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

19

i10 index

1461

Citations

RESEARCH PRODUCTION:

20

Articles

43

Papers

1

Chapters

RESEARCH ACTIVITY:

   21 years (1998 - 2019). See details.
   Cites by year: 69
   Journals where Mikhail Chernov has often published
   Relations with other researchers
   Recent citing documents: 183.    Total self citations: 32 (2.14 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pch756
   Updated: 2020-05-23    RAS profile: 2020-05-27    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Boyarchenko, Nina (5)

Creal, Drew (4)

Augustin, Patrick (3)

Backus, David (3)

Song, Dongho (3)

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 (21)

Diebold, Francis (20)

Caporin, Massimiliano (18)

Shephard, Neil (17)

Garcia, René (16)

Santa-Clara, Pedro (15)

Cites to:

Singleton, Kenneth (37)

Tauchen, George (29)

Gallant, A. (29)

Hansen, Lars (28)

Duffie, Darrell (20)

Ghysels, Eric (18)

Ang, Andrew (16)

Renault, Eric (14)

Zin, Stanley (13)

Ait-Sahalia, Yacine (13)

Andersen, Torben (11)

Main data


Where Mikhail Chernov has published?


Journals with more than one article published# docs
Journal of Econometrics5
Journal of Finance4
Journal of Financial Economics3
Review of Financial Studies3
Journal of Business & Economic Statistics2

Recent works citing Mikhail Chernov (2019 and 2018)


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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Assessing predictive accuracy in panel data models with long-range dependence. (2019). Christensen, Bent Jesper ; Borup, Daniel ; Ergemen, Yunus Emre. In: CREATES Research Papers. RePEc:aah:create:2019-04.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?. (2019). Verdelhan, Adrien ; Lustig, Hanno. In: American Economic Review. RePEc:aea:aecrev:v:109:y:2019:i:6:p:2208-44.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Potential Growth and Natural Yield Curve in Japan. (2019). Vaccaro-Grange, Etienne ; Rhouzlane, Meryem ; Dufrenot, Gilles. In: AMSE Working Papers. RePEc:aim:wpaimx:1912.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019A 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

2019An 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

2019Consistent and Efficient Pricing of SPX and VIX Options under Multiscale Stochastic Volatility. (2019). Huh, Jeonggyu ; Kim, Geonwoo ; Jeon, Jaegi. In: Papers. RePEc:arx:papers:1909.10187.

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). Murialdo, Pietro ; Carbone, Anna ; Ponta, Linda. 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). Surya, Budhi ; Zhou, Xiaowen ; Zhao, Xianghua ; Wang, Wenyuan. In: Papers. RePEc:arx:papers:2005.09214.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2018Does sovereign risk in local and foreign currency differ?. (2018). Amstad, Marlene ; Shek, Jimmy ; Packer, Frank. In: BIS Working Papers. RePEc:bis:biswps:709.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Benchmark interest rates when the government is risky. (2019). Schmid, Lukas ; Chernov, Mikhail ; Augustin, Patrick ; Song, Dongo . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14105.

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

2019Score-driven time series models with dynamic shape : an application to the Standard & Poors 500 index. (2019). Escribano, Alvaro ; Blazsek, Szabolcs ; Ayala, Astrid ; Saez, Alvaro Escribano. In: UC3M Working papers. Economics. RePEc:cte:werepe:28133.

Full description at Econpapers || Download paper

2019Maximum likelihood estimation of score-driven models with dynamic shape parameters : an application to Monte Carlo value-at-risk. (2019). Blazsek, Szabolcs ; Ayala, Astrid ; Saez, Alvaro Escribano. In: UC3M Working papers. Economics. RePEc:cte:werepe:28638.

Full description at Econpapers || Download paper

2019Liquidation, fire sales, and acquirers’ private information. (2019). Shibata, Takashi ; Nishihara, Michi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:108:y:2019:i:c:s0165188919301666.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019External financial liabilities and real exchange rate jumps. (2019). Zhu, Jiaqing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:202-220.

Full description at Econpapers || Download paper

2019Improving volatility forecasting based on Chinese volatility index information: Evidence from CSI 300 index and futures markets. (2019). Li, Weiping ; Teng, Yuxin ; Qiao, Gaoxiu ; Liu, Wenwen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:49:y:2019:i:c:p:133-151.

Full description at Econpapers || Download paper

2019Firm characteristics and jump dynamics in stock prices around earnings announcements. (2019). Qi, John ; Zhou, Haigang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940819302980.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019The influence of shock signals on the change in volatility term structure. (2019). CHOI, SUN-YONG . In: Economics Letters. RePEc:eee:ecolet:v:183:y:2019:i:c:29.

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

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects. (2019). Gagliardini, Patrick ; Gourieroux, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:613-637.

Full description at Econpapers || Download paper

2019Bayesian estimation of dynamic asset pricing models with informative observations. (2019). Li, Junye ; Fulop, Andras. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:1:p:114-138.

Full description at Econpapers || Download paper

2019Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book. (2019). Winkelmann, Lars ; Neely, Christopher ; Bibinger, Markus. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:158-184.

Full description at Econpapers || Download paper

2019The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing. (2019). Veliyev, Bezirgen ; Thyrsgaard, Martin ; Christensen, Kim. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:556-583.

Full description at Econpapers || Download paper

2019Simulated likelihood estimators for discretely observed jump–diffusions. (2019). Schwenkler, G ; Giesecke, K. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:2:p:297-320.

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). Hounyo, Ulrich ; Varneskov, Rasmus T. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:1-34.

Full description at Econpapers || Download paper

2019Particle filtering, learning, and smoothing for mixed-frequency state-space models. (2019). Yang, Hanlin ; Leippold, Markus. In: Econometrics and Statistics. RePEc:eee:ecosta:v:12:y:2019:i:c:p:25-41.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

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

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Isolating the disaster risk premium with equity options. (2019). Horvath, Jaroslav. In: Journal of Empirical Finance. RePEc:eee:empfin:v:51:y:2019:i:c:p:138-148.

Full description at Econpapers || Download paper

2019Cross-sectional return dispersion and currency momentum. (2019). Eriksen, Jonas. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:91-108.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Pricing dynamics of natural gas futures. (2019). Li, Bingxin. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:91-108.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Suboptimal investment behavior and welfare costs: A simulation based approach. (2019). Reus, Lorenzo ; Castaeda, Pablo . In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:170-180.

Full description at Econpapers || Download paper

2019Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market. (2019). Skiadopoulos, George ; Neumann, Michael ; Konstantinidi, Eirini ; Kapetanios, George. In: Journal of Financial Markets. RePEc:eee:finmar:v:46:y:2019:i:c:s1386418118300168.

Full description at Econpapers || Download paper

2019The information content of short-term options. (2019). Simen, Chardin Wese ; Symeonidis, Lazaros ; Stancu, Andrei ; Oikonomou, Ioannis. In: Journal of Financial Markets. RePEc:eee:finmar:v:46:y:2019:i:c:s1386418118303057.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Unexploited currency carry trade profit opportunity. (2019). Suh, Sangwon. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:236-254.

Full description at Econpapers || Download paper

2020No-arbitrage determinants of credit spread curves under the unconventional monetary policy regime in Japan. (2020). Okimoto, Tatsuyoshi ; Takaoka, Sumiko. 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

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Approximate Bayesian forecasting. (2019). , Brendan ; Martin, Gael M ; Maneesoonthorn, Worapree ; Frazier, David T. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:521-539.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Price discrimination against retail Investors: Evidence from mini options. (2019). Zhong, Zhaodong ; Zhao, Chen ; Li, Yubin . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:106:y:2019:i:c:p:50-64.

Full description at Econpapers || Download paper

2019Explaining CDS prices with Merton’s model before and after the Lehman default. (2019). Marra, Miriam ; Gemmill, Gordon . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:106:y:2019:i:c:p:93-109.

Full description at Econpapers || Download paper

2019Endogenous asymmetric money illusion. (2019). Saporito, Yuri F ; Duarte, Diogo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:109:y:2019:i:c:s0378426619302559.

Full description at Econpapers || Download paper

2019Stock vs. Bond yields and demographic fluctuations. (2019). Morin, Annaig ; Gozluklu, Arie . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:109:y:2019:i:c:s0378426619302572.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019The impact of jumps on carry trade returns. (2019). Wang, Minho ; Lee, Suzanne S. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:2:p:433-455.

Full description at Econpapers || Download paper

2019Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets. (2019). Leippold, Markus ; Gourier, Elise ; Bardgett, Chris. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:3:p:593-618.

Full description at Econpapers || Download paper

2019Private information in currency markets. (2019). Nishiotis, George ; Milidonis, Andreas ; Michaelides, Alexander. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:3:p:643-665.

Full description at Econpapers || Download paper

2019Bear beta. (2019). Murray, Scott ; Lu, Zhongjin . In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:3:p:736-760.

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]
article56
2019Determinants of Asia-Pacific government bond yields In: BIS Papers chapters.
[Full Text][Citation analysis]
chapter0
2007Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11 In: Journal of Finance.
[Full Text][Citation analysis]
article51
2007Model Specification and Risk Premia: Evidence from Futures Options In: Journal of Finance.
[Full Text][Citation analysis]
article167
2011Disasters Implied by Equity Index Options In: Journal of Finance.
[Full Text][Citation analysis]
article103
2009Disasters implied by equity index options.(2009) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 103
paper
2009Disasters implied by equity index options.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 103
paper
2009Disasters Implied by Equity Index Options.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 103
paper
2014Sources of Entropy in Representative Agent Models In: Journal of Finance.
[Full Text][Citation analysis]
article36
2011Sources of entropy in representative agent models.(2011) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 36
paper
2011Sources of Entropy in Representative Agent Models.(2011) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 36
paper
2011Sources of Entropy in Representative Agent Models.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 36
paper
2002Alternative Models for Stock Price Dynamics In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper391
2002Alternative Models for Stock Price Dynamic.(2002) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 391
paper
2003Alternative models for stock price dynamics.(2003) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 391
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]
paper3
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: 3
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: 3
article
2016Term structures of asset prices and returns In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper10
2018Term structures of asset prices and returns.(2018) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
article
2016Term Structures of Asset Prices and Returns.(2016) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
paper
2016Term structures of asset prices and returns.(2016) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
paper
2016A Macrofinance View of U.S. Sovereign CDS Premiums In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper1
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
2018Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper8
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: 8
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]
paper0
2018International Yield Curves and Currency Puzzles.(2018) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
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
2007Understanding Index Option Returns In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper68
2009Understanding Index Option Returns.(2009) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 68
article
2008The Term Structure of Inflation Expectations In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper96
2012The term structure of inflation expectations.(2012) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 96
article
2008The Term Structure of Inflation Expectations.(2008) In: 2008 Meeting Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 96
paper
2008Monetary Policy Regimes and the Term Structure of Interest Rates In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper40
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: 40
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: 40
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]
article17
2012Crash Risk in Currency Returns.(2012) In: 2012 Meeting Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17
paper
2003Empirical reverse engineering of the pricing kernel In: Journal of Econometrics.
[Full Text][Citation analysis]
article10
2007Efficient estimation of general dynamic models with a continuum of moment conditions In: Journal of Econometrics.
[Full Text][Citation analysis]
article47
2010No-arbitrage macroeconomic determinants of the yield curve In: Journal of Econometrics.
[Full Text][Citation analysis]
article53
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]
article186
2016Term structures of asset prices and returns In: Staff Reports.
[Full Text][Citation analysis]
paper3
2010No-arbitrage macroeconomic determinants of the yield curve In: Post-Print.
[Full Text][Citation analysis]
paper26
2009Unspanned Stochastic Volatility in Affine Models: Evidence from Eurodollar Futures and Options In: Management Science.
[Full Text][Citation analysis]
article17
2013Identifying monetary policy in macro-finance models In: NBER Working Papers.
[Full Text][Citation analysis]
paper2
2019Benchmark Interest Rates When the Government is Risky In: NBER Working Papers.
[Full Text][Citation analysis]
paper0
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 May, 3 2020. Contact: CitEc Team