16
H index
24
i10 index
2064
Citations
National Bureau of Economic Research (NBER) (50% share) | 16 H index 24 i10 index 2064 Citations RESEARCH PRODUCTION: 29 Articles 61 Papers 1 Chapters RESEARCH ACTIVITY: 25 years (1998 - 2023). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pch756 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Mikhail Chernov. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Finance | 7 |
The Review of Financial Studies | 6 |
Journal of Econometrics | 5 |
Journal of Financial Economics | 4 |
Journal of Business & Economic Statistics | 2 |
Working Papers Series with more than one paper published | # docs |
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CEPR Discussion Papers / C.E.P.R. Discussion Papers | 19 |
NBER Working Papers / National Bureau of Economic Research, Inc | 17 |
Post-Print / HAL | 2 |
Year | Title of citing document |
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2023 | Oil Price Shocks and Bond Risk Premia: Evidence from a Panel of 15 Countries. (2023). Nersisyan, Liana ; Lyrio, Marco ; Iania, Leonardo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023002. Full description at Econpapers || Download paper |
2023 | A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456. Full description at Econpapers || Download paper |
2023 | Epstein-Zin Utility Maximization on Random Horizons. (2019). Huang, Yu-Jui ; Aurand, Joshua. In: Papers. RePEc:arx:papers:1903.08782. Full description at Econpapers || Download paper |
2024 | An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975. Full description at Econpapers || Download paper |
2023 | A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208. Full description at Econpapers || Download paper |
2023 | On 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. Full description at Econpapers || Download paper |
2023 | Dark Matter in (Volatility and) Equity Option Risk Premiums. (2023). Gao, Xiaohui ; Crosby, John ; Bakshi, Gurdip. In: Papers. RePEc:arx:papers:2303.16371. Full description at Econpapers || Download paper |
2024 | Volatility of Volatility and Leverage Effect from Options. (2023). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2305.04137. Full description at Econpapers || Download paper |
2023 | Valuation Duration of the Stock Market. (2023). Wang, Chen ; Li, YE. In: Papers. RePEc:arx:papers:2310.07110. Full description at Econpapers || Download paper |
2023 | Narrative-Driven Fluctuations in Sentiment: Evidence Linking Traditional and Social Media. (2023). Song, Wenting ; MacAulay, Alistair. In: Staff Working Papers. RePEc:bca:bocawp:23-23. Full description at Econpapers || Download paper |
2023 | Generalized Autoregressive Gamma Processes. (2023). Feunou, Bruno. In: Staff Working Papers. RePEc:bca:bocawp:23-40. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | The cumulant risk premium. (2023). Todorov, Karamfil. In: BIS Working Papers. RePEc:bis:biswps:1128. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Mispricing in inflation markets. (2023). Pinter, Gabor ; Barria, Rodrigo. In: Bank of England working papers. RePEc:boe:boeewp:1034. Full description at Econpapers || Download paper |
2023 | Anticipating extreme losses using score-driven shape filters. (2023). Blazsek, Szabolcs ; Alvaro, Escribano ; Szabolcs, Blazsek ; Astrid, Ayala. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:4:p:449-484:n:1. Full description at Econpapers || Download paper |
2023 | Wavelet Coherence and Continuous Wavelet Transform - Implementation and Application to the Relationship between Exchange Rate and Oil Price for Importing and Exporting Countries. (2023). Aladwani, Jassim. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-04-54. Full description at Econpapers || Download paper |
2023 | The impact of delay: Evidence from formal out-of-court restructuring. (2023). Srhoj, Stjepan ; Filer, Randall ; Shapiro, Jacob N ; Kova, Dejan. In: Journal of Corporate Finance. RePEc:eee:corfin:v:78:y:2023:i:c:s0929119922001626. Full description at Econpapers || Download paper |
2023 | Secured and unsecured debt in creditor-friendly bankruptcy. (2023). Naqvi, Hassan ; Franois, Pascal. In: Journal of Corporate Finance. RePEc:eee:corfin:v:80:y:2023:i:c:s0929119923000627. Full description at Econpapers || Download paper |
2023 | Monetary policy and the term structure of inflation expectations with information frictions. (2023). McNeil, James. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002913. Full description at Econpapers || Download paper |
2023 | On the role of interest rate differentials in the dynamic asymmetry of exchange rates. (2023). Ulm, M ; Hambuckers, J. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s0264999323003668. Full description at Econpapers || Download paper |
2023 | Who speaks louder, financial instruments or credit rating agencies? Analyzing the effects of different sovereign risk measures on interest rates in Brazil. (2023). Neves, Joo Pedro ; Montes, Gabriel Caldas. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000566. Full description at Econpapers || Download paper |
2023 | A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:416-444. Full description at Econpapers || Download paper |
2023 | Intraday cross-sectional distributions of systematic risk. (2023). Andersen, Torben ; Todorov, Viktor ; Thyrsgaard, Martin ; Riva, Raul. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1394-1418. Full description at Econpapers || Download paper |
2023 | Structural VAR models in the Frequency Domain. (2023). Pelgrin, Florian ; Guay, Alain. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001604. Full description at Econpapers || Download paper |
2023 | Robust consumption and portfolio choice with derivatives trading. (2023). Zhuang, YI ; Yang, Charles ; Wei, Pengyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:2:p:832-850. Full description at Econpapers || Download paper |
2023 | A jumping index of jumping stocks? An MCMC analysis of continuous-time models for individual stocks. (2023). Seeger, Norman J ; Schlag, Christian ; Rodrigues, Paulo ; Pollastri, Alessandro. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:322-341. Full description at Econpapers || Download paper |
2023 | Expected returns and risk in the stock market. (2023). Taylor, Alex P ; Brennan, M J. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:276-300. Full description at Econpapers || Download paper |
2023 | Corporate investment, financing, and exit model with an earnings-based borrowing constraint. (2023). Shibata, Takashi ; Zhang, Chuanqian ; Nishihara, Michi. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004069. Full description at Econpapers || Download paper |
2023 | Good volatility, bad volatility, and the cross section of cryptocurrency returns. (2023). Zhao, Ran ; Zhang, Zehua. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002284. Full description at Econpapers || Download paper |
2023 | Generalized two-barrier proportional step options. (2023). Li, Xin. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005864. Full description at Econpapers || Download paper |
2023 | The mitigation role of corporate sustainability: Evidence from the CDS spread. (2023). la Rosa, Giovanni ; Galloppo, Giuseppe ; Caiazza, Stefano. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322007371. Full description at Econpapers || Download paper |
2023 | Robust leverage choice of hedge funds with rare disasters. (2023). Luo, Deqing ; Yan, Qianhui ; Mu, Congming. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323000636. Full description at Econpapers || Download paper |
2023 | Forced conversion to Chapter 7 bankruptcy and optimal financial decisions. (2023). Kim, Hwa-Sung. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323000910. Full description at Econpapers || Download paper |
2023 | A Bayesian analysis of time-varying jump risk in S&P 500 returns and options. (2023). Luo, Dan ; Carverhill, Andrew. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000751. Full description at Econpapers || Download paper |
2023 | The disappearing profitability of volatility-managed equity factors. (2023). Angelidis, Timotheos ; Tessaromatis, Nikolaos. In: Journal of Financial Markets. RePEc:eee:finmar:v:65:y:2023:i:c:s1386418123000551. Full description at Econpapers || Download paper |
2023 | Option Returns, Risk Premiums, and Demand Pressure in Energy Markets. (2023). Li, Bingxin ; Jacobs, Kris. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002679. Full description at Econpapers || Download paper |
2023 | GARCH option pricing with volatility derivatives. (2023). Park, Yang-Ho ; Oh, Dong Hwan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002989. Full description at Econpapers || Download paper |
2023 | The Pricing of Skewness Over Different Return Horizons. (2023). Arisoy, Eser Y ; Aretz, Kevin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:148:y:2023:i:c:s037842662200293x. Full description at Econpapers || Download paper |
2023 | The effect of uncertainty on stock market volatility and correlation. (2023). Hou, Ai Jun ; Christiansen, Charlotte ; Asgharian, Hossein. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001097. Full description at Econpapers || Download paper |
2023 | The incremental information in the yield curve about future interest rate risk. (2023). Christensen, Bent Jesper ; Veliyev, Bezirgen ; Kjar, Mads Markvart. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:155:y:2023:i:c:s0378426623001711. Full description at Econpapers || Download paper |
2023 | Dynamic asset (mis)pricing: Build-up versus resolution anomalies. (2023). OPP, CHRISTIAN ; Tamoni, Andrea ; Boons, Martijn ; van Binsbergen, Jules H. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:2:p:406-431. Full description at Econpapers || Download paper |
2023 | International trade and the risk in bilateral exchange rates. (2023). Loualiche, Erik ; Hassan, Ramin ; Ward, Colin ; Pecora, Alexandre R. In: Journal of Financial Economics. RePEc:eee:jfinec:v:150:y:2023:i:2:s0304405x23001435. Full description at Econpapers || Download paper |
2023 | CEO risk preferences, hedging intensity, and firm value. (2023). Mandal, Sonik ; Doukas, John A ; Chowdhury, Rajib. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:130:y:2023:i:c:s0261560622001541. Full description at Econpapers || Download paper |
2023 | Central bank credibility during COVID-19: Evidence from Japan. (2023). Spiegel, Mark M. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:131:y:2023:i:c:s0261560622001917. Full description at Econpapers || Download paper |
2023 | The relative pricing of WTI and Brent crude oil futures: Expectations or risk premia?. (2023). Liu, Rui ; Gao, Xin. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000319. Full description at Econpapers || Download paper |
2023 | Government debt and risk premia. (2023). Liu, Yang. In: Journal of Monetary Economics. RePEc:eee:moneco:v:136:y:2023:i:c:p:18-34. Full description at Econpapers || Download paper |
2023 | Hedging demand and near-zero swap spreads: Evidence from the Chinese interest rate swap market. (2023). Shang, Yuhuang ; Zhu, Chunhui ; Li, Shaoyu. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:91:y:2023:i:c:p:170-185. Full description at Econpapers || Download paper |
2023 | Shot-noise cojumps: exact simulation and option pricing. (2023). Zhao, Hongbiao ; Dassios, Angelos ; Qu, Yan. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:111537. Full description at Econpapers || Download paper |
2023 | Welfare Implications of Asset Pricing Facts: Should Central Banks Fill Gaps or Remove Volatility?. (2021). Lopez, Pierlauro. In: Working Papers. RePEc:fip:fedcwq:93000. Full description at Econpapers || Download paper |
2023 | The Benefit of Inflation-Indexed Debt: Evidence from an Emerging Bond Market. (2023). , Jens. In: Working Paper Series. RePEc:fip:fedfwp:95617. Full description at Econpapers || Download paper |
2023 | The Pricing Kernel in Options. (2023). Kim, Hyung Joo ; Jacobs, Kris ; Heston, Steven. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:96652. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | The Real Response to Uncertainty Shocks: The Risk Premium Channel. (2023). Tamoni, Andrea ; Hsu, Alex ; Bretscher, Lorenzo. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:1:p:119-140. Full description at Econpapers || Download paper |
2023 | Machine-Learning-Based Return Predictors and the Spanning Controversy in Macro-Finance. (2023). Shi, Zhan ; Huang, Jing-Zhi. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:3:p:1780-1804. Full description at Econpapers || Download paper |
2023 | Extreme Inflation and Time-Varying Expected Consumption Growth. (2023). Schlag, Christian ; Meinerding, Christoph ; Dergunov, Ilya. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:5:p:2972-3002. Full description at Econpapers || Download paper |
2023 | Modeling Tail Dependence Using Stochastic Volatility Model. (2023). Necula, Ciprian ; Ma, Yong-Ki ; Kim, See-Woo. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:1:d:10.1007_s10614-022-10271-5. Full description at Econpapers || Download paper |
2023 | Hedging cryptocurrency options. (2023). Hardle, Wolfgang Karl ; Packham, Natalie ; Matic, Jovanka Lili. In: Review of Derivatives Research. RePEc:kap:revdev:v:26:y:2023:i:1:d:10.1007_s11147-023-09194-6. Full description at Econpapers || Download paper |
2023 | Correcting estimation bias in regime switching dynamic term structure models. (2023). Liu, Liu ; Cho, Sungjun. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:3:d:10.1007_s11156-023-01182-z. Full description at Econpapers || Download paper |
2023 | Reproducibility in Management Science. (2023). Ozkes, Ali ; Huber, Christoph ; Greiner, Ben ; Fišar, Miloš ; Reproducibility, Management Science ; Katok, Elena ; Fiar, Milo. In: OSF Preprints. RePEc:osf:osfxxx:mydzv. Full description at Econpapers || Download paper |
2023 | Market Timing and Predictability in FX Markets. (2023). Tran, Ngoc-Khanh ; To, Thuy-Duong ; Maurer, Thomas A. In: Review of Finance. RePEc:oup:revfin:v:27:y:2023:i:1:p:223-246.. Full description at Econpapers || Download paper |
2023 | Debt Renegotiations Outside Distress*. (2023). Westermann, Ramona ; Arnold, Marc. In: Review of Finance. RePEc:oup:revfin:v:27:y:2023:i:4:p:1183-1228.. Full description at Econpapers || Download paper |
2023 | Alternative risk premium: specification noise. (2023). Fabozzi, Frank J ; Gorman, Stephen A. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:6:d:10.1057_s41260-023-00327-y. Full description at Econpapers || Download paper |
2023 | Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!. (2023). Haque, Qazi ; Hambur, Jonathan. In: RBA Research Discussion Papers. RePEc:rba:rbardp:rdp2023-04. Full description at Econpapers || Download paper |
2023 | Sovereign default network and currency risk premia. (2023). Yang, Lu ; Cui, Xue. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00485-3. Full description at Econpapers || Download paper |
2023 | Reproducibility in Management Science. (2023). Ozkes, Ali ; Huber, Christoph ; Reproducibility, Management Science ; Katok, Elena ; Greiner, Ben ; Fiar, Milo. In: Department for Strategy and Innovation Working Paper Series. RePEc:wiw:wus055:57814527. Full description at Econpapers || Download paper |
2023 | A Sieve?SMM Estimator for Dynamic Models. (2023). Forneron, Jeanjacques. In: Econometrica. RePEc:wly:emetrp:v:91:y:2023:i:3:p:943-977. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Changes in the options contract size and arbitrage opportunities. (2023). Yu, Jinyoung ; Ryu, Doojin ; Song, Joon Hyuk. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:1:p:122-137. Full description at Econpapers || Download paper |
2023 | Unspanned macro risks in VIX futures. (2023). Yang, Xinglin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:9:p:1305-1328. Full description at Econpapers || Download paper |
2023 | Treasury Safety, Liquidity, and Money Premium Dynamics: Evidence from Debt Limit Impasses. (2023). Klee, Elizabeth ; Syron, Erin E ; Cashin, David. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:55:y:2023:i:6:p:1475-1506. Full description at Econpapers || Download paper |
2023 | Asset allocation with recursive parameter updating and macroeconomic regime identifiers. (2023). Meinerding, Christoph ; Goodarzi, Milad. In: Discussion Papers. RePEc:zbw:bubdps:062023. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2003 | Iterative and Recursive Estimation in Structural Nonadaptive Models: Comment. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 0 |
2007 | On the Role of Risk Premia in Volatility Forecasting In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 66 |
2019 | Determinants of Asia-Pacific government bond yields In: BIS Papers chapters. [Full Text][Citation analysis] | chapter | 0 |
2021 | Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds In: BIS Working Papers. [Full Text][Citation analysis] | paper | 8 |
2020 | Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds.(2020) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
2023 | Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds.(2023) In: Journal of International Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
2020 | Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds.(2020) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
2007 | Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11 In: Journal of Finance. [Full Text][Citation analysis] | article | 86 |
2007 | Model Specification and Risk Premia: Evidence from Futures Options In: Journal of Finance. [Full Text][Citation analysis] | article | 250 |
2011 | Disasters Implied by Equity Index Options In: Journal of Finance. [Full Text][Citation analysis] | article | 139 |
2009 | Disasters implied by equity index options.(2009) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 139 | paper | |
2009 | Disasters implied by equity index options.(2009) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 139 | paper | |
2009 | Disasters Implied by Equity Index Options.(2009) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 139 | paper | |
2014 | Sources of Entropy in Representative Agent Models In: Journal of Finance. [Full Text][Citation analysis] | article | 68 |
2011 | Sources of entropy in representative agent models.(2011) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 68 | paper | |
2011 | Sources of Entropy in Representative Agent Models.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 68 | paper | |
2011 | Sources of Entropy in Representative Agent Models.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 68 | paper | |
2020 | A Macrofinance View of U.S. Sovereign CDS Premiums In: Journal of Finance. [Full Text][Citation analysis] | article | 11 |
2016 | A Macrofinance View of U.S. Sovereign CDS Premiums.(2016) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
2016 | A macrofinance view of US Sovereign CDS premiums.(2016) In: 2016 Meeting Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
2023 | International Yield Curves and Currency Puzzles In: Journal of Finance. [Full Text][Citation analysis] | article | 1 |
2018 | International yield curves and currency puzzles.(2018) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2018 | International Yield Curves and Currency Puzzles.(2018) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2023 | Pricing Currency Risks In: Journal of Finance. [Full Text][Citation analysis] | article | 1 |
2020 | Pricing Currency Risks.(2020) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2020 | Pricing Currency Risks.(2020) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2021 | Interest Rate Skewness and Biased Beliefs In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 10 |
2021 | Interest Rate Skewness and Biased Beliefs.(2021) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2021 | Interest rate skewness and biased beliefs.(2021) In: IMFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2002 | Alternative Models for Stock Price Dynamics In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 469 |
2002 | Alternative Models for Stock Price Dynamic.(2002) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 469 | paper | |
2003 | Alternative models for stock price dynamics.(2003) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 469 | article | |
2003 | Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 12 |
2002 | Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions.(2002) In: IDEI Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
1998 | What Data Should Be Used to Price Options? In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 8 |
1999 | A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 32 |
2016 | Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 15 |
2016 | Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities.(2016) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
2018 | Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities.(2018) In: The Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | article | |
2016 | Term structures of asset prices and returns In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 27 |
2018 | Term structures of asset prices and returns.(2018) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | article | |
2016 | Term structures of asset prices and returns.(2016) In: Staff Reports. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | paper | |
2016 | Term Structures of Asset Prices and Returns.(2016) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | paper | |
2016 | Term structures of asset prices and returns.(2016) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | paper | |
2018 | Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 14 |
2018 | Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads.(2018) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
2018 | Multihorizon Currency Returns and Purchasing Power Parity In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
2018 | Multihorizon Currency Returns and Purchasing Power Parity.(2018) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2018 | Conditional dynamics and the multi-horizon risk-return trade-off In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
2018 | Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off.(2018) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2022 | Conditional Dynamics and the Multihorizon Risk-Return Trade-Off.(2022) In: The Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
2019 | Benchmark interest rates when the government is risky In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 6 |
2021 | Benchmark interest rates when the government is risky.(2021) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
2019 | Benchmark Interest Rates When the Government is Risky.(2019) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2020 | The term structure of CIP violations In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2007 | Understanding Index Option Returns In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 113 |
2009 | Understanding Index Option Returns.(2009) In: The Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 113 | article | |
2008 | The Term Structure of Inflation Expectations In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 140 |
2012 | The term structure of inflation expectations.(2012) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 140 | article | |
2008 | The Term Structure of Inflation Expectations.(2008) In: 2008 Meeting Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 140 | paper | |
2008 | Monetary Policy Regimes and the Term Structure of Interest Rates In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 56 |
2013 | Monetary policy regimes and the term structure of interest rates.(2013) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 56 | article | |
2009 | Monetary Policy Regimes and the Term Structure of Interest Rates.(2009) In: 2009 Meeting Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 56 | paper | |
2011 | CDS Auctions In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
2011 | CDS auctions.(2011) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2013 | CDS Auctions.(2013) In: The Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
2012 | Sources of Risk in Currency Returns In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 7 |
2013 | Identifying Taylor rules in macro-finance models In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
2021 | Monetary Policy Risk: Rules vs. Discretion.(2021) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2018 | Crash Risk in Currency Returns In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 47 |
2012 | Crash Risk in Currency Returns.(2012) In: 2012 Meeting Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 47 | paper | |
2003 | Empirical reverse engineering of the pricing kernel In: Journal of Econometrics. [Full Text][Citation analysis] | article | 15 |
2007 | Efficient estimation of general dynamic models with a continuum of moment conditions In: Journal of Econometrics. [Full Text][Citation analysis] | article | 67 |
2010 | No-arbitrage macroeconomic determinants of the yield curve In: Journal of Econometrics. [Full Text][Citation analysis] | article | 72 |
2010 | No-arbitrage macroeconomic determinants of the yield curve.(2010) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 72 | paper | |
2000 | A 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. [Full Text][Citation analysis] | article | 249 |
2021 | Non-Standard Errors In: Working Paper Series, Social and Economic Sciences. [Full Text][Citation analysis] | paper | 10 |
2021 | Non-Standard Errors.(2021) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2021 | Non-Standard Errors.(2021) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2021 | Non-Standard Errors.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2009 | Unspanned Stochastic Volatility in Affine Models: Evidence from Eurodollar Futures and Options In: Management Science. [Full Text][Citation analysis] | article | 26 |
2015 | Arginylation regulates purine nucleotide biosynthesis by enhancing the activity of phosphoribosyl pyrophosphate synthase In: Nature Communications. [Full Text][Citation analysis] | article | 0 |
2013 | Identifying Taylor Rules in Macro-Finance Models In: NBER Working Papers. [Full Text][Citation analysis] | paper | 3 |
2013 | Identifying Taylor Rules in Macro-finance Models.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
2020 | The Term Structure of Covered Interest Rate Parity Violations In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
2021 | The Real Channel for Nominal Bond-Stock Puzzles In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | Currency Risk Premiums: A Multi-horizon Perspective In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2011 | Yield Curve and Volatility: Lessons from Eurodollar Futures and Options In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 16 |
2021 | The PPP View of Multihorizon Currency Risk Premiums In: The Review of Financial Studies. [Full Text][Citation analysis] | article | 3 |
2022 | Monetary Policy Risk: Rules versus Discretion In: The Review of Financial Studies. [Full Text][Citation analysis] | article | 0 |
2010 | Sources of entropy in representative agent models of asset pricing In: 2010 Meeting Papers. [Full Text][Citation analysis] | paper | 0 |
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