Mikhail Chernov : Citation Profile

Are you Mikhail Chernov?

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

17

H index

24

i10 index

2116

Citations

RESEARCH PRODUCTION:

29

Articles

65

Papers

1

Chapters

RESEARCH ACTIVITY:

   26 years (1998 - 2024). See details.
   Cites by year: 81
   Journals where Mikhail Chernov has often published
   Relations with other researchers
   Recent citing documents: 131.    Total self citations: 47 (2.17 %)

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   Permalink: http://citec.repec.org/pch756
   Updated: 2024-12-03    RAS profile: 2024-09-13    
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Relations with other researchers

Works with:

Bos, Charles (6)

Füllbrunn, Sascha (6)

Deku, Solomon (6)

FERROUHI, EL MEHDI (6)

Dreber, Anna (6)

Gehrig, Thomas (6)

CAPELLE-BLANCARD, Gunther (6)

Song, Dongho (6)

Deev, Oleg (6)

Creal, Drew (6)

Menkveld, Albert (6)

Ait-Sahalia, Yacine (6)

Brownlees, Christian (6)

Johannesson, Magnus (6)

Frömmel, Michael (6)

Davies, Ryan (6)

Caporin, Massimiliano (6)

Colliard, Jean-Edouard (6)

Dimpfl, Thomas (6)

Frijns, Bart (6)

Alexeev, Vitali (5)

Holzmeister, Felix (5)

Bohorquez Correa, Santiago (5)

Degryse, Hans (5)

Aloosh, Arash (5)

Eugster, Nicolas (5)

Sojli, Elvira (4)

Liew, Chee (4)

Chow, Nikolai Sheung-Chi (4)

Horenstein, Alex (4)

Walther, Thomas (4)

Talavera, Oleksandr (4)

Gerritsen, Dirk (4)

Reitz, Stefan (4)

Palan, Stefan (4)

Stefanova, Denitsa (4)

Wolff, Christian (4)

Hördahl, Peter (4)

Korajczyk, Robert (4)

Pastor, Lubos (4)

Jurkatis, Simon (4)

Renault, Thomas (4)

Nielsson, Ulf (4)

Shachar, Or (4)

Adrian, Tobias (4)

Gil-Bazo, Javier (4)

Ødegaard, Bernt (4)

Hautsch, Nikolaus (4)

Hurlin, Christophe (4)

Harris, Jeffrey (4)

Jalkh, Naji (4)

Sarno, Lucio (4)

Foucault, Thierry (4)

Ranaldo, Angelo (4)

Rinne, Kalle (4)

Ferrara, Gerardo (4)

Dumitrescu, Ariadna (4)

Schuerhoff, Norman (4)

Schwarz, Marco (4)

Verousis, Thanos (4)

Zhang, S. Sarah (4)

Lof, Matthijs (4)

Huang, Wenqian (4)

Bjønnes, Geir (4)

Smales, Lee (4)

Abudy, Menachem (4)

Vilkov, Grigory (4)

Schenk-Hoppé, Klaus (4)

Pasquariello, Paolo (4)

Xiu, Dacheng (3)

Bauer, Michael (3)

Neszveda, Gabor (3)

Koetter, Michael (3)

Voigt, Stefan (3)

Güçbilmez, Ufuk (3)

Taylor, Nick (3)

Roy, Saurabh (3)

Xia, Shuo (3)

Mihet, Roxana (3)

Wilhelmsson, Anders (3)

Putnins, Talis (2)

Prokopczuk, Marcel (2)

Wong, Wing-Keung (2)

Theissen, Erik (2)

Patton, Andrew (2)

Bouri, Elie (2)

Rakowski, David (2)

Patel, Vinay (2)

Pelizzon, Loriana (2)

Hjalmarsson, Erik (2)

Roy, Saurabh (2)

Lajaunie, Quentin (2)

Gorbenko, Arseny (2)

Zviadadze, Irina (2)

Kassner, Bernhard (2)

Regis, Luca (2)

Vogel, Sebastian (2)

Zhou, Chen (2)

Tonks, Ian (2)

Park, Andreas (2)

Söderlind, Paul (2)

Lopez-Lira, Alejandro (2)

Moinas, Sophie (2)

PASCUAL, ROBERTO (2)

Scaillet, Olivier (2)

LINTON, OLIVER (2)

He, Xuezhong (Tony) (2)

Augustin, Patrick (2)

Kearney, Fearghal (2)

van Kervel, Vincent (2)

Heath, Davidson (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)

Garcia, René (19)

Caporin, Massimiliano (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 (25)

KRISHNAMURTHY, ARVIND (21)

Reis, Ricardo (21)

Ghysels, Eric (20)

Andersen, Torben (18)

Campbell, John (17)

Pedersen, Lasse (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, Inc19
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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2024Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943.

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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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2023Attention based dynamic graph neural network for asset pricing. (2023). Yu, Dantong ; Tao, Xinyuan ; Uddin, Ajim. In: Global Finance Journal. RePEc:eee:glofin:v:58:y:2023:i:c:s1044028323000959.

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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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2023Why does option-implied volatility forecast realized volatility? Evidence from news events. (2023). Li, Gang ; Chen, Sipeng. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:156:y:2023:i:c:s0378426623002108.

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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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2023Intermediary balance sheets and the treasury yield curve. (2023). Hebert, Benjamin ; Du, Wenxin ; Li, Wenhao. In: Journal of Financial Economics. RePEc:eee:jfinec:v:150:y:2023:i:3:s0304405x23001629.

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2023The jump leverage risk premium. (2023). Todorov, Viktor ; Bollerslev, Tim. In: Journal of Financial Economics. RePEc:eee:jfinec:v:150:y:2023:i:3:s0304405x23001630.

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2023Treasury option returns and models with unspanned risks. (2023). Gao, Xiaohui ; Crosby, John ; Bakshi, Gurdip ; Hansen, Jorge W. In: Journal of Financial Economics. RePEc:eee:jfinec:v:150:y:2023:i:3:s0304405x23001769.

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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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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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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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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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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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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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2024Bond Variance Risk Premia. (2012). Mueller, Philippe ; Vedolin, Andrea ; Yen, Yu-Min . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp699.

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

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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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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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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]		article68
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]		paper9
2020Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds.(2020) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 9		paper
2023Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds.(2023) In: Journal of International Economics.
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This paper has nother version. Agregated cites: 9		article
2020Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds.(2020) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 9		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]		article257
2011Disasters Implied by Equity Index Options In: Journal of Finance.
[Full Text][Citation analysis]		article142
2009Disasters implied by equity index options.(2009) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 142		paper
2009Disasters implied by equity index options.(2009) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 142		paper
2009Disasters Implied by Equity Index Options.(2009) In: Working Papers.
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This paper has nother version. Agregated cites: 142		paper
2014Sources of Entropy in Representative Agent Models In: Journal of Finance.
[Full Text][Citation analysis]		article69
2011Sources of entropy in representative agent models.(2011) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 69		paper
2011Sources of Entropy in Representative Agent Models.(2011) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 69		paper
2011Sources of Entropy in Representative Agent Models.(2011) In: Working Papers.
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This paper has nother version. Agregated cites: 69		paper
2020A Macrofinance View of U.S. Sovereign CDS Premiums In: Journal of Finance.
[Full Text][Citation analysis]		article12
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: 12		paper
2016A macrofinance view of US Sovereign CDS premiums.(2016) In: 2016 Meeting Papers.
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This paper has nother version. Agregated cites: 12		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 nother version. Agregated cites: 1		paper
2018International Yield Curves and Currency Puzzles.(2018) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 1		paper
2023Pricing Currency Risks In: Journal of Finance.
[Full Text][Citation analysis]		article1
2020Pricing Currency Risks.(2020) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 1		paper
2020Pricing Currency Risks.(2020) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 1		paper
2021Interest Rate Skewness and Biased Beliefs In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper10
2021Interest Rate Skewness and Biased Beliefs.(2021) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 10		paper
2021Interest rate skewness and biased beliefs.(2021) In: IMFS Working Paper Series.
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This paper has nother version. Agregated cites: 10		paper
2002Alternative Models for Stock Price Dynamics In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper477
2002Alternative Models for Stock Price Dynamic.(2002) In: Working Papers.
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This paper has nother version. Agregated cites: 477		paper
2003Alternative models for stock price dynamics.(2003) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 477		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 nother 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]		paper16
2016Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities.(2016) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2018Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities.(2018) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		article
2016Term structures of asset prices and returns In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper28
2018Term structures of asset prices and returns.(2018) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 28		article
2016Term structures of asset prices and returns.(2016) In: Staff Reports.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 28		paper
2016Term Structures of Asset Prices and Returns.(2016) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 28		paper
2016Term structures of asset prices and returns.(2016) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 28		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 nother 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.
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This paper has nother version. Agregated cites: 2		paper
2018Conditional dynamics and the multi-horizon risk-return trade-off In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper6
2018Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off.(2018) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 6		paper
2022Conditional Dynamics and the Multihorizon Risk-Return Trade-Off.(2022) In: The Review of Financial Studies.
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This paper has nother version. Agregated cites: 6		article
2019Benchmark interest rates when the government is risky In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper11
2021Benchmark interest rates when the government is risky.(2021) In: Journal of Financial Economics.
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This paper has nother version. Agregated cites: 11		article
2019Benchmark Interest Rates When the Government is Risky.(2019) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 11		paper
2020The term structure of CIP violations In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper1
2007Understanding Index Option Returns In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper114
2009Understanding Index Option Returns.(2009) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 114		article
2008The Term Structure of Inflation Expectations In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper144
2012The term structure of inflation expectations.(2012) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 144		article
2008The Term Structure of Inflation Expectations.(2008) In: 2008 Meeting Papers.
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This paper has nother version. Agregated cites: 144		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 nother version. Agregated cites: 56		article
2009Monetary Policy Regimes and the Term Structure of Interest Rates.(2009) In: 2009 Meeting Papers.
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This paper has nother 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.
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This paper has nother version. Agregated cites: 4		paper
2013CDS Auctions.(2013) In: The Review of Financial Studies.
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This paper has nother 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.
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This paper has nother version. Agregated cites: 4		paper
2018Crash Risk in Currency Returns In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article49
2012Crash Risk in Currency Returns.(2012) In: 2012 Meeting Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 49		paper
2003Empirical reverse engineering of the pricing kernel In: Journal of Econometrics.
[Full Text][Citation analysis]		article16
2007Efficient estimation of general dynamic models with a continuum of moment conditions In: Journal of Econometrics.
[Full Text][Citation analysis]		article67
2010No-arbitrage macroeconomic determinants of the yield curve In: Journal of Econometrics.
[Full Text][Citation analysis]		article75
2010No-arbitrage macroeconomic determinants of the yield curve.(2010) In: Post-Print.
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This paper has nother version. Agregated cites: 75		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]		article252
2024Nonstandard errors In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper9
2021Non-Standard Errors.(2021) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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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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This paper has nother version. Agregated cites: 9		paper
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
[Full Text][Citation analysis]		paper5
2009Unspanned Stochastic Volatility in Affine Models: Evidence from Eurodollar Futures and Options In: Management Science.
[Full Text][Citation analysis]		article28
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.
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This paper has nother version. Agregated cites: 3		paper
2020The Term Structure of Covered Interest Rate Parity Violations In: NBER Working Papers.
[Full Text][Citation analysis]		paper1
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
2024What do Financial Markets say about the Exchange Rate? In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2024An Anatomy of Currency Strategies: The Role of Emerging Markets In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2011Yield Curve and Volatility: Lessons from Eurodollar Futures and Options In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article17
2021The PPP View of Multihorizon Currency Risk Premiums In: The Review of Financial Studies.
[Full Text][Citation analysis]		article3
2022Monetary Policy Risk: Rules versus Discretion In: The 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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