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

16

i10 index

1281

Citations

RESEARCH PRODUCTION:

18

Articles

38

Papers

RESEARCH ACTIVITY:

   20 years (1998 - 2018). See details.
   Cites by year: 64
   Journals where Mikhail Chernov has often published
   Relations with other researchers
   Recent citing documents: 145.    Total self citations: 26 (1.99 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pch756
   Updated: 2018-12-08    RAS profile: 2018-05-09    
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Relations with other researchers


Works with:

Backus, David (6)

Zin, Stanley (4)

Boyarchenko, Nina (3)

Song, Dongho (2)

Creal, Drew (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 (54)

McAleer, Michael (31)

Asai, Manabu (31)

Bollerslev, Tim (29)

Andersen, Torben (24)

Diebold, Francis (20)

Bekaert, Geert (19)

Caporin, Massimiliano (18)

Shephard, Neil (17)

Tauchen, George (15)

Santa-Clara, Pedro (15)

Cites to:

Singleton, Kenneth (29)

Gallant, A. (29)

Tauchen, George (29)

Hansen, Lars (20)

Ghysels, Eric (18)

Ait-Sahalia, Yacine (16)

Duffie, Darrell (16)

Renault, Eric (14)

Ang, Andrew (12)

Andersen, Torben (12)

Harvey, Andrew (9)

Main data


Where Mikhail Chernov has published?


Journals with more than one article published# docs
Journal of Econometrics5
Journal of Finance4
Journal of Financial Economics2
Journal of Business & Economic Statistics2
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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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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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 ; Carrasco, Marine ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2017_1709.

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2017Testing Distributional Assumptions Using a Continuum of Moments. (2017). Sentana, Enrique ; Carrasco, Marine ; Amengual, Dante. 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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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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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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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). Forneron, Jean-Jacques ; Ng, Serena. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:112-139.

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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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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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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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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). Guérin, Pierre ; Marcellino, Massimiliano ; Foroni, Claudia. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:774-787.

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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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2018Covariance forecasting in equity markets. (2018). Symitsi, Efthymia ; Markellos, Raphael ; Kourtis, Apostolos ; Symeonidis, Lazaros . 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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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 ; Ward, Colin ; Ready, Robert . 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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2018Variance risk premium and equity returns. (2018). Papadamou, Stephanos ; Fassas, Athanasios P. In: Research in International Business and Finance. RePEc:eee:riibaf:v:46:y:2018:i:c:p:462-470.

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2017No-arbitrage Determinants of Japanese Government Bond Yield and Credit Spread Curves. (2017). Okimoto, Tatsuyoshi ; Sumiko, Takaoka ; Tatsuyoshi, Okimoto . In: Discussion papers. RePEc:eti:dpaper:17104.

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2017General Aggregation of Misspecified Asset Pricing Models. (2017). Maasoumi, Esfandiar ; Gospodinov, Nikolay. In: FRB Atlanta Working Paper. RePEc:fip:fedawp:2017-10.

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2017The TIPS Liquidity Premium. (2017). Christensen, Jens ; Andreasen, Martin M ; Riddell, Simon . In: Working Paper Series. RePEc:fip:fedfwp:2017-11.

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2017Disaster Risk and Asset Returns : An International Perspective. (2017). Liu, Edith ; Lewis, Karen K. In: International Finance Discussion Papers. RePEc:fip:fedgif:1199.

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2017Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book. (2017). Neely, Christopher ; Winkelmann, Lars ; Bibinger, Markus. In: Working Papers. RePEc:fip:fedlwp:2017-012.

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2017Horizon-dependent risk aversion and the timing and pricing of uncertainty. (2017). Schmalz, Martin ; Eisenbach, Thomas ; Andries, Marianne. In: Staff Reports. RePEc:fip:fednsr:703.

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2017Vulnerable growth. (2017). Giannone, Domenico ; Boyarchenko, Nina ; Adrian, Tobias. In: Staff Reports. RePEc:fip:fednsr:794.

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2017REORGANIZATION OR LIQUIDATION: BANKRUPTCY CHOICE AND FIRM DYNAMICS. (2017). Corbae, P. Dean ; D'Erasmo, Pablo. In: Working Papers. RePEc:fip:fedpwp:17-14.

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2018Integration and Disintegration of EMU Government Bond Markets. (2018). Sibbertsen, Philipp ; Leschinski, Christian ; Voges, Michelle . In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-625.

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2018Macroeconomic Drivers of Bond and Equity Risks. (2018). Viceira, Luis ; Pflueger, Carolin ; Campbell, John. In: Harvard Business School Working Papers. RePEc:hbs:wpaper:14-031.

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2018A Model for Policy Interest Rates. (2018). Sirchenko, Andrei ; Muller, Gernot ; Seibert, Armin. In: HSE Working papers. RePEc:hig:wpaper:192/ec/2018.

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2018Cross-stock market spillovers through variance risk premiums and equity flows. (2018). SHIM, ILHYOCK ; Sugihara, Yoshihiko ; Hattori, Masazumi. In: CIS Discussion paper series. RePEc:hit:cisdps:667.

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2017A Term Structure Model of Interest Rates with Quadratic Volatility. (2017). Takamizawa, Hideyuki. In: Working Paper Series. RePEc:hit:hcfrwp:g-1-18.

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2017(Un)expected Monetary Policy Shocks and Term Premia. (2017). Meyer-Gohde, Alexander ; Kliem, Martin. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2017-015.

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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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2007On the Role of Risk Premia in Volatility Forecasting In: Journal of Business & Economic Statistics.
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article49
2007Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11 In: Journal of Finance.
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article43
2007Model Specification and Risk Premia: Evidence from Futures Options In: Journal of Finance.
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article140
2011Disasters Implied by Equity Index Options In: Journal of Finance.
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article91
2009Disasters implied by equity index options.(2009) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 91
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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: 91
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2009Disasters Implied by Equity Index Options.(2009) In: Working Papers.
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This paper has another version. Agregated cites: 91
paper
2014Sources of Entropy in Representative Agent Models In: Journal of Finance.
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article30
2011Sources of entropy in representative agent models.(2011) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 30
paper
2011Sources of Entropy in Representative Agent Models.(2011) In: NBER Working Papers.
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This paper has another version. Agregated cites: 30
paper
2011Sources of Entropy in Representative Agent Models.(2011) In: Working Papers.
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This paper has another version. Agregated cites: 30
paper
2002Alternative Models for Stock Price Dynamics In: CIRANO Working Papers.
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paper370
2002Alternative Models for Stock Price Dynamic.(2002) In: Working Papers.
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This paper has another version. Agregated cites: 370
paper
2003Alternative models for stock price dynamics.(2003) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 370
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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paper10
2016Term structures of asset prices and returns.(2016) In: Staff Reports.
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This paper has another version. Agregated cites: 10
paper
2016Term Structures of Asset Prices and Returns.(2016) In: NBER Working Papers.
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This paper has another version. Agregated cites: 10
paper
2016A Macrofinance View of U.S. Sovereign CDS Premiums 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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This paper has another version. Agregated cites: 0
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2018Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads In: CEPR Discussion Papers.
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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: 1
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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paper60
2009Understanding Index Option Returns.(2009) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 60
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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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: NBER Working Papers.
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This paper has another version. Agregated cites: 2
paper
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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article8
2012Crash Risk in Currency Returns.(2012) In: 2012 Meeting Papers.
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This paper has another version. Agregated cites: 8
paper
2003Empirical reverse engineering of the pricing kernel In: Journal of Econometrics.
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article8
2007Efficient estimation of general dynamic models with a continuum of moment conditions In: Journal of Econometrics.
[Full Text][Citation analysis]
article41
2010No-arbitrage macroeconomic determinants of the yield curve In: Journal of Econometrics.
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article45
2010No-arbitrage macroeconomic determinants of the yield curve.(2010) In: Post-Print.
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This paper has another version. Agregated cites: 45
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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article174
2009Unspanned Stochastic Volatility in Affine Models: Evidence from Eurodollar Futures and Options In: Management Science.
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article16
2018International Yield Curves and Currency Puzzles In: NBER Working Papers.
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paper0
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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