Mikhail Chernov : Citation Profile


Are you Mikhail Chernov?

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

16

H index

20

i10 index

1901

Citations

RESEARCH PRODUCTION:

25

Articles

59

Papers

1

Chapters

RESEARCH ACTIVITY:

   24 years (1998 - 2022). See details.
   Cites by year: 79
   Journals where Mikhail Chernov has often published
   Relations with other researchers
   Recent citing documents: 177.    Total self citations: 44 (2.26 %)

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   Permalink: http://citec.repec.org/pch756
   Updated: 2022-11-19    RAS profile: 2022-08-09    
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Relations with other researchers


Works with:

Creal, Drew (8)

Song, Dongho (6)

Ferrara, Gerardo (4)

CAPELLE-BLANCARD, Gunther (4)

Colliard, Jean-Edouard (4)

Holzmeister, Felix (4)

Gehrig, Thomas (4)

FERROUHI, EL MEHDI (4)

Bohorquez Correa, Santiago (4)

Abudy, Menachem (4)

Chow, Nikolai Sheung-Chi (4)

Dumitrescu, Ariadna (4)

Alexeev, Vitali (4)

Dimpfl, Thomas (4)

Johannesson, Magnus (4)

Caporin, Massimiliano (4)

Adrian, Tobias (4)

Brownlees, Christian (4)

Gerritsen, Dirk (4)

Augustin, Patrick (4)

Dreber, Anna (4)

Ait-Sahalia, Yacine (4)

Deev, Oleg (4)

Menkveld, Albert (4)

Deku, Solomon (4)

Füllbrunn, Sascha (3)

Frömmel, Michael (3)

Bauer, Michael (3)

Hördahl, Peter (3)

Patton, Andrew (2)

Pelizzon, Loriana (2)

Davies, Ryan (2)

Rakowski, David (2)

Lajaunie, Quentin (2)

Ranaldo, Angelo (2)

Sarno, Lucio (2)

Pasquariello, Paolo (2)

Wolff, Christian (2)

Gorbenko, Arseny (2)

Gil-Bazo, Javier (2)

Rinne, Kalle (2)

LINTON, OLIVER (2)

Vilkov, Grigory (2)

Frijns, Bart (2)

Jurkatis, Simon (2)

Palan, Stefan (2)

Regis, Luca (2)

Vogel, Sebastian (2)

Xia, Shuo (2)

Hurlin, Christophe (2)

Smales, Lee (2)

Park, Andreas (2)

Kassner, Bernhard (2)

van Kervel, Vincent (2)

Talavera, Oleksandr (2)

Liew, Chee (2)

Theissen, Erik (2)

Wilhelmsson, Anders (2)

Hautsch, Nikolaus (2)

Lof, Matthijs (2)

Reitz, Stefan (2)

Patel, Vinay (2)

Zhou, Chen (2)

Bouri, Elie (2)

Walther, Thomas (2)

Scaillet, Olivier (2)

PASCUAL, ROBERTO (2)

He, Xuezhong (Tony) (2)

Nielsson, Ulf (2)

Stefanova, Denitsa (2)

Schenk-Hoppé, Klaus (2)

Harris, Jeffrey (2)

Moinas, Sophie (2)

Taylor, Nick (2)

Schwarz, Marco (2)

Lopez-Lira, Alejandro (2)

Heath, Davidson (2)

Wong, Wing-Keung (2)

Foucault, Thierry (2)

Pastor, Lubos (2)

Zviadadze, Irina (2)

Roy, Saurabh (2)

Verousis, Thanos (2)

Horenstein, Alex (2)

Xiu, Dacheng (2)

Putnins, Talis (2)

Jalkh, Naji (2)

Bos, Charles (2)

Tonks, Ian (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 (62)

Bollerslev, Tim (30)

Asai, Manabu (28)

McAleer, Michael (27)

Andersen, Torben (24)

Bekaert, Geert (22)

Diebold, Francis (22)

Garcia, René (19)

Caporin, Massimiliano (18)

Shephard, Neil (17)

Santa-Clara, Pedro (16)

Cites to:

Singleton, Kenneth (44)

Gallant, A. (39)

Tauchen, George (38)

Hansen, Lars (32)

Duffie, Darrell (23)

Ghysels, Eric (20)

Renault, Eric (15)

Reis, Ricardo (15)

Kreps, David (15)

Duffee, Greg (15)

Ait-Sahalia, Yacine (15)

Main data


Where Mikhail Chernov has published?


Journals with more than one article published# docs
Journal of Finance5
Review of Financial Studies5
Journal of Econometrics5
Journal of Financial Economics4
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
CEPR Discussion Papers / C.E.P.R. Discussion Papers19
NBER Working Papers / National Bureau of Economic Research, Inc16
Post-Print / HAL2

Recent works citing Mikhail Chernov (2022 and 2021)


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

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2021Asymmetric short-rate model without lower bound. (2021). Wang, Linqi ; Vrins, Frederic. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2021006.

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2021A Multicountry Model of the Term Structures of Interest Rates with a GVAR. (2021). Moura, Rubens ; Candelon, Bertrand. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2021007.

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2022A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

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

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

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2022A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: Papers. RePEc:arx:papers:2006.15312.

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

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2022An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975.

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

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2022A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208.

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

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2022On optimality of barrier dividend control under endogenous regime switching with application to Chapter 11 bankruptcy. (2021). Zhou, Xiaowen ; Yu, Xiang ; Wang, Wenyuan. In: Papers. RePEc:arx:papers:2108.01800.

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2021Autoregressive conditional duration modelling of high frequency data. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02300.

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2021Multiplicative Component GARCH Model of Intraday Volatility. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02376.

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2021Long Run Law and Entropy. (2021). Tian, Weidong. In: Papers. RePEc:arx:papers:2111.06238.

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2021Pricing S&P 500 Index Options with L\evy Jumps. (2021). Liang, Nan ; Xie, Bin. In: Papers. RePEc:arx:papers:2111.10033.

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2022Fast Simulation-Based Bayesian Estimation of Heterogeneous and Representative Agent Models using Normalizing Flow Neural Networks. (2022). Fen, Cameron. In: Papers. RePEc:arx:papers:2203.06537.

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2022Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943.

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2022Hedging option books using neural-SDE market models. (2022). Wang, Sheng ; Reisinger, Christoph ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2205.15991.

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2022Do Investors Hedge Against Green Swans? Option-Implied Risk Aversion to Wildfires. (2022). Ouazad, Amine. In: Papers. RePEc:arx:papers:2208.06930.

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2022Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation. (2022). Vladimirov, Evgenii ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2210.06217.

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2021Discount Rates, Debt Maturity, and the Fiscal Theory. (2021). Morales, Gonzalo ; Kung, Howard ; Kind, Thilo ; Corhay, Alexandre. In: Staff Working Papers. RePEc:bca:bocawp:21-58.

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2021Debt-Stabilizing Properties of GDP-Linked Securities: A Macro-Finance Perspective. (2021). Sahuc, Jean-Guillaume ; Mouabbi, Sarah ; Renne, Jean-Paul. In: Working papers. RePEc:bfr:banfra:844.

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2021Firm-specific risk-neutral distributions with options and CDS. (2021). Jahan-Parvar, Mohammad ; Aramonte, Sirio ; Schindler, John W ; Rosen, Samuel. In: BIS Working Papers. RePEc:bis:biswps:921.

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2021Shedding light on a dark matter: Jump diffusion and option?implied investor preferences. (2021). Perrakis, Stylianos ; Oancea, Michael ; Ghanbari, Hamed. In: European Financial Management. RePEc:bla:eufman:v:27:y:2021:i:2:p:244-286.

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2021Relevance of the disposition effect on the options market: New evidence. (2021). Chou, Robin K ; Chiu, Hsinyu ; Chiang, Mihsiu. In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:1:p:75-106.

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2021Foreign Safe Asset Demand and the Dollar Exchange Rate. (2021). KRISHNAMURTHY, ARVIND ; Lustig, Hanno ; Jiang, Zhengyang. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:3:p:1049-1089.

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2021The Cross Section of MBS Returns. (2021). Richardson, Scott ; Eisfeldt, Andrea L ; Diep, Peter . In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:5:p:2093-2151.

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2022Volatility Expectations and Returns. (2022). Muir, Tyler ; Lochstoer, Lars A. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:2:p:1055-1096.

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2022Risk?Sharing and the Term Structure of Interest Rates. (2022). Schneider, Andres. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:4:p:2331-2374.

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2021Indirect inference for time series using the empirical characteristic function and control variates. (2021). Kluppelberg, Claudia ; Do, Thiago ; Davis, Richard A. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:5-6:p:653-684.

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

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

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2021Manufacturing Risk-Free Government Debt. (2021). Xiaolan, Mindy Z ; van Nieuwerburgh, Stijn ; Lustig, Hanno ; Jiang, Zhengyang. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8902.

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

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2022A Reassessment of Monetary Policy Surprises and High-Frequency Identification. (2022). Swanson, Eric T ; Bauer, Michael D. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9642.

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2022Financial-market volatility prediction with multiplicative Markov-switching MIDAS components. (2022). Wilfling, Bernd ; Segnon, Mawuli ; Schulte-Tillman, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:9922.

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2022Risk modelling on liquidations with Lévy processes. (2022). Wang, Wenyuan ; Li, Shuanming ; Chen, Ping ; Zhang, Aili. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:412:y:2022:i:c:s0096300321006688.

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

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2021Analysis of time series using a new entropy plane based on past entropy. (2021). Shang, Pengjian ; Qin, Guyue. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:152:y:2021:i:c:s0960077921008316.

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

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

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

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2021Option-implied skewness: Insights from ITM-options. (2021). Schneider, Judith C ; Mohrschladt, Hannes. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:131:y:2021:i:c:s0165188921001627.

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2022Time to build and bond risk premia. (2022). Li, Kai ; Huang, Fuzhe ; Guo, Bin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:136:y:2022:i:c:s0165188921000154.

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

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

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

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2021A filtered currency carry trade. (2021). Suh, Sangwon ; Ho, Jin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821000930.

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

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

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

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

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

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

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

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2022Model risk in the over-the-counter market. (2022). Qi, Shuyuan ; Lazar, Emese. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:2:p:769-784.

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2022Benchmarking forecast approaches for mortgage credit risk for forward periods. (2022). Scheule, Harald ; Luong, Thi Mai. In: European Journal of Operational Research. RePEc:eee:ejores:v:299:y:2022:i:2:p:750-767.

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2023Robust 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.

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2022Do interest rate differentials drive the volatility of exchange rates? Evidence from an extended stochastic volatility model. (2022). Hambuckers, J ; Ulm, M. In: Journal of Empirical Finance. RePEc:eee:empfin:v:65:y:2022:i:c:p:125-148.

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

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2022Modelling high frequency crude oil dynamics using affine and non-affine jump–diffusion models. (2022). Wong, Patrick ; Ignatieva, Katja. In: Energy Economics. RePEc:eee:eneeco:v:108:y:2022:i:c:s0140988322000561.

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

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2021Global bond risk premia under falling stars. (2021). Zhu, Xiaoneng ; Zhang, Yugui. In: Finance Research Letters. RePEc:eee:finlet:v:42:y:2021:i:c:s154461232031730x.

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2022Central bank gold reserves and sovereign credit risk. (2022). Sahay, Arvind ; Mohapatra, Sanket ; Rathi, Sawan. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002087.

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2022The network structure of overnight index swap rates. (2022). Uddin, Ajim ; Taylor, Stephen ; Fang, Ming. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004141.

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2022Commitment or constraint? The effect of loan covenants on merger and acquisition activity. (2022). Hasan, Iftekhar ; Colak, Gonul ; Ambrocio, Gene. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000381.

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

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2022Price impact versus bid–ask spreads in the index option market. (2022). van Kervel, Vincent ; Seeger, Norman J ; Kaeck, Andreas. In: Journal of Financial Markets. RePEc:eee:finmar:v:59:y:2022:i:pa:s1386418121000550.

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2021Puzzling exchange rate dynamics and delayed portfolio adjustment. (2021). van Wincoop, Eric ; Bacchetta, Philippe. In: Journal of International Economics. RePEc:eee:inecon:v:131:y:2021:i:c:s0022199621000374.

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

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

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2021The effect of option-implied skewness on delta- and vega-hedged option returns. (2021). Zhao, Yanhui ; Wu, Zekun ; Borochin, Paul. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001244.

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2022Conditionally-hedged currency carry trades. (2022). Suh, Sangwon ; Ho, Jin. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:79:y:2022:i:c:s1042443122000737.

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2021Could Chapter 11 redeem itself? Wealth and welfare effects of the redemption option. (2021). Franois, Pascal ; Breton, Michele ; Annabi, Amira. In: International Review of Law and Economics. RePEc:eee:irlaec:v:67:y:2021:i:c:s0144818821000296.

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

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2021Modeling persistent interest rates with double-autoregressive processes. (2021). Hansen, Anne Lundgaard. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002545.

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2022Dissecting the yield curve: The international evidence. (2022). Plazzi, Alberto ; Berardi, Andrea. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002429.

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2022Existence and uniqueness of recursive utilities without boundedness. (2022). Christensen, Timothy M. In: Journal of Economic Theory. RePEc:eee:jetheo:v:200:y:2022:i:c:s0022053122000035.

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

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

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

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

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

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

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2021Hedging macroeconomic and financial uncertainty and volatility. (2021). Kelly, Bryan ; Giglio, Stefano ; Dew-Becker, Ian. In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:1:p:23-45.

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2021Engineering lemons. (2021). Vokata, Petra. In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:2:p:737-755.

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2021Reconstructing the yield curve. (2021). Wu, Jing Cynthia ; Liu, Yan. In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:3:p:1395-1425.

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2021Dissecting bankruptcy frictions. (2021). Wang, Wenyu ; Taylor, Lucian A ; Dou, Winston Wei. In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:3:p:975-1000.

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2022Government policy approval and exchange rates. (2022). Liu, Yang ; Shaliastovich, Ivan. In: Journal of Financial Economics. RePEc:eee:jfinec:v:143:y:2022:i:1:p:303-331.

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2022Measuring the ex-ante incentive effects of creditor control rights during bankruptcy reorganization. (2022). Martinez-Correa, Jimmy ; Gonzalez-Uribe, Juanita ; Agrawal, Ashwini. In: Journal of Financial Economics. RePEc:eee:jfinec:v:143:y:2022:i:1:p:381-408.

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2022Equity tail risk and currency risk premiums. (2022). Londono, Juan M. ; Xiao, Xiao ; Fan, Zhenzhen. In: Journal of Financial Economics. RePEc:eee:jfinec:v:143:y:2022:i:1:p:484-503.

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2022Learning, slowly unfolding disasters, and asset prices. (2022). Seo, Sang Byung ; Kilic, Mete ; Ghaderi, Mohammad. In: Journal of Financial Economics. RePEc:eee:jfinec:v:143:y:2022:i:1:p:527-549.

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2022The missing risk premium in exchange rates. (2022). Penasse, Julien ; Dahlquist, Magnus. In: Journal of Financial Economics. RePEc:eee:jfinec:v:143:y:2022:i:2:p:697-715.

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2022A factor model for option returns. (2022). Kelly, Bryan ; Buchner, Matthias. In: Journal of Financial Economics. RePEc:eee:jfinec:v:143:y:2022:i:3:p:1140-1161.

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2022In sickness and in debt: The COVID-19 impact on sovereign credit risk. (2022). Tomio, Davide ; Subrahmanyam, Marti G ; Sokolovski, Valeri ; Augustin, Patrick. In: Journal of Financial Economics. RePEc:eee:jfinec:v:143:y:2022:i:3:p:1251-1274.

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2022Real-time price discovery via verbal communication: Method and application to Fedspeak. (2022). Grotteria, Marco ; Gomez-Cram, Roberto. In: Journal of Financial Economics. RePEc:eee:jfinec:v:143:y:2022:i:3:p:993-1025.

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2022Pricing of index options in incomplete markets. (2022). Freire, Gustavo ; Almeida, Caio. In: Journal of Financial Economics. RePEc:eee:jfinec:v:144:y:2022:i:1:p:174-205.

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2022Time-varying risk of nominal bonds: How important are macroeconomic shocks?. (2022). Ermolov, Andrey. In: Journal of Financial Economics. RePEc:eee:jfinec:v:145:y:2022:i:1:p:1-28.

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2021Cross-stock market spillovers through variance risk premiums and equity flows. (2021). SHIM, ILHYOCK ; Sugihara, Yoshihiko ; Hattori, Masazumi. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:119:y:2021:i:c:s0261560621001315.

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

Works by Mikhail Chernov:


YearTitleTypeCited
2003Iterative and Recursive Estimation in Structural Nonadaptive Models: Comment. In: Journal of Business & Economic Statistics.
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article0
2007On the Role of Risk Premia in Volatility Forecasting In: Journal of Business & Economic Statistics.
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2019Determinants of Asia-Pacific government bond yields In: BIS Papers chapters.
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2021Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds In: BIS Working Papers.
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2020Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds.(2020) In: CEPR Discussion Papers.
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2020Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds.(2020) In: NBER Working Papers.
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2007Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11 In: Journal of Finance.
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2007Model Specification and Risk Premia: Evidence from Futures Options In: Journal of Finance.
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article233
2011Disasters Implied by Equity Index Options In: Journal of Finance.
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article129
2009Disasters implied by equity index options.(2009) In: CEPR Discussion Papers.
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paper
2009Disasters implied by equity index options.(2009) In: NBER Working Papers.
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paper
2009Disasters Implied by Equity Index Options.(2009) In: Working Papers.
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paper
2014Sources of Entropy in Representative Agent Models In: Journal of Finance.
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article64
2011Sources of entropy in representative agent models.(2011) In: CEPR Discussion Papers.
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paper
2011Sources of Entropy in Representative Agent Models.(2011) In: NBER Working Papers.
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2011Sources of Entropy in Representative Agent Models.(2011) In: Working Papers.
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2020A Macrofinance View of U.S. Sovereign CDS Premiums In: Journal of Finance.
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2016A Macrofinance View of U.S. Sovereign CDS Premiums.(2016) In: CEPR Discussion Papers.
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2016A macrofinance view of US Sovereign CDS premiums.(2016) In: 2016 Meeting Papers.
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2021Interest Rate Skewness and Biased Beliefs In: CESifo Working Paper Series.
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paper5
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2021Interest rate skewness and biased beliefs.(2021) In: IMFS Working Paper Series.
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2002Alternative Models for Stock Price Dynamics In: CIRANO Working Papers.
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paper448
2002Alternative Models for Stock Price Dynamic.(2002) In: Working Papers.
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2003Alternative models for stock price dynamics.(2003) In: Journal of Econometrics.
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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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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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2016Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities In: CEPR Discussion Papers.
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paper14
2016Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities.(2016) In: NBER Working Papers.
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2018Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities.(2018) In: Review of Financial Studies.
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2016Term structures of asset prices and returns In: CEPR Discussion Papers.
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2018Term structures of asset prices and returns.(2018) In: Journal of Financial Economics.
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2016Term structures of asset prices and returns.(2016) In: Staff Reports.
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2016Term Structures of Asset Prices and Returns.(2016) In: NBER Working Papers.
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2016Term structures of asset prices and returns.(2016) In: Working Papers.
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2018Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads In: CEPR Discussion Papers.
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2018Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads.(2018) In: NBER Working Papers.
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2018Multihorizon Currency Returns and Purchasing Power Parity In: CEPR Discussion Papers.
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2018Multihorizon Currency Returns and Purchasing Power Parity.(2018) In: NBER Working Papers.
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2018International yield curves and currency puzzles In: CEPR Discussion Papers.
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2018International Yield Curves and Currency Puzzles.(2018) In: NBER Working Papers.
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2018Conditional dynamics and the multi-horizon risk-return trade-off In: CEPR Discussion Papers.
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2018Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off.(2018) In: NBER Working Papers.
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2022Conditional Dynamics and the Multihorizon Risk-Return Trade-Off.(2022) In: Review of Financial Studies.
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2019Benchmark interest rates when the government is risky In: CEPR Discussion Papers.
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2021Benchmark interest rates when the government is risky.(2021) In: Journal of Financial Economics.
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2019Benchmark Interest Rates When the Government is Risky.(2019) In: NBER Working Papers.
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2020The term structure of CIP violations In: CEPR Discussion Papers.
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2020The term structure of CIP violations.(2020) In: NBER Working Papers.
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2020Pricing Currency Risks In: CEPR Discussion Papers.
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2020Pricing Currency Risks.(2020) In: NBER Working Papers.
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2007Understanding Index Option Returns In: CEPR Discussion Papers.
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2009Understanding Index Option Returns.(2009) In: Review of Financial Studies.
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2008The Term Structure of Inflation Expectations In: CEPR Discussion Papers.
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2012The term structure of inflation expectations.(2012) In: Journal of Financial Economics.
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2008The Term Structure of Inflation Expectations.(2008) In: 2008 Meeting Papers.
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2008Monetary Policy Regimes and the Term Structure of Interest Rates In: CEPR Discussion Papers.
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paper51
2013Monetary policy regimes and the term structure of interest rates.(2013) In: Journal of Econometrics.
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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
2013CDS Auctions.(2013) In: Review of Financial Studies.
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2012Sources of Risk in Currency Returns In: CEPR Discussion Papers.
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paper7
2013Identifying Taylor rules in macro-finance models In: CEPR Discussion Papers.
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paper3
2013Identifying Taylor Rules in Macro-Finance Models.(2013) In: NBER Working Papers.
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2013Identifying Taylor Rules in Macro-finance Models.(2013) In: Working Papers.
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2018Crash Risk in Currency Returns In: Journal of Financial and Quantitative Analysis.
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article43
2012Crash Risk in Currency Returns.(2012) In: 2012 Meeting Papers.
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paper
2003Empirical reverse engineering of the pricing kernel In: Journal of Econometrics.
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2007Efficient estimation of general dynamic models with a continuum of moment conditions In: Journal of Econometrics.
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article58
2010No-arbitrage macroeconomic determinants of the yield curve In: Journal of Econometrics.
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article66
2010No-arbitrage macroeconomic determinants of the yield curve.(2010) In: Post-Print.
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paper
2000A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation In: Journal of Financial Economics.
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article240
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
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2021Non-Standard Errors.(2021) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2021Non-Standard Errors.(2021) In: Post-Print.
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2021Non-Standard Errors.(2021) In: Working Papers.
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2009Unspanned Stochastic Volatility in Affine Models: Evidence from Eurodollar Futures and Options In: Management Science.
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article24
2015Arginylation regulates purine nucleotide biosynthesis by enhancing the activity of phosphoribosyl pyrophosphate synthase In: Nature Communications.
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2021Monetary Policy Risk: Rules vs. Discretion In: NBER Working Papers.
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2021The Real Channel for Nominal Bond-Stock Puzzles In: NBER Working Papers.
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2011Yield Curve and Volatility: Lessons from Eurodollar Futures and Options In: The Journal of Financial Econometrics.
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article15
2021The PPP View of Multihorizon Currency Risk Premiums In: Review of Financial Studies.
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article3
2010Sources of entropy in representative agent models of asset pricing In: 2010 Meeting Papers.
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