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

18

i10 index

1375

Citations

RESEARCH PRODUCTION:

20

Articles

42

Papers

1

Chapters

RESEARCH ACTIVITY:

   20 years (1998 - 2018). See details.
   Cites by year: 68
   Journals where Mikhail Chernov has often published
   Relations with other researchers
   Recent citing documents: 126.    Total self citations: 30 (2.14 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pch756
   Updated: 2019-10-06    RAS profile: 2019-08-12    
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Relations with other researchers


Works with:

Boyarchenko, Nina (4)

Backus, David (3)

Creal, Drew (3)

Song, Dongho (2)

Augustin, Patrick (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)

Diebold, Francis (20)

Bekaert, Geert (19)

Caporin, Massimiliano (18)

Shephard, Neil (17)

Tauchen, George (15)

Santa-Clara, Pedro (15)

Cites to:

Singleton, Kenneth (34)

Gallant, A. (29)

Tauchen, George (29)

Hansen, Lars (24)

Ghysels, Eric (18)

Duffie, Darrell (16)

Ait-Sahalia, Yacine (16)

Renault, Eric (14)

Ang, Andrew (13)

Andersen, Torben (13)

Zin, Stanley (11)

Main data


Where Mikhail Chernov has published?


Journals with more than one article published# docs
Journal of Econometrics5
Journal of Finance4
Review of Financial Studies3
Journal of Financial Economics3
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.

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2018The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing. (2018). Veliyev, Bezirgen ; Thyrsgaard, Martin ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2018-19.

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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.

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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.

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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.

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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.

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

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

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

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

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2018Parisian excursion below a fixed level from the last record maximum of Levy insurance risk process. (2018). Surya, B A. In: Papers. RePEc:arx:papers:1806.02083.

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

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

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2019The 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.

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2018Monetary Policy after the Crisis: Threat or Opportunity to Hedge Funds Alphas?. (2018). Guidolin, Massimo ; Pedio, Manuela ; Berglund, Alexander. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1884.

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

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2018Cross-stock market spillovers through variance risk premiums and equity flows. (2018). SHIM, ILHYOCK ; Sugihara, Yoshihiko ; Hattori, Masazumi. In: BIS Working Papers. RePEc:bis:biswps:702.

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

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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.

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2018FACTOR MODELS AND TIME†VARYING PARAMETER FRAMEWORK FOR FORECASTING EXCHANGE RATES AND INFLATION: A SURVEY. (2018). Mokhtari, Manouchehr ; Kavtaradze, Lasha. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:2:p:302-334.

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

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

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

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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.

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2018Dynamic derivative strategies with stochastic interest rates and model uncertainty. (2018). Escobar, Marcos ; Rubtsov, Alexey ; Ferrando, Sebastian. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:49-71.

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2018Level and slope of volatility smiles in long-run risk models. (2018). Branger, Nicole ; Schlag, Christian ; Rodrigues, Paulo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:95-122.

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2018Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility. (2018). Zeng, Yan ; Yang, Zhou ; Chen, Zheng ; Li, Danping. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:88:y:2018:i:c:p:70-103.

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2018Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns. (2018). Kaeck, Andreas ; Seeger, Norman J ; Rodrigues, Paulo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:1-29.

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2018Dynamic bankruptcy procedure with asymmetric information between insiders and outsiders. (2018). Shibata, Takashi ; Nishihara, Michi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:118-137.

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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.

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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.

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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.

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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.

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

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2018Resolution of policy uncertainty and sudden declines in volatility. (2018). Amengual, Dante ; Xiu, Dacheng. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:297-315.

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

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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.

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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.

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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.

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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.

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2018A stochastic model with interacting managerial operating options and debt rescheduling. (2018). Charalambides, Marios ; Koussis, Nicos. In: European Journal of Operational Research. RePEc:eee:ejores:v:267:y:2018:i:1:p:236-249.

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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.

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2018Volatility in equity markets and monetary policy rate uncertainty. (2018). Roberts-Sklar, Matt ; Kaminska, Iryna . In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:68-83.

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2018Simulating historical inflation-linked bond returns. (2018). Swinkels, Laurens. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:374-389.

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2018Macroeconomic determinants of the term structure: Long-run and short-run dynamics. (2018). Doshi, Hitesh ; Liu, Rui ; Jacobs, Kris. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:99-122.

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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.

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2018A generalized Schwartz model for energy spot prices — Estimation using a particle MCMC method. (2018). Brix, Anne Floor ; Wei, Wei ; Lunde, Asger. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:560-582.

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2018Risk-neutral moments in the crude oil market. (2018). Ruan, Xinfeng ; Zhang, Jin E. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:583-600.

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

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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.

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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.

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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.

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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.

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2017Volatility measures and Value-at-Risk. (2017). Bams, Dennis ; Blanchard, Gildas ; Lehnert, Thorsten. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:848-863.

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

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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.

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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.

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2018Estimating risk-return relations with analysts price targets. (2018). Wu, Liuren. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:93:y:2018:i:c:p:183-197.

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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.

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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.

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2018Smiling twice: The Heston++ model. (2018). Pacati, Claudio ; Reno, Roberto ; Pompa, Gabriele . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:185-206.

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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.

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2018Doubts and variability: A robust perspective on exotic consumption series. (2018). Bidder, Rhys ; Smith, M E. In: Journal of Economic Theory. RePEc:eee:jetheo:v:175:y:2018:i:c:p:689-712.

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2018Can financial innovation succeed by catering to behavioral preferences? Evidence from a callable options market. (2018). Li, Xindan ; Yang, Xuewei ; Subrahmanyam, Avanidhar. In: Journal of Financial Economics. RePEc:eee:jfinec:v:128:y:2018:i:1:p:38-65.

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2018Interest rate volatility, the yield curve, and the macroeconomy. (2018). Joslin, Scott ; Konchitchki, Yaniv. In: Journal of Financial Economics. RePEc:eee:jfinec:v:128:y:2018:i:2:p:344-362.

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2018Spillovers from good-news and other bankruptcies: Real effects and price responses. (2018). Baranchuk, Nina ; Rebello, Michael J. In: Journal of Financial Economics. RePEc:eee:jfinec:v:129:y:2018:i:2:p:228-249.

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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.

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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.

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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.

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

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2019An anatomy of the market return. (2019). Schneider, Paul. In: Journal of Financial Economics. RePEc:eee:jfinec:v:132:y:2019:i:2:p:325-350.

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2019Gold, platinum, and expected stock returns. (2019). Kilic, Mete ; Huang, Darien. In: Journal of Financial Economics. RePEc:eee:jfinec:v:132:y:2019:i:3:p:50-75.

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2019Optimal capital structure and bankruptcy choice: Dynamic bargaining versus liquidation. (2019). Grenadier, Steven R ; Antill, Samuel. In: Journal of Financial Economics. RePEc:eee:jfinec:v:133:y:2019:i:1:p:198-224.

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2018The eurozone (expected) inflation: An options eyes view. (2018). Ibáñez, Alfredo ; Gimeno, Ricardo ; Ibaez, Alfredo. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:86:y:2018:i:c:p:70-92.

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2019VIX derivatives: Valuation models and empirical evidence. (2019). Yu, Min-Teh ; Wang, Yaw-Huei ; Shih, Pai-Ta ; Lo, Chien-Ling. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:53:y:2019:i:c:p:1-21.

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2019Planetary boundaries of consumption growth: Declining social discount rates. (2019). Katz, Yuri A ; Gluzberg, Victor E. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:521:y:2019:i:c:p:362-374.

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2019Pricing formula for European currency option and exchange option in a generalized jump mixed fractional Brownian motion with time-varying coefficients. (2019). Ri, Ju-Hyuang ; Kim, Nam-Ung ; Yun, Sim. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:522:y:2019:i:c:p:215-231.

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2018Interest rate volatility and risk management: Evidence from CBOE Treasury options. (2018). Markellos, Raphael N ; Psychoyios, Dimitris. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:68:y:2018:i:c:p:190-202.

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2018Yield curve interactions with the macroeconomic factors during global financial crisis among Asian markets. (2018). Sowmya, Subramaniam ; Prasanna, Krishna. In: International Review of Economics & Finance. RePEc:eee:reveco:v:54:y:2018:i:c:p:178-192.

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2018On profitability of volatility trading on S&P 500 equity index options: The role of trading frictions. (2018). Hong, Hui ; Yang, Jingjing ; Sung, Hao-Chang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:55:y:2018:i:c:p:295-307.

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2018Variance risk premium and equity returns. (2018). Papadamou, Stephanos ; Fassas, Athanasios P. In: Research in International Business and Finance. RePEc:eee:riibaf:v:46:y:2018:i:c:p:462-470.

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2019The quanto theory of exchange rates. (2018). Martin, Ian ; Kremens, Lukas . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:89839.

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2019Market-Based Monetary Policy Uncertainty. (2019). Mueller, Philippe ; Lakdawala, Aeimit ; Bauer, Michael. In: Working Paper Series. RePEc:fip:fedfwp:2019-12.

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2019US Equity Tail Risk and Currency Risk Premia. (2019). Xiao, Xiao ; Londono, Juan M ; Fan, Zhenzhen. In: International Finance Discussion Papers. RePEc:fip:fedgif:1253.

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2019Potential Growth and Natural Yield Curve in Japan. (2019). Vaccaro-Grange, Etienne ; Rhouzlane, Meryem ; Dufrenot, Gilles. In: Working Papers. RePEc:hal:wpaper:halshs-02091035.

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

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

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

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

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2018Does Sovereign Risk in Local and Foreign Currency Differ?. (2018). Amstad, Marlene ; Shek, Jimmy ; Packer, Frank. In: IMES Discussion Paper Series. RePEc:ime:imedps:18-e-01.

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2018Initial Jump and Recovering Jump in the S&P 500 Index Returns: A Jump-Recovering-Switching Approach. (2018). Lai, Yi-Hao ; Chung, Wei-Shih ; Wang, Yi-Chiuan. In: Journal of Economics and Management. RePEc:jec:journl:v:14:y:2018:i:1:p:51-66.

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2018The pricing kernel puzzle: survey and outlook. (2018). Cuesdeanu, Horatio ; Jackwerth, Jens Carsten. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:3:d:10.1007_s10436-017-0317-9.

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2018Estimation of Dynamic Mixed Hitting Time Model Using Characteristic Function Based Moments. (2018). Purwono, Yogo ; Husodo, Zaafri Ananto ; Ekaputra, Irwan Adi . In: Computational Economics. RePEc:kap:compec:v:51:y:2018:i:2:d:10.1007_s10614-017-9692-6.

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2019Quanto Option Pricing with Lévy Models. (2019). Park, Jiho ; Fabozzi, Frank J ; Kim, Young S ; Fallahgoul, Hasan A. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:3:d:10.1007_s10614-018-9807-8.

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2019Debt rollover-induced local volatility model. (2019). Sokolinskiy, Oleg. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:52:y:2019:i:4:d:10.1007_s11156-018-0736-3.

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2018Volatility-Induced Stationarity and Error-Correction in Macro-Finance Term Structure Modeling. (2018). Hansen, Anne Lundgaard. In: Discussion Papers. RePEc:kud:kuiedp:1812.

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2018Approximate Bayesian forecasting. (2018). McCabe, Brendan ; Martin, Gael M ; Maneesoonthorn, Worapree ; Frazier, David T. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2018-2.

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2018Real-time forecasting with macro-finance models in the presence of a zero lower bound. (2018). Krippner, Leo ; Lewis, Michelle. In: Reserve Bank of New Zealand Discussion Paper Series. RePEc:nzb:nzbdps:2018/4.

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

Works by Mikhail Chernov:


YearTitleTypeCited
2003Iterative and Recursive Estimation in Structural Nonadaptive Models: Comment. In: Journal of Business & Economic Statistics.
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2007On the Role of Risk Premia in Volatility Forecasting In: Journal of Business & Economic Statistics.
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article54
2019Determinants of Asia-Pacific government bond yields In: BIS Papers chapters.
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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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article49
2007Model Specification and Risk Premia: Evidence from Futures Options In: Journal of Finance.
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article156
2011Disasters Implied by Equity Index Options In: Journal of Finance.
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article101
2009Disasters implied by equity index options.(2009) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 101
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2009Disasters implied by equity index options.(2009) In: NBER Working Papers.
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This paper has another version. Agregated cites: 101
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2009Disasters Implied by Equity Index Options.(2009) In: Working Papers.
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This paper has another version. Agregated cites: 101
paper
2014Sources of Entropy in Representative Agent Models In: Journal of Finance.
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article32
2011Sources of entropy in representative agent models.(2011) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 32
paper
2011Sources of Entropy in Representative Agent Models.(2011) In: NBER Working Papers.
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This paper has another version. Agregated cites: 32
paper
2011Sources of Entropy in Representative Agent Models.(2011) In: Working Papers.
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This paper has another version. Agregated cites: 32
paper
2002Alternative Models for Stock Price Dynamics In: CIRANO Working Papers.
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paper378
2002Alternative Models for Stock Price Dynamic.(2002) In: Working Papers.
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paper
2003Alternative models for stock price dynamics.(2003) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 378
article
2003Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions In: CIRANO Working Papers.
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paper9
2002Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions.(2002) In: IDEI Working Papers.
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This paper has another version. Agregated cites: 9
paper
1998What Data Should Be Used to Price Options? In: CIRANO Working Papers.
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paper8
1999A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation In: CIRANO Working Papers.
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paper24
2016Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities In: CEPR Discussion Papers.
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paper2
2016Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities.(2016) In: NBER Working Papers.
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This paper has another version. Agregated cites: 2
paper
2018Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities.(2018) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 2
article
2016Term structures of asset prices and returns In: CEPR Discussion Papers.
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paper12
2018Term structures of asset prices and returns.(2018) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 12
article
2016Term structures of asset prices and returns.(2016) In: Staff Reports.
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This paper has another version. Agregated cites: 12
paper
2016Term Structures of Asset Prices and Returns.(2016) In: NBER Working Papers.
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This paper has another version. Agregated cites: 12
paper
2016Term structures of asset prices and returns.(2016) In: Working Papers.
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This paper has another version. Agregated cites: 12
paper
2016A Macrofinance View of U.S. Sovereign CDS Premiums In: CEPR Discussion Papers.
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2016A macrofinance view of US Sovereign CDS premiums.(2016) In: 2016 Meeting Papers.
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This paper has another version. Agregated cites: 0
paper
2018Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads In: CEPR Discussion Papers.
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paper7
2018Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads.(2018) In: NBER Working Papers.
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This paper has another version. Agregated cites: 7
paper
2018Multihorizon Currency Returns and Purchasing Power Parity In: CEPR Discussion Papers.
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2018Multihorizon Currency Returns and Purchasing Power Parity.(2018) In: NBER Working Papers.
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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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This paper has another version. Agregated cites: 0
paper
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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This paper has another version. Agregated cites: 0
paper
2007Understanding Index Option Returns In: CEPR Discussion Papers.
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paper63
2009Understanding Index Option Returns.(2009) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 63
article
2008The Term Structure of Inflation Expectations In: CEPR Discussion Papers.
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paper90
2012The term structure of inflation expectations.(2012) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 90
article
2008The Term Structure of Inflation Expectations.(2008) In: 2008 Meeting Papers.
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This paper has another version. Agregated cites: 90
paper
2008Monetary Policy Regimes and the Term Structure of Interest Rates In: CEPR Discussion Papers.
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paper40
2013Monetary policy regimes and the term structure of interest rates.(2013) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 40
article
2009Monetary Policy Regimes and the Term Structure of Interest Rates.(2009) In: 2009 Meeting Papers.
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This paper has another version. Agregated cites: 40
paper
2011CDS Auctions In: CEPR Discussion Papers.
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paper3
2011CDS Auctions.(2011) In: FMG Discussion Papers.
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This paper has another version. Agregated cites: 3
paper
2013CDS Auctions.(2013) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 3
article
2012Sources of Risk in Currency Returns In: CEPR Discussion Papers.
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paper7
2013Identifying Taylor rules in macro-finance models In: CEPR Discussion Papers.
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paper2
2013Identifying Taylor Rules in Macro-finance Models.(2013) In: Working Papers.
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This paper has another version. Agregated cites: 2
paper
2018Crash Risk in Currency Returns In: Journal of Financial and Quantitative Analysis.
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article15
2012Crash Risk in Currency Returns.(2012) In: 2012 Meeting Papers.
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This paper has another version. Agregated cites: 15
paper
2003Empirical reverse engineering of the pricing kernel In: Journal of Econometrics.
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article10
2007Efficient estimation of general dynamic models with a continuum of moment conditions In: Journal of Econometrics.
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article45
2010No-arbitrage macroeconomic determinants of the yield curve In: Journal of Econometrics.
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article51
2010No-arbitrage macroeconomic determinants of the yield curve.(2010) In: Post-Print.
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This paper has another version. Agregated cites: 51
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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article183
2009Unspanned Stochastic Volatility in Affine Models: Evidence from Eurodollar Futures and Options In: Management Science.
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article17
2013Identifying monetary policy in macro-finance models In: NBER Working Papers.
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paper2
2011Yield Curve and Volatility: Lessons from Eurodollar Futures and Options In: Journal of Financial Econometrics.
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article15
2010Sources of entropy in representative agent models of asset pricing In: 2010 Meeting Papers.
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