Mikhail Chernov : Citation Profile


Are you Mikhail Chernov?

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

15

H index

19

i10 index

1608

Citations

RESEARCH PRODUCTION:

22

Articles

51

Papers

1

Chapters

RESEARCH ACTIVITY:

   23 years (1998 - 2021). See details.
   Cites by year: 69
   Journals where Mikhail Chernov has often published
   Relations with other researchers
   Recent citing documents: 129.    Total self citations: 38 (2.31 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pch756
   Updated: 2021-06-07    RAS profile: 2021-04-02    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Creal, Drew (7)

Boyarchenko, Nina (5)

Augustin, Patrick (4)

Song, Dongho (4)

Hördahl, Peter (3)

Backus, David (2)

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

Is cited by:

Christoffersen, Peter (57)

Asai, Manabu (31)

McAleer, Michael (31)

Bollerslev, Tim (29)

Andersen, Torben (23)

Bekaert, Geert (20)

Diebold, Francis (20)

Caporin, Massimiliano (19)

Garcia, René (18)

Shephard, Neil (17)

Tauchen, George (15)

Cites to:

Singleton, Kenneth (41)

Tauchen, George (29)

Gallant, A. (29)

Hansen, Lars (24)

Duffie, Darrell (21)

Ghysels, Eric (18)

Renault, Eric (14)

Ang, Andrew (13)

Ait-Sahalia, Yacine (13)

Zin, Stanley (12)

pan, jun (11)

Main data


Where Mikhail Chernov has published?


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

Recent works citing Mikhail Chernov (2021 and 2020)


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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2020Epstein-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

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2020Euro-US Dollar Exchange Rate Dynamics at the Effective Lower Bound. (2020). McCoy, Eric. In: European Economy - Economic Briefs. RePEc:euf:ecobri:055.

Full description at Econpapers || Download paper

2020Welfare Costs of Catastrophes: Lost Consumption and Lost Lives. (2020). Martin, Ian ; Ian, ; Pindyck, Robert S. In: Working Papers. RePEc:fem:femwpa:2020.27.

Full description at Econpapers || Download paper

2020The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility. (2019). Tsionas, Mike ; Murphy, Anthony ; Izzeldin, Marwan ; Hizmeri, Rodrigo. In: Working Papers. RePEc:fip:feddwp:1902.

Full description at Econpapers || Download paper

2020The Hedging Channel of Exchange Rate Determination. (2020). Zhang, Tony ; Liao, Gordon Y. In: International Finance Discussion Papers. RePEc:fip:fedgif:1283.

Full description at Econpapers || Download paper

2020Reorganization or Liquidation: Bankruptcy Choice and Firm Dynamics. (2020). Corbae, P. Dean ; D'Erasmo, Pablo. In: Working Papers. RePEc:fip:fedmwp:88447.

Full description at Econpapers || Download paper

2020Fundamental Disagreement about Monetary Policy and the Term Structure of Interest Rates. (2020). Moench, Emanuel ; Eusepi, Stefano ; Crump, Richard ; Cao, Shuo. In: Staff Reports. RePEc:fip:fednsr:88406.

Full description at Econpapers || Download paper

2021Defragmenting Markets: Evidence from Agency MBS. (2021). Vickery, James ; SONG, ZHAOGANG ; Liu, Haoyang. In: Staff Reports. RePEc:fip:fednsr:91312.

Full description at Econpapers || Download paper

2020Equity Option Pricing with Systematic and Idiosyncratic Volatility and Jump Risks. (2020). Li, Zhe. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:1:p:16-:d:310060.

Full description at Econpapers || Download paper

2020GARCH Option Pricing Models and the Variance Risk Premium. (2020). Zhang, Jin E. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:3:p:51-:d:330107.

Full description at Econpapers || Download paper

2021Multiscale Stochastic Volatility Model with Heavy Tails and Leverage Effects. (2021). Kolkiewicz, Adam W ; Wirjanto, Tony S ; Men, Zhongxian. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:5:p:225-:d:557170.

Full description at Econpapers || Download paper

2020Use of Neural Networks to Accommodate Seasonal Fluctuations When Equalizing Time Series for the CZK/RMB Exchange Rate. (2020). Podhorska, Ivana ; Lazaroiu, George ; Rowland, Zuzana. In: Risks. RePEc:gam:jrisks:v:9:y:2020:i:1:p:1-:d:466130.

Full description at Econpapers || Download paper

2021Real and Nominal Equilibrium Yield Curves. (2021). Rica, E ; Hsu, Alex ; Palomino, Francisco. In: Management Science. RePEc:inm:ormnsc:v:67:y:2021:i:2:p:1138-1158.

Full description at Econpapers || Download paper

2021Volatility Shocks and Investment Behavior. (2021). Kirchler, Michael ; Huber, Jurgen. In: Working Papers. RePEc:inn:wpaper:2021-06.

Full description at Econpapers || Download paper

2021The talkative variables of the hybrid Heston model: Yields’ maturity and economic (in)stability. (2021). Recchioni, Maria Cristina ; Tedeschi, Gabriele ; Campigli, Francesco. In: Working Papers. RePEc:jau:wpaper:2021/03.

Full description at Econpapers || Download paper

2020Static Hedges of Barrier Options Under Fast Mean-Reverting Stochastic Volatility. (2020). Ma, Yong-Ki ; Jeon, Jaegi ; Huh, Jeonggyu. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:1:d:10.1007_s10614-019-09883-1.

Full description at Econpapers || Download paper

2020A Testing Procedure for Constant Parameters in Stochastic Volatility Models. (2020). Hoyo, Juan ; Rivero, Carlos ; Llorente, Guillermo. In: Computational Economics. RePEc:kap:compec:v:56:y:2020:i:1:d:10.1007_s10614-019-09892-0.

Full description at Econpapers || Download paper

2020Oil shocks and volatility jumps. (2020). GUPTA, RANGAN ; Wohar, Mark E ; Gkillas, Konstantinos. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:54:y:2020:i:1:d:10.1007_s11156-018-00788-y.

Full description at Econpapers || Download paper

2020Option-implied filtering: evidence from the GARCH option pricing model. (2020). Li, Bingxin. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:54:y:2020:i:3:d:10.1007_s11156-019-00816-5.

Full description at Econpapers || Download paper

2020Implicit Entropic Market Risk-Premium from Interest Rate Derivatives. (2020). Arismendi Zambrano, Juan ; Azevedo, R ; Arismendi-Zambrano, J. In: Economics, Finance and Accounting Department Working Paper Series. RePEc:may:mayecw:n303-20.pdf.

Full description at Econpapers || Download paper

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.
[Citation analysis]
article0
2007On the Role of Risk Premia in Volatility Forecasting In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article61
2019Determinants of Asia-Pacific government bond yields In: BIS Papers chapters.
[Full Text][Citation analysis]
chapter0
2021Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds In: BIS Working Papers.
[Full Text][Citation analysis]
paper0
2020Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds.(2020) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2020Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds.(2020) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2007Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11 In: Journal of Finance.
[Full Text][Citation analysis]
article58
2007Model Specification and Risk Premia: Evidence from Futures Options In: Journal of Finance.
[Full Text][Citation analysis]
article193
2011Disasters Implied by Equity Index Options In: Journal of Finance.
[Full Text][Citation analysis]
article115
2009Disasters implied by equity index options.(2009) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 115
paper
2009Disasters implied by equity index options.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 115
paper
2009Disasters Implied by Equity Index Options.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 115
paper
2014Sources of Entropy in Representative Agent Models In: Journal of Finance.
[Full Text][Citation analysis]
article43
2011Sources of entropy in representative agent models.(2011) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 43
paper
2011Sources of Entropy in Representative Agent Models.(2011) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 43
paper
2011Sources of Entropy in Representative Agent Models.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 43
paper
2020A Macrofinance View of U.S. Sovereign CDS Premiums In: Journal of Finance.
[Full Text][Citation analysis]
article1
2016A Macrofinance View of U.S. Sovereign CDS Premiums.(2016) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2016A macrofinance view of US Sovereign CDS premiums.(2016) In: 2016 Meeting Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2002Alternative Models for Stock Price Dynamics In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper417
2002Alternative Models for Stock Price Dynamic.(2002) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 417
paper
2003Alternative models for stock price dynamics.(2003) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 417
article
2003Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper9
2002Efficient 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 another version. Agregated cites: 9
paper
1998What Data Should Be Used to Price Options? In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper8
1999A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper24
2016Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper7
2016Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities.(2016) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2018Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities.(2018) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
article
2016Term structures of asset prices and returns In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper13
2018Term structures of asset prices and returns.(2018) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
article
2016Term structures of asset prices and returns.(2016) In: Staff Reports.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
paper
2016Term Structures of Asset Prices and Returns.(2016) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
paper
2016Term structures of asset prices and returns.(2016) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
paper
2018Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper14
2018Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads.(2018) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2018Multihorizon Currency Returns and Purchasing Power Parity In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper0
2018Multihorizon Currency Returns and Purchasing Power Parity.(2018) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2018International yield curves and currency puzzles In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper1
2018International Yield Curves and Currency Puzzles.(2018) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2018Conditional dynamics and the multi-horizon risk-return trade-off In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper2
2018Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off.(2018) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2019Benchmark interest rates when the government is risky In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper1
2021Benchmark interest rates when the government is risky.(2021) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
article
2019Benchmark Interest Rates When the Government is Risky.(2019) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2020The term structure of CIP violations In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper0
2020The term structure of CIP violations.(2020) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2020Pricing Currency Risks In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper0
2020Pricing Currency Risks.(2020) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2007Understanding Index Option Returns In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper84
2009Understanding Index Option Returns.(2009) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 84
article
2008The Term Structure of Inflation Expectations In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper111
2012The term structure of inflation expectations.(2012) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 111
article
2008The Term Structure of Inflation Expectations.(2008) In: 2008 Meeting Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 111
paper
2008Monetary Policy Regimes and the Term Structure of Interest Rates In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper45
2013Monetary policy regimes and the term structure of interest rates.(2013) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 45
article
2009Monetary Policy Regimes and the Term Structure of Interest Rates.(2009) In: 2009 Meeting Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 45
paper
2011CDS Auctions In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper3
2011CDS Auctions.(2011) In: FMG Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2013CDS Auctions.(2013) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
article
2012Sources of Risk in Currency Returns In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper7
2013Identifying Taylor rules in macro-finance models In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper2
2013Identifying Taylor Rules in Macro-finance Models.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2018Crash Risk in Currency Returns In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article33
2012Crash Risk in Currency Returns.(2012) In: 2012 Meeting Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 33
paper
2003Empirical reverse engineering of the pricing kernel In: Journal of Econometrics.
[Full Text][Citation analysis]
article12
2007Efficient estimation of general dynamic models with a continuum of moment conditions In: Journal of Econometrics.
[Full Text][Citation analysis]
article50
2010No-arbitrage macroeconomic determinants of the yield curve In: Journal of Econometrics.
[Full Text][Citation analysis]
article56
2010No-arbitrage macroeconomic determinants of the yield curve.(2010) In: Post-Print.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 56
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.
[Full Text][Citation analysis]
article203
2009Unspanned Stochastic Volatility in Affine Models: Evidence from Eurodollar Futures and Options In: Management Science.
[Full Text][Citation analysis]
article18
2013Identifying monetary policy in macro-finance models In: NBER Working Papers.
[Full Text][Citation analysis]
paper2
2011Yield Curve and Volatility: Lessons from Eurodollar Futures and Options In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article15
2010Sources of entropy in representative agent models of asset pricing In: 2010 Meeting Papers.
[Full Text][Citation analysis]
paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 2 2021. Contact: CitEc Team