Mikhail Chernov : Citation Profile

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

17

H index

26

i10 index

2160

Citations

RESEARCH PRODUCTION:

32

Articles

68

Papers

1

Chapters

RESEARCH ACTIVITY:

   27 years (1998 - 2025). See details.
   Cites by year: 80
   Journals where Mikhail Chernov has often published
   Relations with other researchers
   Recent citing documents: 84.    Total self citations: 49 (2.22 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pch756
   Updated: 2025-04-19    RAS profile: 2024-09-13    
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Relations with other researchers

Works with:

Holzmeister, Felix (8)

Füllbrunn, Sascha (8)

Bos, Charles (8)

Gehrig, Thomas (8)

Deev, Oleg (8)

Frömmel, Michael (8)

Ferrara, Gerardo (8)

Johannesson, Magnus (8)

FERROUHI, EL MEHDI (8)

Brownlees, Christian (8)

Alexeev, Vitali (8)

Gerritsen, Dirk (8)

Dreber, Anna (8)

Bohorquez Correa, Santiago (7)

Deku, Solomon (7)

Eugster, Nicolas (7)

Menkveld, Albert (7)

Frijns, Bart (7)

Caporin, Massimiliano (7)

Dimpfl, Thomas (7)

CAPELLE-BLANCARD, Gunther (7)

Davies, Ryan (7)

Liew, Chee (6)

Jurkatis, Simon (6)

Schuerhoff, Norman (6)

Ranaldo, Angelo (6)

Shachar, Or (6)

Wilhelmsson, Anders (6)

Korajczyk, Robert (6)

Foucault, Thierry (6)

Aloosh, Arash (6)

Hurlin, Christophe (6)

Xiu, Dacheng (6)

Scaillet, Olivier (6)

Renault, Thomas (6)

Wolff, Christian (6)

Creal, Drew (6)

Palan, Stefan (6)

Zhang, S. Sarah (6)

Smales, Lee (6)

Reitz, Stefan (6)

Ait-Sahalia, Yacine (6)

Park, Andreas (6)

Harris, Jeffrey (6)

Pasquariello, Paolo (6)

Sarno, Lucio (6)

Rinne, Kalle (6)

Ødegaard, Bernt (6)

Colliard, Jean-Edouard (6)

Nielsson, Ulf (6)

Talavera, Oleksandr (6)

Stefanova, Denitsa (6)

Schwarz, Marco (6)

Sojli, Elvira (6)

Xia, Shuo (6)

Lof, Matthijs (6)

Pastor, Lubos (6)

Song, Dongho (6)

LINTON, OLIVER (6)

Chow, Nikolai Sheung-Chi (5)

Walther, Thomas (5)

Degryse, Hans (5)

Neszveda, Gabor (5)

Schenk-Hoppé, Klaus (5)

Abudy, Menachem (5)

Vilkov, Grigory (5)

Hautsch, Nikolaus (5)

Verousis, Thanos (5)

Horenstein, Alex (5)

Koetter, Michael (5)

Huang, Wenqian (5)

Gil-Bazo, Javier (5)

Jalkh, Naji (5)

Bjønnes, Geir (4)

Bauer, Michael (4)

Dumitrescu, Ariadna (4)

Güçbilmez, Ufuk (4)

van Kervel, Vincent (4)

Hördahl, Peter (4)

Adrian, Tobias (4)

Voigt, Stefan (3)

Mihet, Roxana (3)

He, Xuezhong (Tony) (3)

Roy, Saurabh (3)

Taylor, Nick (3)

PASCUAL, ROBERTO (2)

Vogel, Sebastian (2)

Hasse, Jean-Baptiste (2)

Pelizzon, Loriana (2)

Regis, Luca (2)

Kassner, Bernhard (2)

Kearney, Fearghal (2)

Söderlind, Paul (2)

Heath, Davidson (2)

Lajaunie, Quentin (2)

Gorbenko, Arseny (2)

Tonks, Ian (2)

Patel, Vinay (2)

Moinas, Sophie (2)

Patton, Andrew (2)

Zviadadze, Irina (2)

Putnins, Talis (2)

Wong, Wing-Keung (2)

Roy, Saurabh (2)

Theissen, Erik (2)

Hjalmarsson, Erik (2)

Zhou, Chen (2)

Lopez-Lira, Alejandro (2)

Rakowski, David (2)

Prokopczuk, Marcel (2)

Bouri, Elie (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 (31)

Andersen, Torben (28)

Diebold, Francis (23)

Bekaert, Geert (23)

Caporin, Massimiliano (20)

Garcia, René (19)

Shephard, Neil (17)

Santa-Clara, Pedro (16)

Tauchen, George (15)

Martin, Gael (15)

Cites to:

Singleton, Kenneth (51)

Gallant, A. (40)

Tauchen, George (39)

Hansen, Lars (38)

Duffie, Darrell (28)

Ghysels, Eric (20)

Andersen, Torben (18)

KRISHNAMURTHY, ARVIND (18)

Duffee, Greg (17)

Reis, Ricardo (16)

Kreps, David (15)

Main data

Production by document typearticlepaperchapter1998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320242025051015Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published1998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320242025050100150Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320242025050100150200Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year19981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250200400600Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 17Most cited documents123456789101112131415161718190250500750Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution20130820130920131020131120131220140120140220140320140420140520140620140720140820140920141020141120141220150120150220150320150420150520150620150720150820150920151020151120151220160120160220160320160420160520160620160720160820160920161020161120161220170120170220170320170420170520170620170720170820170920171020171120171220180120180220180320180420180520180620180720180820180920181020181120181220190120190220190320190420190520190620190720190820190920191020191120191220200120200220200320200420200520200620200720200820200920201020201120201220210120210220210320210420210520210620210720210820210920211020211120211220220120220220220320220420220520220620220720220820220920221020221120221220230120230220230320230420230520230620230720230820230920231020231120231220240120240220240320240420240520240620240720240820240920241020241120241220250120250220250320250401020h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Mikhail Chernov has published?

Journals with more than one article published# docs
Journal of Finance10
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
NBER Working Papers / National Bureau of Economic Research, Inc20
CEPR Discussion Papers / C.E.P.R. Discussion Papers19
Post-Print / HAL3

Recent works citing Mikhail Chernov (2025 and 2024)

Year  ↓Title of citing document  ↓
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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2025Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943.

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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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2024Who should buy structured investment products and why?. (2024). Pedio, Manuela ; Leonetti, Giacomo ; Guidolin, Massimo. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp24222.

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2024Geopolitical Risk and Emerging Markets Sovereign Risk Premia. (2024). Romero, José ; Gamboa-Estrada, Fredy. In: Borradores de Economia. RePEc:bdr:borrec:1282.

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2024.

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2024How Integrated are Credit and Equity Markets? Evidence from Index Options. (2024). Trolle, Anders B ; Junge, Benjamin ; Collindufresne, Pierre. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:2:p:949-992.

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2024Modeling Conditional Factor Risk Premia Implied by Index Option Returns. (2024). Orowski, Piotr ; Jacobs, Kris ; Fournier, Mathieu. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:3:p:2289-2338.

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2024What Drives Variation in the U.S. Debt‐to‐Output Ratio? The Dogs that Did not Bark. (2024). Van Nieuwerburgh, Stijn ; Xiaolan, Mindy Z ; Lustig, Hanno ; Jiang, Zhengyang. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:4:p:2603-2665.

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2024Treasury Richness. (2024). Longstaff, Francis A ; Fleckenstein, Matthias. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:4:p:2797-2844.

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2024Equity Term Structures without Dividend Strips Data. (2024). Kozak, Serhiy ; Kelly, Bryan ; Giglio, Stefano. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:6:p:4143-4196.

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2024US monetary policy is more powerful in low economic growth regimes. (2024). Tornese, Tommaso ; de Santis, Roberto A. In: Working Paper Series. RePEc:ecb:ecbwps:20242919.

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2025Time-varying risk aversion and inflation-consumption correlation in an equilibrium term structure model. (2025). Renne, Jean-Paul ; Lemke, Wolfgang ; Bletzinger, Tilman. In: Working Paper Series. RePEc:ecb:ecbwps:20253012.

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2024The intertemporal choice study of individual water-saving irrigation construction under three water pricing and subsidy scenarios. (2024). Yuan, Liang ; Ramsey, Thomas Stephen ; Xu, Shasha ; Jiang, Ningye ; He, Weijun ; Yang, Yang. In: Agricultural Water Management. RePEc:eee:agiwat:v:295:y:2024:i:c:s0378377424000957.

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2024Risks and risk premia in the US Treasury market. (2024). Sarno, Lucio ; Zinna, Gabriele ; Li, Junye. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:158:y:2024:i:c:s016518892300194x.

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2024Copper-to-gold ratio as a leading indicator for the 10-Year Treasury yield. (2024). Parnes, Dror. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001390.

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2024Pricing VIX options based on mean-reverting models driven by information. (2024). Zheng, Zun-Xin ; Yin, Ya-Hua ; Zhu, Fu-Min. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001281.

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2024Term structures and firm dynamics: A FAVAR approach. (2024). Zhu, Jingjing ; Su, LI. In: Economics Letters. RePEc:eee:ecolet:v:244:y:2024:i:c:s0165176524004464.

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2024Volatility of volatility and leverage effect from options. (2024). Todorov, Viktor ; Chong, Carsten H. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000150.

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2024Estimating option pricing models using a characteristic function-based linear state space representation. (2024). Laeven, Roger ; Vladimirov, Evgenii ; Boswijk, Peter H. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624002094.

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2024A new bivariate approach for modeling the interaction between stock volatility and interest rate: An application to S&P500 returns and options. (2024). Guizzardi, Andrea ; Dinnocenzo, Enzo ; Ballestra, Luca Vincenzo. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:3:p:1185-1194.

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2024Non-standard errors in asset pricing: Mind your sorts. (2024). Verwijmeren, Patrick ; van Vliet, Bart ; Soebhag, Amar. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000525.

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2024Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models. (2024). Wong, Patrick ; Ignatieva, Katja. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000549.

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2024Non-standard errors in the cryptocurrency world. (2024). Zaremba, Adam ; Poddig, Thorsten ; Gunther, Steffen ; Fieberg, Christian. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000383.

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2024Oil shocks and currency behavior: A dual approach to digital and traditional currencies. (2024). Mishra, Sibanjan ; ben Zaied, Younes ; Yaqoob, Tanzeela ; Afshan, Sahar. In: Global Finance Journal. RePEc:eee:glofin:v:62:y:2024:i:c:s1044028324000747.

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2024Inflation expectations and risk premia in emerging bond markets: Evidence from Mexico. (2024). Zhu, Simon ; Beauregard, Remy ; Fischer, Eric. In: Journal of International Economics. RePEc:eee:inecon:v:151:y:2024:i:c:s0022199624000886.

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2024Bond convenience curves and funding costs. (2024). Sihvonen, Markus ; Nissinen, Juuso. In: Journal of International Economics. RePEc:eee:inecon:v:151:y:2024:i:c:s0022199624000965.

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2024International crash risk premium. (2024). Chen, Steven Shu-Hsiu. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:94:y:2024:i:c:s1042443124000805.

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2024Limits to arbitrage and the term structure of CIP violations. (2024). Chen, Xiaohong ; Wohlfarth, Paul. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:95:y:2024:i:c:s1042443124000970.

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2024Forecasting exchange rate volatility: An amalgamation approach. (2024). Souropanis, Ioannis ; Alexandridis, Antonios K ; Panopoulou, Ekaterini. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:97:y:2024:i:c:s1042443124001331.

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2024Uncertainty premia for small and large risks. (2024). Savor, Pavel ; Wilson, Mungo ; Puhl, Martin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:167:y:2024:i:c:s0378426624001675.

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2024Behavioral risk profiling: Measuring loss aversion of individual investors. (2024). Vandenbroucke, Jurgen ; van Dolder, Dennie. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:168:y:2024:i:c:s0378426624002073.

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2024Persistent and transitory components of firm characteristics: Implications for asset pricing. (2024). Tamoni, Andrea ; Boons, Martijn ; Baba-Yara, Fahiz. In: Journal of Financial Economics. RePEc:eee:jfinec:v:154:y:2024:i:c:s0304405x2400031x.

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2024Demand-and-supply imbalance risk and long-term swap spreads. (2024). Venter, Gyuri ; Malkhozov, Aytek ; Hanson, Samuel G. In: Journal of Financial Economics. RePEc:eee:jfinec:v:154:y:2024:i:c:s0304405x24000370.

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2024Aggregate lapsation risk. (2024). Van Nieuwerburgh, Stijn ; Lee, Hae Kang. In: Journal of Financial Economics. RePEc:eee:jfinec:v:155:y:2024:i:c:s0304405x24000424.

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2024The pricing of U.S. Treasury floating rate notes. (2024). Jermann, Urban ; Hartley, Jonathan S. In: Journal of Financial Economics. RePEc:eee:jfinec:v:155:y:2024:i:c:s0304405x24000564.

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2024Concealed carry. (2024). Andrews, Spencer ; Colacito, Riccardo ; Croce, Mariano M ; Gavazzoni, Federico. In: Journal of Financial Economics. RePEc:eee:jfinec:v:159:y:2024:i:c:s0304405x24000977.

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2024Importance of transaction costs for asset allocation in foreign exchange markets. (2024). Taylor, Mark ; Maurer, Thomas A ; Pezzo, Luca ; Filippou, Ilias. In: Journal of Financial Economics. RePEc:eee:jfinec:v:159:y:2024:i:c:s0304405x24001090.

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2024Borrow now, pay even later: A quantitative analysis of student debt payment plans. (2024). Clara, Nuno ; Boutros, Michael ; Gomes, Francisco. In: Journal of Financial Economics. RePEc:eee:jfinec:v:159:y:2024:i:c:s0304405x24001211.

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2024Modeling volatility in dynamic term structure models. (2024). Liu, Rui ; Jacobs, Kris ; Doshi, Hitesh. In: Journal of Financial Economics. RePEc:eee:jfinec:v:161:y:2024:i:c:s0304405x24001491.

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2024The risk and return of equity and credit index options. (2024). Seo, Sang Byung ; Fournier, Mathieu ; Ericsson, Jan ; Doshi, Hitesh. In: Journal of Financial Economics. RePEc:eee:jfinec:v:161:y:2024:i:c:s0304405x24001557.

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2024The out-of-sample performance of carry trades. (2024). Li, Yan ; Wang, Zigan ; Taylor, Mark P ; Hsu, Po-Hsuan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:143:y:2024:i:c:s0261560624000299.

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2024Prices and returns: Role of inflation. (2024). Sun, Yulong. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:147:y:2024:i:c:s0261560624001360.

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2024Publics evaluation of ESG and credit default swap: Evidence from East Asian countries. (2024). Lin, Chih-Yung ; Lu, Chien-Lin ; Chang, Hao-Wen ; Tang, Ning. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:87:y:2024:i:c:s0927538x24002646.

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2024The determinants of Turkish CDS volatility: An ARDL approach covering COVID period. (2024). Sunal, Onur ; Yaci, Filiz. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:97:y:2024:i:c:s1062976924000930.

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2024Trading activity, risk aversion, and risk neutral skewness: Evidence from SSE 50ETF option. (2024). Zhou, Xin ; Jiang, Zhengyun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:91:y:2024:i:c:p:378-399.

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2024Assessing the impact of the COVID-19 crisis on sovereign default risk. (2024). Kanno, Masayasu. In: Research in International Business and Finance. RePEc:eee:riibaf:v:68:y:2024:i:c:s0275531923003240.

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2024Assessing the nexus between currency exchange rate returns, currency risk hedging and international investments: Intelligent network-based analysis. (2024). Pan, Yanchun ; Saleh, Mamdouh Abdulaziz ; Yao, Hongxing ; Naveed, Hafiz Muhammad. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:206:y:2024:i:c:s0040162524003007.

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2025An information-theoretic asset pricing model. (2025). Ghosh, Anisha ; Taylor, Alex P ; Julliard, Christian. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:126155.

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2024Interaction between Sovereign Quanto Credit Default Swap Spreads and Currency Options. (2024). Tsuruta, Masaru. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:2:p:85-:d:1341039.

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2024Experimenting with Financial Professionals. (2022). Huber, Christoph ; Konig-Kersting, Christian. In: Working Papers. RePEc:inn:wpaper:2022-07.

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2025The Sources of Researcher Variation in Economics. (2025). Gallegos, Sebastian ; Huntington-Klein, Nick ; Portner, Claus C. In: IZA Discussion Papers. RePEc:iza:izadps:dp17744.

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2024Pricing fixed income derivatives under a three-factor CIR model with unspanned stochastic volatility. (2024). Zhang, Fengtong. In: Review of Derivatives Research. RePEc:kap:revdev:v:27:y:2024:i:1:d:10.1007_s11147-023-09198-2.

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2024The cash-secured put-write strategy and the variance risk premium. (2024). Chadwick, Savannah ; Raquel, Andrew ; Patel, Pratish. In: Journal of Asset Management. RePEc:pal:assmgt:v:25:y:2024:i:1:d:10.1057_s41260-023-00333-0.

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2025What Drives the Exchange Rate?. (2025). Mukhin, Dmitry ; Itskhoki, Oleg. In: IMF Economic Review. RePEc:pal:imfecr:v:73:y:2025:i:1:d:10.1057_s41308-024-00251-0.

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2024Identifying the Volatility Risk Price Through the Leverage Effect. (2024). Sangrey, Paul ; Renault, Eric ; Cheng, XU. In: PIER Working Paper Archive. RePEc:pen:papers:24-013.

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2024Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S &P500 data. (2024). Raffaelli, Iacopo ; Toscano, Giacomo ; Scotti, Simone. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-04924-9.

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2024Option-implied bond spread risk. (2024). Onofri, Marco ; Moshammer, Edmund ; Hudecz, Gergely. In: Working Papers. RePEc:stm:wpaper:66.

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2024.

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2025.

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2024A note on the use of syndicated loan data. (2022). Tonzer, Lena ; Noth, Felix ; Muller, Isabella. In: IWH Discussion Papers. RePEc:zbw:iwhdps:172022.

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Works by Mikhail Chernov:

Year  ↓Title  ↓Type  ↓Cited  ↓
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]		article69
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]		paper11
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: 11		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: 11		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: 11		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]		article262
2011Disasters Implied by Equity Index Options In: Journal of Finance.
[Full Text][Citation analysis]		article143
2009Disasters implied by equity index options.(2009) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 143		paper
2009Disasters implied by equity index options.(2009) In: NBER Working Papers.
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2009Disasters Implied by Equity Index Options.(2009) In: Working Papers.
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2014Sources of Entropy in Representative Agent Models In: Journal of Finance.
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2011Sources of entropy in representative agent models.(2011) In: CEPR Discussion Papers.
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2011Sources of Entropy in Representative Agent Models.(2011) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 70		paper
2011Sources of Entropy in Representative Agent Models.(2011) In: Working Papers.
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2020A Macrofinance View of U.S. Sovereign CDS Premiums In: Journal of Finance.
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2016A Macrofinance View of U.S. Sovereign CDS Premiums.(2016) In: CEPR Discussion Papers.
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2016A macrofinance view of US Sovereign CDS premiums.(2016) In: 2016 Meeting Papers.
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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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2024Interest Rate Skewness and Biased Beliefs In: Journal of Finance.
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2021Interest Rate Skewness and Biased Beliefs.(2021) In: CESifo Working Paper Series.
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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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2024The Term Structure of Covered Interest Rate Parity Violations In: Journal of Finance.
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2020The Term Structure of Covered Interest Rate Parity Violations.(2020) In: NBER Working Papers.
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2024Nonstandard Errors In: Journal of Finance.
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2024Nonstandard errors.(2024) In: LSE Research Online Documents on Economics.
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2021Non-Standard Errors.(2021) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2024Nonstandard Errors.(2024) In: Post-Print.
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2021Non-Standard Errors.(2021) In: Post-Print.
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2021Non-Standard Errors.(2021) In: Working Papers.
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2021Non-Standard Errors.(2021) In: Working Papers.
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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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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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2013Identifying Taylor rules in macro-finance models In: CEPR Discussion Papers.
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2021Monetary Policy Risk: Rules vs. Discretion.(2021) In: NBER Working 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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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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2025The Comovement of Voter Preferences: Insights from U.S. Presidential Election Prediction Markets Beyond Polls 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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2022Monetary Policy Risk: Rules versus Discretion 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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