Mikhail Chernov : Citation Profile

Are you Mikhail Chernov?

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

16

H index

24

i10 index

2064

Citations

RESEARCH PRODUCTION:

29

Articles

61

Papers

1

Chapters

RESEARCH ACTIVITY:

   25 years (1998 - 2023). See details.
   Cites by year: 82
   Journals where Mikhail Chernov has often published
   Relations with other researchers
   Recent citing documents: 83.    Total self citations: 47 (2.23 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pch756
   Updated: 2024-04-18    RAS profile: 2023-07-06    
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Relations with other researchers

Works with:

Creal, Drew (6)

Song, Dongho (5)

Holzmeister, Felix (4)

Hördahl, Peter (4)

Caporin, Massimiliano (4)

Dreber, Anna (4)

Ferrara, Gerardo (4)

Brownlees, Christian (4)

Chow, Nikolai Sheung-Chi (4)

FERROUHI, EL MEHDI (4)

Dumitrescu, Ariadna (4)

Colliard, Jean-Edouard (4)

Degryse, Hans (4)

Ait-Sahalia, Yacine (4)

Alexeev, Vitali (4)

Füllbrunn, Sascha (4)

Menkveld, Albert (4)

Deev, Oleg (4)

Deku, Solomon (4)

Abudy, Menachem (4)

Bohorquez Correa, Santiago (4)

Bjønnes, Geir (4)

CAPELLE-BLANCARD, Gunther (4)

Johannesson, Magnus (4)

Gerritsen, Dirk (4)

Gehrig, Thomas (4)

Adrian, Tobias (4)

Dimpfl, Thomas (4)

Frömmel, Michael (4)

Bauer, Michael (3)

Zhang, S. Sarah (2)

Foucault, Thierry (2)

Patton, Andrew (2)

Walther, Thomas (2)

Kearney, Fearghal (2)

Xia, Shuo (2)

Hautsch, Nikolaus (2)

Frijns, Bart (2)

Horenstein, Alex (2)

Sarno, Lucio (2)

Bouri, Elie (2)

Wong, Wing-Keung (2)

Pelizzon, Loriana (2)

Rakowski, David (2)

Roy, Saurabh (2)

Moinas, Sophie (2)

van Kervel, Vincent (2)

Voigt, Stefan (2)

Stefanova, Denitsa (2)

Sojli, Elvira (2)

Ranaldo, Angelo (2)

Schwarz, Marco (2)

Renault, Thomas (2)

Shachar, Or (2)

Smales, Lee (2)

He, Xuezhong (Tony) (2)

Mihet, Roxana (2)

Huang, Wenqian (2)

Bos, Charles (2)

Gil-Bazo, Javier (2)

Davies, Ryan (2)

Kassner, Bernhard (2)

Regis, Luca (2)

Roy, Saurabh (2)

Tonks, Ian (2)

Harris, Jeffrey (2)

Pasquariello, Paolo (2)

Lopez-Lira, Alejandro (2)

Talavera, Oleksandr (2)

Augustin, Patrick (2)

Putnins, Talis (2)

Lajaunie, Quentin (2)

Söderlind, Paul (2)

Patel, Vinay (2)

PASCUAL, ROBERTO (2)

Park, Andreas (2)

Pastor, Lubos (2)

Hurlin, Christophe (2)

Hjalmarsson, Erik (2)

Wilhelmsson, Anders (2)

Vogel, Sebastian (2)

Schenk-Hoppé, Klaus (2)

Vilkov, Grigory (2)

Jurkatis, Simon (2)

Prokopczuk, Marcel (2)

Jalkh, Naji (2)

LINTON, OLIVER (2)

Xiu, Dacheng (2)

Palan, Stefan (2)

Gorbenko, Arseny (2)

Heath, Davidson (2)

Scaillet, Olivier (2)

Liew, Chee (2)

Taylor, Nick (2)

Zviadadze, Irina (2)

Lof, Matthijs (2)

Rinne, Kalle (2)

Ødegaard, Bernt (2)

Zhou, Chen (2)

Reitz, Stefan (2)

Korajczyk, Robert (2)

Wolff, Christian (2)

Theissen, Erik (2)

Nielsson, Ulf (2)

Schuerhoff, Norman (2)

Verousis, Thanos (2)

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

Is cited by:

Asai, Manabu (34)

Bollerslev, Tim (30)

Andersen, Torben (28)

Bekaert, Geert (23)

Diebold, Francis (22)

Caporin, Massimiliano (19)

Garcia, René (19)

Shephard, Neil (17)

Santa-Clara, Pedro (16)

Martin, Gael (15)

Tauchen, George (15)

Cites to:

Singleton, Kenneth (51)

Gallant, A. (40)

Tauchen, George (39)

Hansen, Lars (38)

Duffie, Darrell (25)

Reis, Ricardo (21)

KRISHNAMURTHY, ARVIND (21)

Ghysels, Eric (20)

Andersen, Torben (18)

Campbell, John (16)

Duffee, Greg (15)

Main data

Where Mikhail Chernov has published?

Journals with more than one article published# docs
Journal of Finance7
The Review of Financial Studies6
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, Inc17
Post-Print / HAL2

Recent works citing Mikhail Chernov (2024 and 2023)

YearTitle of citing document
2023Oil Price Shocks and Bond Risk Premia: Evidence from a Panel of 15 Countries. (2023). Nersisyan, Liana ; Lyrio, Marco ; Iania, Leonardo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023002.

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2023A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

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2023Epstein-Zin Utility Maximization on Random Horizons. (2019). Huang, Yu-Jui ; Aurand, Joshua. In: Papers. RePEc:arx:papers:1903.08782.

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2024An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975.

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2023A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208.

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2023On 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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2023Dark Matter in (Volatility and) Equity Option Risk Premiums. (2023). Gao, Xiaohui ; Crosby, John ; Bakshi, Gurdip. In: Papers. RePEc:arx:papers:2303.16371.

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2024Volatility of Volatility and Leverage Effect from Options. (2023). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2305.04137.

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2023Valuation Duration of the Stock Market. (2023). Wang, Chen ; Li, YE. In: Papers. RePEc:arx:papers:2310.07110.

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2023Narrative-Driven Fluctuations in Sentiment: Evidence Linking Traditional and Social Media. (2023). Song, Wenting ; MacAulay, Alistair. In: Staff Working Papers. RePEc:bca:bocawp:23-23.

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2023Generalized Autoregressive Gamma Processes. (2023). Feunou, Bruno. In: Staff Working Papers. RePEc:bca:bocawp:23-40.

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2023.

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2023The cumulant risk premium. (2023). Todorov, Karamfil. In: BIS Working Papers. RePEc:bis:biswps:1128.

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2023.

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2023Mispricing in inflation markets. (2023). Pinter, Gabor ; Barria, Rodrigo. In: Bank of England working papers. RePEc:boe:boeewp:1034.

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2023Anticipating extreme losses using score-driven shape filters. (2023). Blazsek, Szabolcs ; Alvaro, Escribano ; Szabolcs, Blazsek ; Astrid, Ayala. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:4:p:449-484:n:1.

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2023Wavelet Coherence and Continuous Wavelet Transform - Implementation and Application to the Relationship between Exchange Rate and Oil Price for Importing and Exporting Countries. (2023). Aladwani, Jassim. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-04-54.

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2023The impact of delay: Evidence from formal out-of-court restructuring. (2023). Srhoj, Stjepan ; Filer, Randall ; Shapiro, Jacob N ; Kova, Dejan. In: Journal of Corporate Finance. RePEc:eee:corfin:v:78:y:2023:i:c:s0929119922001626.

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2023Secured and unsecured debt in creditor-friendly bankruptcy. (2023). Naqvi, Hassan ; Franois, Pascal. In: Journal of Corporate Finance. RePEc:eee:corfin:v:80:y:2023:i:c:s0929119923000627.

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2023Monetary policy and the term structure of inflation expectations with information frictions. (2023). McNeil, James. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002913.

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2023On the role of interest rate differentials in the dynamic asymmetry of exchange rates. (2023). Ulm, M ; Hambuckers, J. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s0264999323003668.

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2023Who speaks louder, financial instruments or credit rating agencies? Analyzing the effects of different sovereign risk measures on interest rates in Brazil. (2023). Neves, Joo Pedro ; Montes, Gabriel Caldas. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000566.

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2023A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:416-444.

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2023Intraday cross-sectional distributions of systematic risk. (2023). Andersen, Torben ; Todorov, Viktor ; Thyrsgaard, Martin ; Riva, Raul. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1394-1418.

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2023Structural VAR models in the Frequency Domain. (2023). Pelgrin, Florian ; Guay, Alain. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001604.

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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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2023A jumping index of jumping stocks? An MCMC analysis of continuous-time models for individual stocks. (2023). Seeger, Norman J ; Schlag, Christian ; Rodrigues, Paulo ; Pollastri, Alessandro. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:322-341.

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2023Expected returns and risk in the stock market. (2023). Taylor, Alex P ; Brennan, M J. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:276-300.

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2023Corporate investment, financing, and exit model with an earnings-based borrowing constraint. (2023). Shibata, Takashi ; Zhang, Chuanqian ; Nishihara, Michi. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004069.

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2023Good volatility, bad volatility, and the cross section of cryptocurrency returns. (2023). Zhao, Ran ; Zhang, Zehua. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002284.

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2023Generalized two-barrier proportional step options. (2023). Li, Xin. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005864.

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2023The mitigation role of corporate sustainability: Evidence from the CDS spread. (2023). la Rosa, Giovanni ; Galloppo, Giuseppe ; Caiazza, Stefano. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322007371.

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2023Robust leverage choice of hedge funds with rare disasters. (2023). Luo, Deqing ; Yan, Qianhui ; Mu, Congming. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323000636.

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2023Forced conversion to Chapter 7 bankruptcy and optimal financial decisions. (2023). Kim, Hwa-Sung. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323000910.

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2023A Bayesian analysis of time-varying jump risk in S&P 500 returns and options. (2023). Luo, Dan ; Carverhill, Andrew. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000751.

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2023The disappearing profitability of volatility-managed equity factors. (2023). Angelidis, Timotheos ; Tessaromatis, Nikolaos. In: Journal of Financial Markets. RePEc:eee:finmar:v:65:y:2023:i:c:s1386418123000551.

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2023Option Returns, Risk Premiums, and Demand Pressure in Energy Markets. (2023). Li, Bingxin ; Jacobs, Kris. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002679.

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2023GARCH option pricing with volatility derivatives. (2023). Park, Yang-Ho ; Oh, Dong Hwan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002989.

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2023The Pricing of Skewness Over Different Return Horizons. (2023). Arisoy, Eser Y ; Aretz, Kevin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:148:y:2023:i:c:s037842662200293x.

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2023The effect of uncertainty on stock market volatility and correlation. (2023). Hou, Ai Jun ; Christiansen, Charlotte ; Asgharian, Hossein. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001097.

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2023The incremental information in the yield curve about future interest rate risk. (2023). Christensen, Bent Jesper ; Veliyev, Bezirgen ; Kjar, Mads Markvart. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:155:y:2023:i:c:s0378426623001711.

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2023Dynamic asset (mis)pricing: Build-up versus resolution anomalies. (2023). OPP, CHRISTIAN ; Tamoni, Andrea ; Boons, Martijn ; van Binsbergen, Jules H. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:2:p:406-431.

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2023International trade and the risk in bilateral exchange rates. (2023). Loualiche, Erik ; Hassan, Ramin ; Ward, Colin ; Pecora, Alexandre R. In: Journal of Financial Economics. RePEc:eee:jfinec:v:150:y:2023:i:2:s0304405x23001435.

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2023CEO risk preferences, hedging intensity, and firm value. (2023). Mandal, Sonik ; Doukas, John A ; Chowdhury, Rajib. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:130:y:2023:i:c:s0261560622001541.

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2023Central bank credibility during COVID-19: Evidence from Japan. (2023). Spiegel, Mark M. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:131:y:2023:i:c:s0261560622001917.

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2023The relative pricing of WTI and Brent crude oil futures: Expectations or risk premia?. (2023). Liu, Rui ; Gao, Xin. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000319.

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2023Government debt and risk premia. (2023). Liu, Yang. In: Journal of Monetary Economics. RePEc:eee:moneco:v:136:y:2023:i:c:p:18-34.

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2023Hedging demand and near-zero swap spreads: Evidence from the Chinese interest rate swap market. (2023). Shang, Yuhuang ; Zhu, Chunhui ; Li, Shaoyu. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:91:y:2023:i:c:p:170-185.

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2023Shot-noise cojumps: exact simulation and option pricing. (2023). Zhao, Hongbiao ; Dassios, Angelos ; Qu, Yan. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:111537.

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2023Welfare Implications of Asset Pricing Facts: Should Central Banks Fill Gaps or Remove Volatility?. (2021). Lopez, Pierlauro. In: Working Papers. RePEc:fip:fedcwq:93000.

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2023The Benefit of Inflation-Indexed Debt: Evidence from an Emerging Bond Market. (2023). , Jens. In: Working Paper Series. RePEc:fip:fedfwp:95617.

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2023The Pricing Kernel in Options. (2023). Kim, Hyung Joo ; Jacobs, Kris ; Heston, Steven. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:96652.

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2023.

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2023The Real Response to Uncertainty Shocks: The Risk Premium Channel. (2023). Tamoni, Andrea ; Hsu, Alex ; Bretscher, Lorenzo. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:1:p:119-140.

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2023Machine-Learning-Based Return Predictors and the Spanning Controversy in Macro-Finance. (2023). Shi, Zhan ; Huang, Jing-Zhi. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:3:p:1780-1804.

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2023Extreme Inflation and Time-Varying Expected Consumption Growth. (2023). Schlag, Christian ; Meinerding, Christoph ; Dergunov, Ilya. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:5:p:2972-3002.

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2023Modeling Tail Dependence Using Stochastic Volatility Model. (2023). Necula, Ciprian ; Ma, Yong-Ki ; Kim, See-Woo. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:1:d:10.1007_s10614-022-10271-5.

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2023Hedging cryptocurrency options. (2023). Hardle, Wolfgang Karl ; Packham, Natalie ; Matic, Jovanka Lili. In: Review of Derivatives Research. RePEc:kap:revdev:v:26:y:2023:i:1:d:10.1007_s11147-023-09194-6.

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2023Correcting estimation bias in regime switching dynamic term structure models. (2023). Liu, Liu ; Cho, Sungjun. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:3:d:10.1007_s11156-023-01182-z.

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2023Reproducibility in Management Science. (2023). Ozkes, Ali ; Huber, Christoph ; Greiner, Ben ; Fišar, Miloš ; Reproducibility, Management Science ; Katok, Elena ; Fiar, Milo. In: OSF Preprints. RePEc:osf:osfxxx:mydzv.

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2023Market Timing and Predictability in FX Markets. (2023). Tran, Ngoc-Khanh ; To, Thuy-Duong ; Maurer, Thomas A. In: Review of Finance. RePEc:oup:revfin:v:27:y:2023:i:1:p:223-246..

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2023Debt Renegotiations Outside Distress*. (2023). Westermann, Ramona ; Arnold, Marc. In: Review of Finance. RePEc:oup:revfin:v:27:y:2023:i:4:p:1183-1228..

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2023Alternative risk premium: specification noise. (2023). Fabozzi, Frank J ; Gorman, Stephen A. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:6:d:10.1057_s41260-023-00327-y.

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2023Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!. (2023). Haque, Qazi ; Hambur, Jonathan. In: RBA Research Discussion Papers. RePEc:rba:rbardp:rdp2023-04.

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2023Sovereign default network and currency risk premia. (2023). Yang, Lu ; Cui, Xue. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00485-3.

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2023Reproducibility in Management Science. (2023). Ozkes, Ali ; Huber, Christoph ; Reproducibility, Management Science ; Katok, Elena ; Greiner, Ben ; Fiar, Milo. In: Department for Strategy and Innovation Working Paper Series. RePEc:wiw:wus055:57814527.

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2023A Sieve?SMM Estimator for Dynamic Models. (2023). Forneron, Jeanjacques. In: Econometrica. RePEc:wly:emetrp:v:91:y:2023:i:3:p:943-977.

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2023.

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2023.

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2023Changes in the options contract size and arbitrage opportunities. (2023). Yu, Jinyoung ; Ryu, Doojin ; Song, Joon Hyuk. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:1:p:122-137.

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2023Unspanned macro risks in VIX futures. (2023). Yang, Xinglin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:9:p:1305-1328.

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2023Treasury Safety, Liquidity, and Money Premium Dynamics: Evidence from Debt Limit Impasses. (2023). Klee, Elizabeth ; Syron, Erin E ; Cashin, David. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:55:y:2023:i:6:p:1475-1506.

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2023Asset allocation with recursive parameter updating and macroeconomic regime identifiers. (2023). Meinerding, Christoph ; Goodarzi, Milad. In: Discussion Papers. RePEc:zbw:bubdps:062023.

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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]		article66
2019Determinants of Asia-Pacific government bond yields In: BIS Papers chapters.
[Full Text][Citation analysis]		chapter0
2021Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds In: BIS Working Papers.
[Full Text][Citation analysis]		paper8
2020Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds.(2020) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
2023Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds.(2023) In: Journal of International Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		article
2020Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds.(2020) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
2007Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11 In: Journal of Finance.
[Full Text][Citation analysis]		article86
2007Model Specification and Risk Premia: Evidence from Futures Options In: Journal of Finance.
[Full Text][Citation analysis]		article250
2011Disasters Implied by Equity Index Options In: Journal of Finance.
[Full Text][Citation analysis]		article139
2009Disasters implied by equity index options.(2009) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 139		paper
2009Disasters implied by equity index options.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 139		paper
2009Disasters Implied by Equity Index Options.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 139		paper
2014Sources of Entropy in Representative Agent Models In: Journal of Finance.
[Full Text][Citation analysis]		article68
2011Sources of entropy in representative agent models.(2011) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 68		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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This paper has nother version. Agregated cites: 11		paper
2016A macrofinance view of US Sovereign CDS premiums.(2016) In: 2016 Meeting Papers.
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2018International yield curves and currency puzzles.(2018) In: CEPR Discussion Papers.
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2018International Yield Curves and Currency Puzzles.(2018) In: NBER Working Papers.
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2023Pricing Currency Risks In: Journal of Finance.
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2020Pricing Currency Risks.(2020) In: CEPR Discussion Papers.
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2020Pricing Currency Risks.(2020) In: NBER Working Papers.
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2021Interest Rate Skewness and Biased Beliefs.(2021) In: NBER Working Papers.
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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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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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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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2016Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities In: CEPR Discussion Papers.
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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: The 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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This paper has nother version. Agregated cites: 27		paper
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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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: The 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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2007Understanding Index Option Returns In: CEPR Discussion Papers.
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2009Understanding Index Option Returns.(2009) In: The 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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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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2011CDS auctions.(2011) In: LSE Research Online Documents on Economics.
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2013CDS Auctions.(2013) In: The Review of Financial Studies.
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2012Sources of Risk in Currency Returns In: CEPR Discussion Papers.
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2018Crash Risk in Currency Returns In: Journal of Financial and Quantitative Analysis.
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2012Crash Risk in Currency Returns.(2012) In: 2012 Meeting Papers.
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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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2010No-arbitrage macroeconomic determinants of the yield curve In: Journal of Econometrics.
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2010No-arbitrage macroeconomic determinants of the yield curve.(2010) In: Post-Print.
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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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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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2009Unspanned Stochastic Volatility in Affine Models: Evidence from Eurodollar Futures and Options In: Management Science.
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2015Arginylation regulates purine nucleotide biosynthesis by enhancing the activity of phosphoribosyl pyrophosphate synthase In: Nature Communications.
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2013Identifying Taylor Rules in Macro-Finance Models In: NBER Working Papers.
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2013Identifying Taylor Rules in Macro-finance Models.(2013) In: Working Papers.
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2020The Term Structure of Covered Interest Rate Parity Violations In: NBER Working Papers.
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2011Yield Curve and Volatility: Lessons from Eurodollar Futures and Options In: Journal of Financial Econometrics.
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2021The PPP View of Multihorizon Currency Risk Premiums In: The Review of Financial Studies.
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2010Sources of entropy in representative agent models of asset pricing In: 2010 Meeting Papers.
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