1
2018International Yield Curves and Currency Puzzles.(2018) In: NBER Working Papers.
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2018Conditional dynamics and the multi-horizon risk-return trade-off In: CEPR Discussion Papers.
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paper2
2018Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off.(2018) In: NBER Working Papers.
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2019Benchmark interest rates when the government is risky In: CEPR Discussion Papers.
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2021Benchmark interest rates when the government is risky.(2021) In: Journal of Financial Economics.
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2019Benchmark Interest Rates When the Government is Risky.(2019) In: NBER Working Papers.
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2020The term structure of CIP violations In: CEPR Discussion Papers.
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2020The term structure of CIP violations.(2020) In: NBER Working Papers.
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2020Pricing Currency Risks In: CEPR Discussion Papers.
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2020Pricing Currency Risks.(2020) In: NBER Working Papers.
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2007Understanding Index Option Returns In: CEPR Discussion Papers.
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paper85
2009Understanding Index Option Returns.(2009) In: Review of Financial Studies.
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2008The Term Structure of Inflation Expectations In: CEPR Discussion Papers.
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paper113
2012The term structure of inflation expectations.(2012) In: Journal of Financial Economics.
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2008The Term Structure of Inflation Expectations.(2008) In: 2008 Meeting Papers.
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2008Monetary Policy Regimes and the Term Structure of Interest Rates In: CEPR Discussion Papers.
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paper45
2013Monetary policy regimes and the term structure of interest rates.(2013) In: Journal of Econometrics.
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article
2009Monetary Policy Regimes and the Term Structure of Interest Rates.(2009) In: 2009 Meeting Papers.
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2011CDS Auctions In: CEPR Discussion Papers.
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paper3
2011CDS Auctions.(2011) In: FMG Discussion Papers.
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2013CDS Auctions.(2013) In: Review of Financial Studies.
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2012Sources of Risk in Currency Returns In: CEPR Discussion Papers.
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paper7
2013Identifying Taylor rules in macro-finance models In: CEPR Discussion Papers.
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paper2
2013Identifying Taylor Rules in Macro-Finance Models.(2013) In: NBER Working Papers.
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paper
2013Identifying Taylor Rules in Macro-finance Models.(2013) In: Working Papers.
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2018Crash Risk in Currency Returns In: Journal of Financial and Quantitative Analysis.
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article34
2012Crash Risk in Currency Returns.(2012) In: 2012 Meeting Papers.
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paper
2003Empirical reverse engineering of the pricing kernel In: Journal of Econometrics.
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article12
2007Efficient estimation of general dynamic models with a continuum of moment conditions In: Journal of Econometrics.
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article50
2010No-arbitrage macroeconomic determinants of the yield curve In: Journal of Econometrics.
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article59
2010No-arbitrage macroeconomic determinants of the yield curve.(2010) In: Post-Print.
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paper
2000A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation In: Journal of Financial Economics.
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article207
2009Unspanned Stochastic Volatility in Affine Models: Evidence from Eurodollar Futures and Options In: Management Science.
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article19
2015Arginylation regulates purine nucleotide biosynthesis by enhancing the activity of phosphoribosyl pyrophosphate synthase In: Nature Communications.
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article0
2021Monetary Policy Risk: Rules vs. Discretion In: NBER Working Papers.
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paper0
2021The Real Explanation of Nominal Bond-Stock Puzzles In: NBER Working Papers.
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2011Yield Curve and Volatility: Lessons from Eurodollar Futures and Options In: Journal of Financial Econometrics.
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article15
2010Sources of entropy in representative agent models of asset pricing In: 2010 Meeting Papers.
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