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

22

i10 index

2028

Citations

RESEARCH PRODUCTION:

29

Articles

61

Papers

1

Chapters

RESEARCH ACTIVITY:

   25 years (1998 - 2023). See details.
   Cites by year: 81
   Journals where Mikhail Chernov has often published
   Relations with other researchers
   Recent citing documents: 139.    Total self citations: 47 (2.27 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pch756
   Updated: 2023-11-04    RAS profile: 2023-07-06    
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Relations with other researchers

Works with:

Creal, Drew (9)

Song, Dongho (7)

Colliard, Jean-Edouard (4)

FERROUHI, EL MEHDI (4)

Caporin, Massimiliano (4)

Brownlees, Christian (4)

Ferrara, Gerardo (4)

Deev, Oleg (4)

Dimpfl, Thomas (4)

Holzmeister, Felix (4)

Dumitrescu, Ariadna (4)

Menkveld, Albert (4)

Augustin, Patrick (4)

Ait-Sahalia, Yacine (4)

Adrian, Tobias (4)

Dreber, Anna (4)

Bohorquez Correa, Santiago (4)

Abudy, Menachem (4)

Gerritsen, Dirk (4)

Chow, Nikolai Sheung-Chi (4)

Frömmel, Michael (4)

Alexeev, Vitali (4)

CAPELLE-BLANCARD, Gunther (4)

Deku, Solomon (4)

Gehrig, Thomas (4)

Johannesson, Magnus (4)

Füllbrunn, Sascha (3)

Hördahl, Peter (3)

Bauer, Michael (3)

He, Xuezhong (Tony) (2)

Hautsch, Nikolaus (2)

Putnins, Talis (2)

Vilkov, Grigory (2)

Nielsson, Ulf (2)

Renault, Thomas (2)

Xiu, Dacheng (2)

Foucault, Thierry (2)

Bos, Charles (2)

Gil-Bazo, Javier (2)

PASCUAL, ROBERTO (2)

Hurlin, Christophe (2)

Wolff, Christian (2)

Reitz, Stefan (2)

van Kervel, Vincent (2)

Pastor, Lubos (2)

Sarno, Lucio (2)

Ranaldo, Angelo (2)

Lajaunie, Quentin (2)

Lof, Matthijs (2)

Verousis, Thanos (2)

Liew, Chee (2)

Sojli, Elvira (2)

Park, Andreas (2)

Pelizzon, Loriana (2)

Taylor, Nick (2)

Rinne, Kalle (2)

Jurkatis, Simon (2)

Zhou, Chen (2)

Rakowski, David (2)

Xia, Shuo (2)

Palan, Stefan (2)

LINTON, OLIVER (2)

Frijns, Bart (2)

Tonks, Ian (2)

Kassner, Bernhard (2)

Mihet, Roxana (2)

Bouri, Elie (2)

Hjalmarsson, Erik (2)

Scaillet, Olivier (2)

Schuerhoff, Norman (2)

Regis, Luca (2)

Walther, Thomas (2)

Patel, Vinay (2)

Moinas, Sophie (2)

Theissen, Erik (2)

Zviadadze, Irina (2)

Harris, Jeffrey (2)

Horenstein, Alex (2)

Smales, Lee (2)

Patton, Andrew (2)

Ødegaard, Bernt (2)

Wong, Wing-Keung (2)

Heath, Davidson (2)

Gorbenko, Arseny (2)

Prokopczuk, Marcel (2)

Lopez-Lira, Alejandro (2)

Wilhelmsson, Anders (2)

Roy, Saurabh (2)

Kearney, Fearghal (2)

Schwarz, Marco (2)

Stefanova, Denitsa (2)

Korajczyk, Robert (2)

Davies, Ryan (2)

Jalkh, Naji (2)

Pasquariello, Paolo (2)

Talavera, Oleksandr (2)

Schenk-Hoppé, Klaus (2)

Vogel, Sebastian (2)

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

Is cited by:

Bollerslev, Tim (30)

Asai, Manabu (28)

Andersen, Torben (24)

Bekaert, Geert (22)

Diebold, Francis (22)

Garcia, René (19)

Caporin, Massimiliano (18)

Shephard, Neil (17)

Santa-Clara, Pedro (16)

Martin, Gael (15)

Tauchen, George (15)

Cites to:

Singleton, Kenneth (48)

Gallant, A. (40)

Tauchen, George (39)

Hansen, Lars (38)

Duffie, Darrell (23)

Ghysels, Eric (20)

Reis, Ricardo (16)

KRISHNAMURTHY, ARVIND (15)

Ait-Sahalia, Yacine (15)

Kreps, David (15)

Zin, Stanley (15)

Main data

Where Mikhail Chernov has published?

Journals with more than one article published# docs
Journal of Finance7
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 (2023 and 2022)

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

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2023An 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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2022On optimality of barrier dividend control under endogenous regime switching with application to Chapter 11 bankruptcy. (2021). Zhou, Xiaowen ; Yu, Xiang ; Wang, Wenyuan. In: Papers. RePEc:arx:papers:2108.01800.

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

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

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

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

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

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2022Change of measure in a Heston-Hawkes stochastic volatility model. (2022). Font, Oriol Zamora ; Ortiz-Latorre, Salvador ; Banos, David R. In: Papers. RePEc:arx:papers:2210.15343.

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2022Approximate Pricing of Derivatives Under Fractional Stochastic Volatility Model. (2022). Zheng, Xudong ; Han, Yuecai. In: Papers. RePEc:arx:papers:2210.15453.

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

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

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

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2022A Theory of Equivalent Expectation Measures for Contingent Claim Returns. (2022). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:5:p:2853-2906.

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2022The Price of Higher Order Catastrophe Insurance: The Case of VIX Options. (2022). Yang, Aoxiang ; Eraker, Bjorn. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:6:p:3289-3337.

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

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2022Pruned Skewed Kalman Filter and Smoother: With Application to the Yield Curve. (2022). Trede, Mark ; Mutschler, Willi ; Guljanov, Gaygysyz. In: Dynare Working Papers. RePEc:cpm:dynare:078.

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2022Pruned Skewed Kalman Filter and Smoother: With Application to the Yield Curve. (2022). Mutschler, Willi ; Trede, Mark ; Guljanov, Gaygysyz. In: CQE Working Papers. RePEc:cqe:wpaper:10122.

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

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

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

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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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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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2022Testing for parameter instability and structural change in persistent predictive regressions. (2022). Varneskov, Rasmus T ; Andersen, Torben G. In: Journal of Econometrics. RePEc:eee:econom:v:231:y:2022:i:2:p:361-386.

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2022Monetary reforms and inflation expectations in Japan: Evidence from inflation-indexed bonds. (2022). Spiegel, Mark M. In: Journal of Econometrics. RePEc:eee:econom:v:231:y:2022:i:2:p:410-431.

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

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

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2023Robust consumption and portfolio choice with derivatives trading. (2023). Zhuang, YI ; Yang, Charles ; Wei, Pengyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:2:p:832-850.

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

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

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2022An equilibrium model of the term structures of bonds and equities. (2022). Takamizawa, Hideyuki. In: International Review of Financial Analysis. RePEc:eee:finana:v:84:y:2022:i:c:s1057521922003064.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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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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2022Potential growth and natural yield curve in Japan. (2022). Vaccaro-Grange, Etienne ; Rhouzlane, Meryem ; Dufrenot, Gilles. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:124:y:2022:i:c:s0261560622000316.

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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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2022Recessions and the stock market. (2022). Kroencke, Tim. In: Journal of Monetary Economics. RePEc:eee:moneco:v:131:y:2022:i:c:p:61-77.

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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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2022Stock return asymmetry in China. (2022). Zhu, Yifeng ; Wu, KE ; Chen, Dongxu. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:73:y:2022:i:c:s0927538x2200052x.

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2022Extreme risk connectedness among global major financial institutions: Links to globalization and emerging market fear. (2022). Pan, Zheyao ; Liao, Yin. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:76:y:2022:i:c:s0927538x22001573.

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2022Does trade cause fear of appreciation?. (2022). Zhu, Jiaqing ; Zhang, Hao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:78:y:2022:i:c:p:68-80.

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2022Exchange rate dynamics with crash risk and interventions. (2022). Liu, Chi-Hei ; Lo, Chi-Fai ; Hui, Cho-Hoi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:79:y:2022:i:c:p:18-37.

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2022Information theoretic approach to high dimensional multiplicative models: stochastic discount factor and treatment effect. (2021). Otsu, Taisuke ; Qiu, Chen. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:110494.

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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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2022Are Equity Option Returns Abnormal? IPCA Says No. (2022). Saretto, Alessio ; Goyal, Amit. In: Working Papers. RePEc:fip:feddwp:94684.

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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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2022How Can Asset Prices Value Exchange Rate Wedges?. (2022). Lewis, Karen K ; Liu, Edith X. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2022-75.

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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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2022Mortgage-Backed Securities. (2022). Vickery, James ; Lucca, David ; Fuster, Andreas. In: Staff Reports. RePEc:fip:fednsr:93695.

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2022Intermediary Balance Sheets and the Treasury Yield Curve. (2022). Du, Wen Xin ; Li, Wenhao ; Hebert, Benjamin. In: Staff Reports. RePEc:fip:fednsr:94462.

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2022Projecting and Forecasting the Latent Volatility for the Nasdaq OMX Nordic/Baltic Financial Electricity Market Applying Stochastic Volatility Market Characteristics. (2022). Solibakke, Per Bjarte. In: Energies. RePEc:gam:jeners:v:15:y:2022:i:10:p:3839-:d:822090.

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2022Spectral Expansions for Credit Risk Modelling with Occupation Times. (2022). Makarov, Roman N ; Kato, Hiromichi ; Campolieti, Giuseppe. In: Risks. RePEc:gam:jrisks:v:10:y:2022:i:12:p:228-:d:989220.

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2022Time-Varying Skew in VIX Derivatives Pricing. (2022). Yuan, Peixuan. In: Management Science. RePEc:inm:ormnsc:v:68:y:2022:i:10:p:7761-7791.

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2022The Informational Content of High-Frequency Option Prices. (2022). Gauthier, Genevieve ; Begin, Jean-Franois ; Amaya, Diego. In: Management Science. RePEc:inm:ormnsc:v:68:y:2022:i:3:p:2166-2201.

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2022Exchange Rates and Sovereign Risk. (2022). Wagner, Christian ; Schmeling, Maik ; Sarno, Lucio ; della Corte, Pasquale. In: Management Science. RePEc:inm:ormnsc:v:68:y:2022:i:8:p:5591-5617.

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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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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]		article65
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]		paper7
2020Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds.(2020) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		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 another version. Agregated cites: 7		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 another version. Agregated cites: 7		paper
2007Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11 In: Journal of Finance.
[Full Text][Citation analysis]		article85
2007Model Specification and Risk Premia: Evidence from Futures Options In: Journal of Finance.
[Full Text][Citation analysis]		article249
2011Disasters Implied by Equity Index Options In: Journal of Finance.
[Full Text][Citation analysis]		article136
2009Disasters implied by equity index options.(2009) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 136		paper
2009Disasters implied by equity index options.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 136		paper
2009Disasters Implied by Equity Index Options.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 136		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 another version. Agregated cites: 68		paper
2011Sources of Entropy in Representative Agent Models.(2011) In: NBER Working Papers.
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This paper has another version. Agregated cites: 68		paper
2011Sources of Entropy in Representative Agent Models.(2011) In: Working Papers.
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This paper has another version. Agregated cites: 68		paper
2020A Macrofinance View of U.S. Sovereign CDS Premiums In: Journal of Finance.
[Full Text][Citation analysis]		article11
2016A Macrofinance View of U.S. Sovereign CDS Premiums.(2016) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
2016A macrofinance view of US Sovereign CDS premiums.(2016) In: 2016 Meeting Papers.
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This paper has another version. Agregated cites: 11		paper
2023International Yield Curves and Currency Puzzles In: Journal of Finance.
[Full Text][Citation analysis]		article1
2018International yield curves and currency puzzles.(2018) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2018International Yield Curves and Currency Puzzles.(2018) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2023Pricing Currency Risks In: Journal of Finance.
[Full Text][Citation analysis]		article0
2020Pricing Currency Risks.(2020) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2020Pricing Currency Risks.(2020) In: NBER Working Papers.
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This paper has another version. Agregated cites: 0		paper
2021Interest Rate Skewness and Biased Beliefs In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper8
2021Interest Rate Skewness and Biased Beliefs.(2021) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
2021Interest rate skewness and biased beliefs.(2021) In: IMFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
2002Alternative Models for Stock Price Dynamics In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper459
2002Alternative Models for Stock Price Dynamic.(2002) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 459		paper
2003Alternative models for stock price dynamics.(2003) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 459		article
2003Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper12
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: 12		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]		paper32
2016Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper14
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: 14		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: 14		article
2016Term structures of asset prices and returns In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper27
2018Term structures of asset prices and returns.(2018) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27		article
2016Term structures of asset prices and returns.(2016) In: Staff Reports.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27		paper
2016Term Structures of Asset Prices and Returns.(2016) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27		paper
2016Term structures of asset prices and returns.(2016) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27		paper
2018Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper14
2018Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads.(2018) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14		paper
2018Multihorizon Currency Returns and Purchasing Power Parity In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper2
2018Multihorizon Currency Returns and Purchasing Power Parity.(2018) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2018Conditional dynamics and the multi-horizon risk-return trade-off In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper4
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: 4		paper
2022Conditional Dynamics and the Multihorizon Risk-Return Trade-Off.(2022) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 4		article
2019Benchmark interest rates when the government is risky In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper5
2021Benchmark interest rates when the government is risky.(2021) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		article
2019Benchmark Interest Rates When the Government is Risky.(2019) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
2020The term structure of CIP violations In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper1
2020The term structure of CIP violations.(2020) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2007Understanding Index Option Returns In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper113
2009Understanding Index Option Returns.(2009) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 113		article
2008The Term Structure of Inflation Expectations In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper140
2012The term structure of inflation expectations.(2012) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 140		article
2008The Term Structure of Inflation Expectations.(2008) In: 2008 Meeting Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 140		paper
2008Monetary Policy Regimes and the Term Structure of Interest Rates In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper56
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: 56		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: 56		paper
2011CDS Auctions In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper4
2011CDS auctions.(2011) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		paper
2013CDS Auctions.(2013) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		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]		paper4
2021Monetary Policy Risk: Rules vs. Discretion.(2021) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		paper
2018Crash Risk in Currency Returns In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article46
2012Crash Risk in Currency Returns.(2012) In: 2012 Meeting Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 46		paper
2003Empirical reverse engineering of the pricing kernel In: Journal of Econometrics.
[Full Text][Citation analysis]		article15
2007Efficient estimation of general dynamic models with a continuum of moment conditions In: Journal of Econometrics.
[Full Text][Citation analysis]		article66
2010No-arbitrage macroeconomic determinants of the yield curve In: Journal of Econometrics.
[Full Text][Citation analysis]		article71
2010No-arbitrage macroeconomic determinants of the yield curve.(2010) In: Post-Print.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 71		paper
2000A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation In: Journal of Financial Economics.
[Full Text][Citation analysis]		article249
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
[Full Text][Citation analysis]		paper2
2021Non-Standard Errors.(2021) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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This paper has another version. Agregated cites: 2		paper
2021Non-Standard Errors.(2021) In: Post-Print.
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This paper has another version. Agregated cites: 2		paper
2021Non-Standard Errors.(2021) In: Working Papers.
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This paper has another version. Agregated cites: 2		paper
2009Unspanned Stochastic Volatility in Affine Models: Evidence from Eurodollar Futures and Options In: Management Science.
[Full Text][Citation analysis]		article25
2015Arginylation regulates purine nucleotide biosynthesis by enhancing the activity of phosphoribosyl pyrophosphate synthase In: Nature Communications.
[Full Text][Citation analysis]		article0
2013Identifying Taylor Rules in Macro-Finance Models In: NBER Working Papers.
[Full Text][Citation analysis]		paper3
2013Identifying Taylor Rules in Macro-finance Models.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2021The Real Channel for Nominal Bond-Stock Puzzles In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2023Currency Risk Premiums: A Multi-horizon Perspective In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2011Yield Curve and Volatility: Lessons from Eurodollar Futures and Options In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]		article16
2021The PPP View of Multihorizon Currency Risk Premiums In: Review of Financial Studies.
[Full Text][Citation analysis]		article3
2022Monetary Policy Risk: Rules versus Discretion In: Review of Financial Studies.
[Full Text][Citation analysis]		article0
2010Sources of entropy in representative agent models of asset pricing In: 2010 Meeting Papers.
[Full Text][Citation analysis]		paper0

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