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

17

i10 index

1315

Citations

RESEARCH PRODUCTION:

18

Articles

39

Papers

RESEARCH ACTIVITY:

   20 years (1998 - 2018). See details.
   Cites by year: 65
   Journals where Mikhail Chernov has often published
   Relations with other researchers
   Recent citing documents: 163.    Total self citations: 26 (1.94 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pch756
   Updated: 2019-02-13    RAS profile: 2018-05-09    
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Relations with other researchers


Works with:

Backus, David (6)

Zin, Stanley (4)

Creal, Drew (3)

Boyarchenko, Nina (3)

Song, Dongho (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 (24)

Diebold, Francis (20)

Bekaert, Geert (19)

Caporin, Massimiliano (18)

Shephard, Neil (17)

Santa-Clara, Pedro (15)

Tauchen, George (15)

Cites to:

Singleton, Kenneth (30)

Gallant, A. (29)

Tauchen, George (29)

Hansen, Lars (21)

Ghysels, Eric (18)

Duffie, Darrell (16)

Ait-Sahalia, Yacine (16)

Renault, Eric (14)

Ang, Andrew (13)

Andersen, Torben (13)

Zin, Stanley (10)

Main data


Where Mikhail Chernov has published?


Journals with more than one article published# docs
Journal of Econometrics5
Journal of Finance4
Journal of Business & Economic Statistics2
Journal of Financial Economics2
Review of Financial Studies2

Recent works citing Mikhail Chernov (2018 and 2017)


YearTitle of citing document
2017The TIPS Liquidity Premium. (2017). Andreasen, Martin M ; Riddell, Simon . In: CREATES Research Papers. RePEc:aah:create:2017-27.

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2017Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment. (2017). Christensen, Kim ; Podolskij, Mark ; Hounyo, Ulrich. In: CREATES Research Papers. RePEc:aah:create:2017-30.

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2018Inference for Local Distributions at High Sampling Frequencies: A Bootstrap Approach. (2018). Hounyo, Ulrich ; Varneskov, Rasmus T. In: CREATES Research Papers. RePEc:aah:create:2018-16.

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2018The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing. (2018). Veliyev, Bezirgen ; Thyrsgaard, Martin ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2018-19.

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2018Option-Based Credit Spreads. (2018). Culp, Christopher L ; Veronesi, Pietro ; Nozawa, Yoshio. In: American Economic Review. RePEc:aea:aecrev:v:108:y:2018:i:2:p:454-88.

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2018Macroprudential stability indicators of financial systems: Analysis of Bosnia and Herzegovina and Croatia. (2018). Kasumovi, Merim ; Mei, Mirna. In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(614):y:2018:i:1(614):p:41-54.

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2017Nonparametric estimates of pricing functionals. (2017). d'Addona, Stefano ; Marinelli, Carlo . In: Papers. RePEc:arx:papers:1506.06568.

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2018Deep Learning for Mortgage Risk. (2018). Sadhwani, Apaar ; Giesecke, Kay ; Sirignano, Justin. In: Papers. RePEc:arx:papers:1607.02470.

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2017Long-Term Factorization of Affine Pricing Kernels. (2017). Linetsky, Vadim ; Qin, Likuan. In: Papers. RePEc:arx:papers:1610.00778.

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2017The Long Bond, Long Forward Measure and Long-Term Factorization in Heath-Jarrow-Morton Models. (2017). Qin, Likuan ; Linetsky, Vadim. In: Papers. RePEc:arx:papers:1610.00818.

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2018Matching distributions: Recovery of implied physical densities from option prices. (2018). Talponen, Jarno . In: Papers. RePEc:arx:papers:1803.03996.

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2018Forward-looking portfolio selection with multivariate non-Gaussian models and the Esscher transform. (2018). Bianchi, Michele Leonardo ; Tassinari, Gian Luca. In: Papers. RePEc:arx:papers:1805.05584.

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2018Parisian excursion below a fixed level from the last record maximum of Levy insurance risk process. (2018). Surya, B A. In: Papers. RePEc:arx:papers:1806.02083.

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2018Measuring Systematic Risk with Neural Network Factor Model. (2018). Huh, Jeonggyu. In: Papers. RePEc:arx:papers:1809.04925.

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2018Monetary Policy after the Crisis: Threat or Opportunity to Hedge Funds Alphas?. (2018). Guidolin, Massimo ; Pedio, Manuela ; Berglund, Alexander. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1884.

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2017Monetary policy in a low interest rate environment. (2017). Neri, Stefano ; Ferrero, Giuseppe. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_392_17.

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2018Risk-Adjusted Linearizations of Dynamic Equilibrium Models. (2018). Lopez, Pierlauro ; Vazquez-Grande, Francisco ; Lopez-Salido, David. In: Working papers. RePEc:bfr:banfra:702.

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2018Cross-stock market spillovers through variance risk premiums and equity flows. (2018). SHIM, ILHYOCK ; Sugihara, Yoshihiko ; Hattori, Masazumi. In: BIS Working Papers. RePEc:bis:biswps:702.

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2018Low‐frequency volatility of real estate securities and macroeconomic risk. (2018). Lee, Chyi Lin ; Stevenson, Simon. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:311-342.

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2018FACTOR MODELS AND TIME†VARYING PARAMETER FRAMEWORK FOR FORECASTING EXCHANGE RATES AND INFLATION: A SURVEY. (2018). Mokhtari, Manouchehr ; Kavtaradze, Lasha. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:2:p:302-334.

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2017Oil and macroeconomic (in)stability. (2017). Maih, Junior ; Larsen, Vegard ; Bjørnland, Hilde. In: Working Papers. RePEc:bny:wpaper:0055.

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2017Voting Rules in Bankruptcy Law. (2017). Nicolae, Stef . In: Review of Law & Economics. RePEc:bpj:rlecon:v:13:y:2017:i:1:p:39:n:2.

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2017Testing excess returns from passive options investment strategies. (2017). Dapena, Jose ; Siri, Julian R. In: CEMA Working Papers: Serie Documentos de Trabajo.. RePEc:cem:doctra:605.

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2017Generalized Disappointment Aversion, Learning, and Asset Prices. (2017). Babiak, Mykola. In: CERGE-EI Working Papers. RePEc:cer:papers:wp606.

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2017Testing Distributional Assumptions Using a Continuum of Moments. (2017). Sentana, Enrique ; Amengual, Dante ; Carrasco, Marine. In: Working Papers. RePEc:cmf:wpaper:wp2017_1709.

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2017Testing Distributional Assumptions Using a Continuum of Moments. (2017). Amengual, Dante ; Sentana, Enrique ; Carrasco, Marine. In: Working Papers. RePEc:cmf:wpaper:wp2018_1709.

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2017The Quanto Theory of Exchange Rates. (2017). Martin, Ian ; Kremens, Lukas . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11970.

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2018Options and the Gamma Knife. (2018). Martin, Ian. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12883.

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2018International yield curves and currency puzzles. (2018). Chernov, Mikhail ; Creal, Drew. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13252.

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2018Volatility Risk Pass-Through. (2018). Colacito, Riccardo ; Shaliastovich, Ivan ; Liu, Yang ; Croce, Mariano Massimiliano. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13325.

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2018Conditional dynamics and the multi-horizon risk-return trade-off. (2018). Chernov, Mikhail ; Lundeby, Stig ; Lochstoer, Lars . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13365.

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2017Dynamic conditional score models with time-varying location, scale and shape parameters. (2017). Escribano, Alvaro ; Blazsek, Szabolcs ; Ayala, Astrid ; Saez, Alvaro Escribano. In: UC3M Working papers. Economics. RePEc:cte:werepe:25043.

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2017Empirical Pricing Kernels: Evidence from the Hong Kong Stock Market. (2017). Wu, Xin Yu ; Zhou, Hailin ; Ren, Senchun. In: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH. RePEc:cys:ecocyb:v:50:y:2017:i:4:p:263-278.

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2017Entropy-based implied moments. (2017). Xiao, Xiao ; Zhou, Chen. In: DNB Working Papers. RePEc:dnb:dnbwpp:581.

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2017Options, equity risks, and the value of capital structure adjustments. (2017). Borochin, Paul ; Yang, Jie. In: Journal of Corporate Finance. RePEc:eee:corfin:v:42:y:2017:i:c:p:150-178.

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2017How should a local regime-switching model be calibrated?. (2017). He, Xin-Jiang ; Zhu, Song-Ping. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:78:y:2017:i:c:p:149-163.

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2017Learning and forecasts about option returns through the volatility risk premium. (2017). Bernales, Alejandro ; Valenzuela, Marcela ; Chen, Louisa. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:82:y:2017:i:c:p:312-330.

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2018Dynamic derivative strategies with stochastic interest rates and model uncertainty. (2018). Escobar, Marcos ; Rubtsov, Alexey ; Ferrando, Sebastian. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:49-71.

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2018Level and slope of volatility smiles in long-run risk models. (2018). Branger, Nicole ; Schlag, Christian ; Rodrigues, Paulo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:95-122.

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2018Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility. (2018). Zeng, Yan ; Yang, Zhou ; Chen, Zheng ; Li, Danping. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:88:y:2018:i:c:p:70-103.

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2018Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns. (2018). Kaeck, Andreas ; Seeger, Norman J ; Rodrigues, Paulo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:1-29.

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2018Dynamic bankruptcy procedure with asymmetric information between insiders and outsiders. (2018). Shibata, Takashi ; Nishihara, Michi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:118-137.

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2018Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like. (2018). Oliva, I ; Reno, R. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:94:y:2018:i:c:p:242-256.

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2018Equilibrium variance risk premium in a cost-free production economy. (2018). Ruan, Xinfeng ; Zhang, Jin E. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:96:y:2018:i:c:p:42-60.

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2019Modeling and forecasting return jumps using realized variation measures. (2019). Liu, YI ; Zhang, Lei. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:63-80.

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2017The expected real yield and inflation components of the nominal yield curve. (2017). Lange, Ronald H. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:39:y:2017:i:c:p:1-18.

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2017Volatility and expected option returns: A note. (2017). Chaudhury, MO. In: Economics Letters. RePEc:eee:ecolet:v:152:y:2017:i:c:p:1-4.

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2019Redenomination-risk spillovers in the Eurozone. (2019). Borri, Nicola. In: Economics Letters. RePEc:eee:ecolet:v:174:y:2019:i:c:p:173-178.

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2017Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination. (2017). Christensen, Bent Jesper ; Varneskov, Rasmus Tangsgaard . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:218-244.

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2017A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation. (2017). Hounyo, Ulrich ; Varneskov, Rasmus T. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:10-28.

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2017Chasing volatility. (2017). Rossi, Eduardo ; Caporin, Massimiliano ; de Magistris, Paolo Santucci. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:122-145.

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2017Scenario generation for long run interest rate risk assessment. (2017). Roussellet, Guillaume ; Engle, Robert ; Siriwardane, Emil. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:333-347.

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2017Staying at zero with affine processes: An application to term structure modelling. (2017). Roussellet, Guillaume ; Renne, Jean-Paul ; Monfort, Alain ; Pegoraro, Fulvio. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:348-366.

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2018Resolution of policy uncertainty and sudden declines in volatility. (2018). Amengual, Dante ; Xiu, Dacheng. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:297-315.

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2018The ABC of simulation estimation with auxiliary statistics. (2018). Ng, Serena ; Forneron, Jean-Jacques. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:112-139.

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2019Semiparametric estimation of the bid–ask spread in extended roll models. (2019). LINTON, OLIVER ; Chen, Xiaohong ; Yi, Yanping ; Schneeberger, Stefan . In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:160-178.

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2017Neural nets for indirect inference. (2017). Creel, Michael . In: Econometrics and Statistics. RePEc:eee:ecosta:v:2:y:2017:i:c:p:36-49.

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2017Federal Reserve credibility and the term structure of interest rates. (2017). Lakdawala, Aeimit ; Wu, Shu. In: European Economic Review. RePEc:eee:eecrev:v:100:y:2017:i:c:p:364-389.

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2017Capacity decisions with debt financing: The effects of agency problem. (2017). Ni, Jian ; Li, Qiang ; Chu, Lap Keung . In: European Journal of Operational Research. RePEc:eee:ejores:v:261:y:2017:i:3:p:1158-1169.

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2017The risk premium that never was: A fair value explanation of the volatility spread. (2017). McGee, Richard J ; McGroarty, Frank. In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:1:p:370-380.

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2018A stochastic model with interacting managerial operating options and debt rescheduling. (2018). Charalambides, Marios ; Koussis, Nicos. In: European Journal of Operational Research. RePEc:eee:ejores:v:267:y:2018:i:1:p:236-249.

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2019Macroeconomic environment, money demand and portfolio choice. (2019). Lioui, Abraham ; Tarelli, Andrea. In: European Journal of Operational Research. RePEc:eee:ejores:v:274:y:2019:i:1:p:357-374.

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2017Nonparametric estimates of pricing functionals. (2017). d'Addona, Stefano ; Daddona, Stefano ; Marinelli, Carlo . In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:19-35.

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2018Volatility in equity markets and monetary policy rate uncertainty. (2018). Roberts-Sklar, Matt ; Kaminska, Iryna . In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:68-83.

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2018Simulating historical inflation-linked bond returns. (2018). Swinkels, Laurens. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:374-389.

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2018Macroeconomic determinants of the term structure: Long-run and short-run dynamics. (2018). Doshi, Hitesh ; Liu, Rui ; Jacobs, Kris. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:99-122.

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2017A multifactor stochastic volatility model of commodity prices. (2017). Naranjo, Lorenzo ; Lopez, Matias ; Cortazar, Gonzalo. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:182-201.

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2018A generalized Schwartz model for energy spot prices — Estimation using a particle MCMC method. (2018). Brix, Anne Floor ; Wei, Wei ; Lunde, Asger. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:560-582.

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2018Risk-neutral moments in the crude oil market. (2018). Ruan, Xinfeng ; Zhang, Jin E. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:583-600.

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2017Term-structure modelling at the zero lower bound: Implications for estimating the forward term premium. (2017). Chung, Tsz-Kin ; Li, Ka-Fai ; Hui, Cho-Hoi. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:100-106.

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2018Is market fear persistent? A long-memory analysis. (2018). Plastun, Alex ; Caporale, Guglielmo Maria ; Gil-Alana, Luis. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:140-147.

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2018Volatility jumps: The role of geopolitical risks. (2018). Gkillas, Konstantinos ; Wohar, Mark E ; Gupta, Rangan. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:247-258.

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2017Disaster risk and asset returns: An international perspective. (2017). Liu, Edith ; Lewis, Karen K. In: Journal of International Economics. RePEc:eee:inecon:v:108:y:2017:i:s1:p:s42-s58.

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2018Discounted penalty function at Parisian ruin for Lévy insurance risk process. (2018). Loeffen, R ; Surya, B A ; Palmowski, Z. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:190-197.

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2017Volatility measures and Value-at-Risk. (2017). Bams, Dennis ; Blanchard, Gildas ; Lehnert, Thorsten. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:848-863.

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2018Using low frequency information for predicting high frequency variables. (2018). Marcellino, Massimiliano ; Guérin, Pierre ; Foroni, Claudia. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:774-787.

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2018Risk aversion as risk-neutral pessimism: A simple proof. (2018). Heaton, J B. In: International Review of Law and Economics. RePEc:eee:irlaec:v:56:y:2018:i:c:p:70-72.

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2017Option pricing under time-varying risk-aversion with applications to risk forecasting. (2017). Kiesel, Rudiger ; Rahe, Florentin . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:76:y:2017:i:c:p:120-138.

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2017Variance risk in commodity markets. (2017). Symeonidis, Lazaros ; Prokopczuk, Marcel ; Simen, Chardin Wese . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:81:y:2017:i:c:p:136-149.

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2017Equity index variance: Evidence from flexible parametric jump–diffusion models. (2017). Kaeck, Andreas ; Seeger, Norman J ; Rodrigues, Paulo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:83:y:2017:i:c:p:85-103.

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2017The market price of risk of the variance term structure. (2017). Dotsis, George. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:84:y:2017:i:c:p:41-52.

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2018Estimating risk-return relations with analysts price targets. (2018). Wu, Liuren. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:93:y:2018:i:c:p:183-197.

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2018Risk factors and their associated risk premia: An empirical analysis of the crude oil market. (2018). Hain, Martin ; Unger, Nils ; Uhrig-Homburg, Marliese. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:44-63.

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2018Covariance forecasting in equity markets. (2018). Symeonidis, Lazaros ; Markellos, Raphael ; Kourtis, Apostolos ; Symitsi, Efthymia. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:153-168.

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2018Smiling twice: The Heston++ model. (2018). Pacati, Claudio ; Reno, Roberto ; Pompa, Gabriele . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:185-206.

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2018Zero leverage and the value in waiting to have debt. (2018). Lotfaliei, Babak. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:97:y:2018:i:c:p:335-349.

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2018Doubts and variability: A robust perspective on exotic consumption series. (2018). Bidder, Rhys ; Smith, M E. In: Journal of Economic Theory. RePEc:eee:jetheo:v:175:y:2018:i:c:p:689-712.

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2017News implied volatility and disaster concerns. (2017). Manela, Asaf ; Moreira, Alan. In: Journal of Financial Economics. RePEc:eee:jfinec:v:123:y:2017:i:1:p:137-162.

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2017The price of variance risk. (2017). Giglio, Stefano ; Dew-Becker, Ian ; Rodriguez, Marius ; Le, Anh . In: Journal of Financial Economics. RePEc:eee:jfinec:v:123:y:2017:i:2:p:225-250.

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2017Variance risk premiums and the forward premium puzzle. (2017). Londono, Juan M ; Zhou, Hao. In: Journal of Financial Economics. RePEc:eee:jfinec:v:124:y:2017:i:2:p:415-440.

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2017Explaining the negative returns to volatility claims: An equilibrium approach. (2017). Eraker, Bjorn ; Wu, Yue. In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:1:p:72-98.

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2018Can financial innovation succeed by catering to behavioral preferences? Evidence from a callable options market. (2018). Li, Xindan ; Yang, Xuewei ; Subrahmanyam, Avanidhar. In: Journal of Financial Economics. RePEc:eee:jfinec:v:128:y:2018:i:1:p:38-65.

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2018Interest rate volatility, the yield curve, and the macroeconomy. (2018). Joslin, Scott ; Konchitchki, Yaniv. In: Journal of Financial Economics. RePEc:eee:jfinec:v:128:y:2018:i:2:p:344-362.

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2018Term structures of asset prices and returns. (2018). Boyarchenko, Nina ; Chernov, Mikhail ; Backus, David. In: Journal of Financial Economics. RePEc:eee:jfinec:v:129:y:2018:i:1:p:1-23.

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2018Spillovers from good-news and other bankruptcies: Real effects and price responses. (2018). Baranchuk, Nina ; Rebello, Michael J. In: Journal of Financial Economics. RePEc:eee:jfinec:v:129:y:2018:i:2:p:228-249.

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2018The eurozone (expected) inflation: An options eyes view. (2018). Ibáñez, Alfredo ; Gimeno, Ricardo ; Ibaez, Alfredo. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:86:y:2018:i:c:p:70-92.

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2017After the tide: Commodity currencies and global trade. (2017). Roussanov, Nikolai ; Ready, Robert ; Ward, Colin. In: Journal of Monetary Economics. RePEc:eee:moneco:v:85:y:2017:i:c:p:69-86.

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2018Interest rate volatility and risk management: Evidence from CBOE Treasury options. (2018). Markellos, Raphael N ; Psychoyios, Dimitris. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:68:y:2018:i:c:p:190-202.

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2017Macroeconomic factors and index option returns. (2017). Lai, Ya-Wen. In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:452-477.

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2018Yield curve interactions with the macroeconomic factors during global financial crisis among Asian markets. (2018). Sowmya, Subramaniam ; Prasanna, Krishna. In: International Review of Economics & Finance. RePEc:eee:reveco:v:54:y:2018:i:c:p:178-192.

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2018On profitability of volatility trading on S&P 500 equity index options: The role of trading frictions. (2018). Hong, Hui ; Yang, Jingjing ; Sung, Hao-Chang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:55:y:2018:i:c:p:295-307.

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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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article52
2007Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11 In: Journal of Finance.
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article45
2007Model Specification and Risk Premia: Evidence from Futures Options In: Journal of Finance.
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article144
2011Disasters Implied by Equity Index Options In: Journal of Finance.
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article93
2009Disasters implied by equity index options.(2009) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 93
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2009Disasters implied by equity index options.(2009) In: NBER Working Papers.
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This paper has another version. Agregated cites: 93
paper
2009Disasters Implied by Equity Index Options.(2009) In: Working Papers.
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This paper has another version. Agregated cites: 93
paper
2014Sources of Entropy in Representative Agent Models In: Journal of Finance.
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article32
2011Sources of entropy in representative agent models.(2011) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 32
paper
2011Sources of Entropy in Representative Agent Models.(2011) In: NBER Working Papers.
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This paper has another version. Agregated cites: 32
paper
2011Sources of Entropy in Representative Agent Models.(2011) In: Working Papers.
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This paper has another version. Agregated cites: 32
paper
2002Alternative Models for Stock Price Dynamics In: CIRANO Working Papers.
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paper375
2002Alternative Models for Stock Price Dynamic.(2002) In: Working Papers.
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This paper has another version. Agregated cites: 375
paper
2003Alternative models for stock price dynamics.(2003) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 375
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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This paper has another version. Agregated cites: 9
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.
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paper24
2016Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities In: CEPR Discussion Papers.
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paper2
2016Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities.(2016) In: NBER Working Papers.
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This paper has another version. Agregated cites: 2
paper
2016Term structures of asset prices and returns In: CEPR Discussion Papers.
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paper11
2016Term structures of asset prices and returns.(2016) In: Staff Reports.
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This paper has another version. Agregated cites: 11
paper
2016Term Structures of Asset Prices and Returns.(2016) In: NBER Working Papers.
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This paper has another version. Agregated cites: 11
paper
2016A Macrofinance View of U.S. Sovereign CDS Premiums In: CEPR Discussion Papers.
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paper0
2016A macrofinance view of US Sovereign CDS premiums.(2016) In: 2016 Meeting Papers.
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This paper has another version. Agregated cites: 0
paper
2018Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads In: CEPR Discussion Papers.
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paper2
2018Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads.(2018) In: NBER Working Papers.
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This paper has another version. Agregated cites: 2
paper
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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This paper has another version. Agregated cites: 0
paper
2007Understanding Index Option Returns In: CEPR Discussion Papers.
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paper61
2009Understanding Index Option Returns.(2009) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 61
article
2008The Term Structure of Inflation Expectations In: CEPR Discussion Papers.
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paper87
2012The term structure of inflation expectations.(2012) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 87
article
2008The Term Structure of Inflation Expectations.(2008) In: 2008 Meeting Papers.
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This paper has another version. Agregated cites: 87
paper
2008Monetary Policy Regimes and the Term Structure of Interest Rates In: CEPR Discussion Papers.
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paper38
2013Monetary policy regimes and the term structure of interest rates.(2013) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 38
article
2009Monetary Policy Regimes and the Term Structure of Interest Rates.(2009) In: 2009 Meeting Papers.
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This paper has another version. Agregated cites: 38
paper
2011CDS Auctions In: CEPR Discussion Papers.
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paper3
2011CDS Auctions.(2011) In: FMG Discussion Papers.
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This paper has another version. Agregated cites: 3
paper
2013CDS Auctions.(2013) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 3
article
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: Working Papers.
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This paper has another version. Agregated cites: 2
paper
2018Crash Risk in Currency Returns In: Journal of Financial and Quantitative Analysis.
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article9
2012Crash Risk in Currency Returns.(2012) In: 2012 Meeting Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2003Empirical reverse engineering of the pricing kernel In: Journal of Econometrics.
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article10
2007Efficient estimation of general dynamic models with a continuum of moment conditions In: Journal of Econometrics.
[Full Text][Citation analysis]
article42
2010No-arbitrage macroeconomic determinants of the yield curve In: Journal of Econometrics.
[Full Text][Citation analysis]
article46
2010No-arbitrage macroeconomic determinants of the yield curve.(2010) In: Post-Print.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 46
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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article179
2009Unspanned Stochastic Volatility in Affine Models: Evidence from Eurodollar Futures and Options In: Management Science.
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article16
2013Identifying monetary policy in macro-finance models In: NBER Working Papers.
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paper2
2018International Yield Curves and Currency Puzzles In: NBER Working Papers.
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paper0
2018Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off 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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article16
2010Sources of entropy in representative agent models of asset pricing In: 2010 Meeting Papers.
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CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated February, 1st 2019. Contact: CitEc Team