Mikhail Chernov : Citation Profile

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

18

H index

26

i10 index

2272

Citations

RESEARCH PRODUCTION:

32

Articles

70

Papers

1

Chapters

RESEARCH ACTIVITY:

   27 years (1998 - 2025). See details.
   Cites by year: 84
   Journals where Mikhail Chernov has often published
   Relations with other researchers
   Recent citing documents: 180.    Total self citations: 49 (2.11 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pch756
   Updated: 2026-05-02    RAS profile: 2025-04-24    
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Relations with other researchers

Works with:

Dreber, Anna (8)

Caporin, Massimiliano (8)

Alexeev, Vitali (8)

Frijns, Bart (8)

Gehrig, Thomas (8)

Menkveld, Albert (8)

Deev, Oleg (8)

Dimpfl, Thomas (8)

Holzmeister, Felix (8)

Johannesson, Magnus (8)

Füllbrunn, Sascha (8)

Bos, Charles (8)

Brownlees, Christian (8)

Frömmel, Michael (8)

Dumitrescu, Ariadna (8)

Davies, Ryan (8)

FERROUHI, EL MEHDI (8)

Degryse, Hans (8)

Gerritsen, Dirk (8)

Ferrara, Gerardo (8)

CAPELLE-BLANCARD, Gunther (7)

Deku, Solomon (7)

Eugster, Nicolas (7)

Bohorquez Correa, Santiago (7)

Aloosh, Arash (7)

Söderlind, Paul (6)

Moinas, Sophie (6)

Prokopczuk, Marcel (6)

Korajczyk, Robert (6)

Xia, Shuo (6)

Colliard, Jean-Edouard (6)

Smales, Lee (6)

Shachar, Or (6)

Schuerhoff, Norman (6)

Scaillet, Olivier (6)

Reitz, Stefan (6)

Taylor, Nick (6)

Jurkatis, Simon (6)

Foucault, Thierry (6)

Renault, Thomas (6)

Ranaldo, Angelo (6)

Xiu, Dacheng (6)

Zhang, S. Sarah (6)

Nielsson, Ulf (6)

Rinne, Kalle (6)

Sarno, Lucio (6)

Stefanova, Denitsa (6)

Hurlin, Christophe (6)

Gil-Bazo, Javier (6)

Schwarz, Marco (6)

Palan, Stefan (6)

Pasquariello, Paolo (6)

Sojli, Elvira (6)

Ait-Sahalia, Yacine (6)

Roy, Saurabh (6)

Pastor, Lubos (6)

Tonks, Ian (6)

Wilhelmsson, Anders (6)

Creal, Drew (6)

Liew, Chee (6)

Vilkov, Grigory (6)

Wolff, Christian (6)

LINTON, OLIVER (6)

Lof, Matthijs (6)

Park, Andreas (6)

Harris, Jeffrey (6)

Talavera, Oleksandr (6)

Song, Dongho (6)

Ødegaard, Bernt (6)

Abudy, Menachem (5)

Chow, Nikolai Sheung-Chi (5)

Capera Romero, Laura (5)

Hambuckers, Julien (5)

Horenstein, Alex (5)

Huang, Wenqian (5)

Koetter, Michael (5)

Verousis, Thanos (5)

Hautsch, Nikolaus (5)

Shui, Jessica (5)

Roesch, Dominik (5)

Neszveda, Gabor (5)

Walther, Thomas (5)

Jalkh, Naji (5)

Tang, Yuehua (5)

Schenk-Hoppé, Klaus (5)

Bauer, Michael (4)

van Kervel, Vincent (4)

Güçbilmez, Ufuk (4)

Wong, Wing-Keung (4)

Adrian, Tobias (4)

Bjønnes, Geir (4)

Hördahl, Peter (4)

Augustin, Patrick (4)

Voigt, Stefan (3)

Mihet, Roxana (3)

He, Xuezhong (Tony) (3)

Bouri, Elie (2)

PASCUAL, ROBERTO (2)

Pelizzon, Loriana (2)

Patton, Andrew (2)

Rakowski, David (2)

Lopez-Lira, Alejandro (2)

Roy, Saurabh (2)

Hasse, Jean-Baptiste (2)

Regis, Luca (2)

Theissen, Erik (2)

Kearney, Fearghal (2)

Vogel, Sebastian (2)

Gorbenko, Arseny (2)

Zhou, Chen (2)

Putnins, Talis (2)

Heath, Davidson (2)

Lajaunie, Quentin (2)

Patel, Vinay (2)

Zviadadze, Irina (2)

Kassner, Bernhard (2)

Hjalmarsson, Erik (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 (32)

Andersen, Torben (29)

Bekaert, Geert (24)

Diebold, Francis (23)

Caporin, Massimiliano (21)

Garcia, René (19)

Shephard, Neil (17)

Santa-Clara, Pedro (16)

Martin, Ian (16)

Martin, Gael (15)

Cites to:

Singleton, Kenneth (51)

Gallant, A. (40)

Tauchen, George (39)

Hansen, Lars (38)

Duffie, Darrell (28)

Ghysels, Eric (20)

KRISHNAMURTHY, ARVIND (18)

Andersen, Torben (18)

Duffee, Greg (17)

Reis, Ricardo (16)

Zin, Stanley (15)

Main data

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, Inc22
CEPR Discussion Papers / C.E.P.R. Discussion Papers19
Post-Print / HAL3

Recent works citing Mikhail Chernov (2025 and 2024)

YearTitle of citing document
2025Shrink with Purpose: Optimal Covariance Matrix Estimation for Portfolio Selection. (2025). Vrins, Frdric ; Vanderveken, Rodolphe ; Lassance, Nathan. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2025002.

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2026Currency Network Risk. (2021). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2101.09738.

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

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2025Option Pricing with Time-Varying Volatility Risk Aversion. (2025). Hansen, Peter ; Tong, Chen. In: Papers. RePEc:arx:papers:2204.06943.

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

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2025Machine Learning and the Yield Curve: Tree-Based Macroeconomic Regime Switching. (2024). Diebold, Francis ; Bie, Siyu ; Li, Junye ; He, Jingyu. In: Papers. RePEc:arx:papers:2408.12863.

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2024A GARCH model with two volatility components and two driving factors. (2024). Ballestra, Luca Vincenzo ; Tezza, Christian ; D'Innocenzo, Enzo. In: Papers. RePEc:arx:papers:2410.14585.

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2025Predicting Realized Variance Out of Sample: Can Anything Beat The Benchmark?. (2025). Pollok, Austin. In: Papers. RePEc:arx:papers:2506.07928.

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2025A general randomized test for Alpha. (2025). Vallarino, Pierluigi ; Sarno, Lucio ; Trapani, Lorenzo ; Massacci, Daniele. In: Papers. RePEc:arx:papers:2507.17599.

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2025Joint calibration of the volatility surface and variance term structure. (2025). Yoo, Jiwook. In: Papers. RePEc:arx:papers:2509.08096.

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2025Optimal Consumption-Investment with Epstein-Zin Utility under Leverage Constraint. (2025). Tian, Dejian ; Zhou, Jianjun ; Zhu, Zimu. In: Papers. RePEc:arx:papers:2509.21929.

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2025Dynamic Factor Analysis of Price Movements in the Philippine Stock Exchange. (2025). Dominic, Len Patrick ; Lim, Brian Godwin ; Dayta, Dominic ; Tiu, Benedict Ryan ; Tan, Renzo Roel ; Ikeda, Kazushi. In: Papers. RePEc:arx:papers:2510.15938.

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2025Selective Forgetting in Option Calibration: An Operator-Theoretic Gauss-Newton Framework. (2025). Ozsoy, Ahmet Umur. In: Papers. RePEc:arx:papers:2511.14980.

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2025Option-Implied Zero-Coupon Yields: Unifying Bond and Equity Markets. (2025). Lee, Ting-Jung ; Rachev, Svetlozar T ; Lindquist, Brent W ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2512.10823.

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2025Impact of Volatility on Time-Based Transaction Ordering Policies. (2025). Ko, Sunghun ; Park, Jinsuk. In: Papers. RePEc:arx:papers:2512.23386.

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2026Realised quantile-based estimation of the integrated variance. (2026). Oomen, Roel ; Podolskij, Mark ; Christensen, Kim. In: Papers. RePEc:arx:papers:2601.13006.

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2026Beyond Carr Madan: A Projection Approach to Risk-Neutral Moment Estimation. (2026). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2601.14852.

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2026Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment. (2026). Hounyo, Ulrich ; Podolskij, Mark ; Christensen, Kim. In: Papers. RePEc:arx:papers:2601.16613.

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2026The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing. (2026). Veliyev, Bezirgen ; Thyrsgaard, Martin ; Christensen, Kim. In: Papers. RePEc:arx:papers:2601.20469.

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2026Fact or friction: Jumps at ultra high frequency. (2026). Podolskij, Mark ; Christensen, Kim. In: Papers. RePEc:arx:papers:2602.10925.

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2026Asymptotic theory of range-based multipower variation. (2026). Podolskij, Mark ; Christensen, Kim. In: Papers. RePEc:arx:papers:2602.19287.

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2024Who should buy structured investment products and why?. (2024). Guidolin, Massimo ; Pedio, Manuela ; Leonetti, Giacomo. 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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2025The Shadow Rate Model: Let’s Make it Real!. (2025). Renne, Jean-Paul ; Guilloux-Nefussi, Sophie ; Golinski, Adam. In: Working papers. RePEc:bfr:banfra:1014.

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2025When does Monetary Policy Matter? Policy Stance vs. Term Premium News. (2025). Herbert, Sylvrie ; Hubert, Paul. In: Working papers. RePEc:bfr:banfra:1017.

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2026Inflation and Growth Risk: Balancing the Scales with Surveys. (2026). Tschopp, Adrien ; Mouabbi, Sarah ; Renne, Jean-Paul. In: Working papers. RePEc:bfr:banfra:1036.

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2025Inflation and the joint bond-FX spanning puzzle. (2025). Mehrotra, Aaron ; Gambacorta, Leonardo ; Sihvonen, Markus ; Schrimpf, Andreas. In: BIS Working Papers. RePEc:bis:biswps:1320.

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2024Can we Use High‐Frequency Data to Better Understand the Effects of Monetary Policy and its Communication? Yes and No!. (2024). Haque, Qazi ; Hambur, Jonathan. In: The Economic Record. RePEc:bla:ecorec:v:100:y:2024:i:328:p:3-43.

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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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2025Re-visiting the Relationship Between Oil Prices and Monetary Policy. (2025). Bjørnland, Hilde ; Haolz, Jonas ; Cross, Jamie L ; Bjaornland, Hilde C. In: Working Papers. RePEc:bny:wpaper:0139.

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2024Asymmetric expectations of monetary policy. (2024). Busetto, Filippo. In: Bank of England working papers. RePEc:boe:boeewp:1058.

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2024Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach. (2024). Zhao, Xueyan ; LINTON, OLIVER ; Hong, S Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2449.

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2025U.S. Risk and Treasury Convenience. (2025). Ostry, Daniel ; Marin, E ; Lloyd, S ; Corsetti, G. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2570.

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2024International Risk Sharing and Wealth Allocation with Higher Order Cumulants. (2024). Lombardo, G ; Corsetti, G ; Lipiska, A. In: Janeway Institute Working Papers. RePEc:cam:camjip:2422.

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2024Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach. (2024). Zhao, Xueyan ; LINTON, OLIVER ; Hong, S Y. In: Janeway Institute Working Papers. RePEc:cam:camjip:2423.

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2025U.S. Risk and Treasury Convenience. (2025). Ostry, Daniel ; Lloyd, S ; Corsetti, G ; Marin, E. In: Janeway Institute Working Papers. RePEc:cam:camjip:2526.

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2026The Spillovers of LSAPs on Banks in the Euro Area. (2026). Tischbirek, Andreas ; Graziano, Marco ; Koechlin, Marius. In: CESifo Working Paper Series. RePEc:ces:ceswps:_12409.

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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). Yang, Yang ; He, Weijun ; Ramsey, Thomas Stephen ; Xu, Shasha ; Jiang, Ningye ; Yuan, Liang. In: Agricultural Water Management. RePEc:eee:agiwat:v:295:y:2024:i:c:s0378377424000957.

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2025The impact of the COVID-19 pandemic on sovereign debt default risk. (2025). Meng, Hui ; Zhang, Ziyi ; Guo, Yanhong. In: Journal of Asian Economics. RePEc:eee:asieco:v:99:y:2025:i:c:s1049007825000569.

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2025How does the structure of an interest expense cap change the tax benefits of debt?. (2025). Bhanot, Karan ; Franois, Pascal ; Kadapakkam, Palani-Rajan. In: Journal of Corporate Finance. RePEc:eee:corfin:v:91:y:2025:i:c:s092911992500015x.

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

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2025Yield curve dynamics and fiscal policy shocks. (2025). Kučera, Adam ; Kočenda, Evžen ; Koenda, Even ; Marl, Ale ; Kuera, Adam. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:178:y:2025:i:c:s0165188925001101.

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2025The role of external habits and preference heterogeneity in the equity term structure. (2025). Gil, Hamilton Galindo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:178:y:2025:i:c:s016518892500123x.

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2025Merton (1976) implied jump. (2025). Fan, Zheqi ; Ruan, Xinfeng ; Yu, Junhong. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:180:y:2025:i:c:s0165188925001654.

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2025Housing rare disaster events and asset prices. (2025). Poncet, Patrice ; Chibane, Messaoud. In: Economic Modelling. RePEc:eee:ecmode:v:147:y:2025:i:c:s0264999325000653.

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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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2025Sovereign risk in emerging and advanced economies: The divergent roles of policy credibility and growth. (2025). Ozkan, Gulcin ; Erdem, Fatma Pinar. In: Economics Letters. RePEc:eee:ecolet:v:255:y:2025:i:c:s0165176525003453.

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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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2025The term structure of macroeconomic risks at the effective lower bound. (2025). Roussellet, Guillaume. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407623000143.

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2025Simulation-based estimation with many auxiliary statistics applied to long-run dynamic analysis. (2025). Antoine, Bertille ; Sun, Wenqian. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s030440762400160x.

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2025Identifying the volatility risk price through the leverage effect. (2025). Renault, Eric ; Sangrey, Paul ; Cheng, XU. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s030440762400294x.

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2025The benefits of returns and options in the estimation of GARCH models. A Heston-Nandi GARCH insight. (2025). Stentoft, Lars ; Escobar Anel, Marcos ; Ye, Xize ; Escobar-Anel, Marcos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:36:y:2025:i:c:p:1-18.

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2025The role of diagnostic ability in markets for expert services. (2025). Schwarz, Marco ; Liu, Fang ; Waibel, Christian ; Rasch, Alexander. In: European Economic Review. RePEc:eee:eecrev:v:180:y:2025:i:c:s001429212500176x.

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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 ; Ballestra, Luca Vincenzo ; Dinnocenzo, Enzo. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:3:p:1185-1194.

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2024Option valuation via nonaffine dynamics with realized volatility. (2024). Wang, Zerong ; Zhang, Yuanyuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000215.

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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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2024Persistent and transient variance components in option pricing models with variance-dependent Kernel. (2024). Ghanbari, Hamed. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000665.

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2024Time-varying variance decomposition of macro-finance term structure models. (2024). Hansen, Anne Lundgaard. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000975.

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2025Implied local volatility models. (2025). Li, Chenxu ; Xu, Chen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:80:y:2025:i:c:s0927539824001014.

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2025High frequency online inflation and term structure of interest rates: Evidence from China. (2025). Tang, Ke ; Liu, Taoxiong ; Zhang, Tao ; Jiang, Tingfeng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:83:y:2025:i:c:s0927539825000489.

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2025Behavioral biases, information frictions and interest rate expectations. (2025). Nawosah, Vivekanand ; Bulkley, George. In: Journal of Empirical Finance. RePEc:eee:empfin:v:83:y:2025:i:c:s0927539825000593.

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2025Foreign currency forecasting in emerging markets: What can stock and bond markets tell us?. (2025). Phylaktis, Kate ; Yamani, Ehab. In: Journal of Empirical Finance. RePEc:eee:empfin:v:83:y:2025:i:c:s0927539825000635.

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2024Oil price shocks and bond risk premia: Evidence from a panel of 15 countries. (2024). Lyrio, Marco ; Nersisyan, Liana ; Iania, Leonardo. In: Energy Economics. RePEc:eee:eneeco:v:139:y:2024:i:c:s0140988324006480.

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2025The stochastic behavior of electricity prices under scrutiny: Evidence from spot and futures markets. (2025). Li, Han ; Ignatieva, Katja ; Gmez, Fabio ; Bgin, Jean-Franois. In: Energy Economics. RePEc:eee:eneeco:v:144:y:2025:i:c:s0140988325001197.

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2025On the time-varying relation between monetary policy uncertainty and bond risk premia. (2025). Yin, Ximing ; Li, Luyang ; Yu, Deshui. In: International Review of Financial Analysis. RePEc:eee:finana:v:106:y:2025:i:c:s1057521925005526.

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

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2024Realized normal volatility and maximum outlying jumps in high frequency returns for Korean won–US Dollar. (2024). Chae-Deug, YI. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pa:s105752192400276x.

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2025Analysis of credit ABS based on Markov chain approaches. (2025). Liu, Fengming ; Song, Yingda. In: Finance Research Letters. RePEc:eee:finlet:v:71:y:2025:i:c:s1544612324014612.

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2025A unified factor model for emerging market currency comovements. (2025). Ling, Yufan. In: Finance Research Letters. RePEc:eee:finlet:v:86:y:2025:i:pg:s1544612325022135.

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2024Oil shocks and currency behavior: A dual approach to digital and traditional currencies. (2024). ben Zaied, Younes ; Yaqoob, Tanzeela ; Afshan, Sahar ; Mishra, Sibanjan. 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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2025Term premia and credit risk in emerging markets: The role of U.S. monetary policy. (2025). Sols, Pavel. In: Journal of International Economics. RePEc:eee:inecon:v:154:y:2025:i:c:s0022199625000017.

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2025Spillovers of US interest rates: Monetary policy & information effects. (2025). Camara, Santiago. In: Journal of International Economics. RePEc:eee:inecon:v:154:y:2025:i:c:s0022199625000157.

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2025Dynamic derivative-based pension investment with stochastic volatility: A behavioral perspective. (2025). Li, Zhongfei ; Chen, Zheng ; Zeng, Yan ; Shen, Yang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:125:y:2025:i:c:s0167668725001052.

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2025The role of US bank liquidity and regulations in Covered Interest Parity deviations. (2025). Winkelried, Diego ; Terrones, Marco ; Ortiz, Marco ; Bazn-Palomino, Walter. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:102:y:2025:i:c:s1042443125000630.

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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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2025Forecasting interest rates with shifting endpoints: The role of the functional demographic age distribution. (2025). Niu, Linlin ; Hong, Zhiwu ; Chen, Jiazi. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:153-174.

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2025A survey of models and methods used for forecasting when investing in financial markets. (2025). Swanson, Norman R ; Maung, Kenwin. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:4:p:1355-1382.

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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). van Dolder, Dennie ; Vandenbroucke, Jurgen. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:168:y:2024:i:c:s0378426624002073.

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2025A general option pricing framework for affine fractionally integrated models. (2025). Badescu, Alexandru ; Augustyniak, Maciej ; Jayaraman, Sarath Kumar ; Bgin, Jean-Franois. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:171:y:2025:i:c:s0378426624002607.

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2025Life insurance convexity. (2025). Kubitza, Christian ; Grochola, Nicolaus ; Grndl, Helmut. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:178:y:2025:i:c:s0378426625001220.

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2025The cross section of stock returns in an artificial stock market. (2025). van Cappelle, Tjeerd ; Pokidin, Dmytro. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:239:y:2025:i:c:s0167268125003774.

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2024Persistent and transitory components of firm characteristics: Implications for asset pricing. (2024). Boons, Martijn ; Baba-Yara, Fahiz ; Tamoni, Andrea. 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). Hanson, Samuel G ; Venter, Gyuri ; Malkhozov, Aytek. 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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2024Measuring macroeconomic tail risk. (2024). Penasse, Julien ; Marfe, Roberto. In: Journal of Financial Economics. RePEc:eee:jfinec:v:156:y:2024:i:c:s0304405x24000618.

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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]		article70
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]		paper15
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: 15		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: 15		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: 15		paper
2007Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11 In: Journal of Finance.
[Full Text][Citation analysis]		article87
2007Model Specification and Risk Premia: Evidence from Futures Options In: Journal of Finance.
[Full Text][Citation analysis]		article274
2011Disasters Implied by Equity Index Options In: Journal of Finance.
[Full Text][Citation analysis]		article147
2009Disasters implied by equity index options.(2009) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 147		paper
2009Disasters implied by equity index options.(2009) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 147		paper
2009Disasters Implied by Equity Index Options.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 147		paper
2014Sources of Entropy in Representative Agent Models In: Journal of Finance.
[Full Text][Citation analysis]		article73
2011Sources of entropy in representative agent models.(2011) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 73		paper
2011Sources of Entropy in Representative Agent Models.(2011) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 73		paper
2011Sources of Entropy in Representative Agent Models.(2011) In: Working Papers.
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This paper has nother version. Agregated cites: 73		paper
2020A Macrofinance View of U.S. Sovereign CDS Premiums In: Journal of Finance.
[Full Text][Citation analysis]		article17
2016A Macrofinance View of U.S. Sovereign CDS Premiums.(2016) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		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: 17		paper
2023International Yield Curves and Currency Puzzles In: Journal of Finance.
[Full Text][Citation analysis]		article3
2018International yield curves and currency puzzles.(2018) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2018International Yield Curves and Currency Puzzles.(2018) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2023Pricing Currency Risks In: Journal of Finance.
[Full Text][Citation analysis]		article7
2020Pricing Currency Risks.(2020) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 7		paper
2020Pricing Currency Risks.(2020) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 7		paper
2024Interest Rate Skewness and Biased Beliefs In: Journal of Finance.
[Full Text][Citation analysis]		article28
2021Interest Rate Skewness and Biased Beliefs.(2021) In: CESifo Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 28		paper
2021Interest Rate Skewness and Biased Beliefs.(2021) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 28		paper
2021Interest rate skewness and biased beliefs.(2021) In: IMFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 28		paper
2024The Term Structure of Covered Interest Rate Parity Violations In: Journal of Finance.
[Full Text][Citation analysis]		article4
2020The Term Structure of Covered Interest Rate Parity Violations.(2020) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2024Nonstandard Errors In: Journal of Finance.
[Full Text][Citation analysis]		article16
2024Nonstandard errors.(2024) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2021Non-Standard Errors.(2021) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2024Nonstandard Errors.(2024) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2021Non-Standard Errors.(2021) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2021Non-Standard Errors.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2021Non-Standard Errors.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2002Alternative Models for Stock Price Dynamics In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper496
2002Alternative Models for Stock Price Dynamic.(2002) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 496		paper
2003Alternative models for stock price dynamics.(2003) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 496		article
2003Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper14
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: 14		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]		paper18
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: 18		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: 18		article
2016Term structures of asset prices and returns In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper31
2018Term structures of asset prices and returns.(2018) In: Journal of Financial Economics.
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This paper has nother version. Agregated cites: 31		article
2016Term structures of asset prices and returns.(2016) In: Staff Reports.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 31		paper
2016Term Structures of Asset Prices and Returns.(2016) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 31		paper
2016Term structures of asset prices and returns.(2016) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 31		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.
[Full Text][Citation analysis]
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]		paper8
2018Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off.(2018) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
2022Conditional Dynamics and the Multihorizon Risk-Return Trade-Off.(2022) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		article
2019Benchmark interest rates when the government is risky In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper15
2021Benchmark interest rates when the government is risky.(2021) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		article
2019Benchmark Interest Rates When the Government is Risky.(2019) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		paper
2020The term structure of CIP violations In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper3
2007Understanding Index Option Returns In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper119
2009Understanding Index Option Returns.(2009) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 119		article
2008The Term Structure of Inflation Expectations In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper153
2012The term structure of inflation expectations.(2012) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 153		article
2008The Term Structure of Inflation Expectations.(2008) In: 2008 Meeting Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 153		paper
2008Monetary Policy Regimes and the Term Structure of Interest Rates In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper64
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: 64		article
2009Monetary Policy Regimes and the Term Structure of Interest Rates.(2009) In: 2009 Meeting Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 64		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
.() In: .
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This paper has nother version. Agregated cites: 4		paper
2013CDS Auctions.(2013) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
2012Sources of Risk in Currency Returns In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper6
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 nother version. Agregated cites: 4		paper
2018Crash Risk in Currency Returns In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article52
2012Crash Risk in Currency Returns.(2012) In: 2012 Meeting Papers.
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This paper has nother version. Agregated cites: 52		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]		article70
2010No-arbitrage macroeconomic determinants of the yield curve In: Journal of Econometrics.
[Full Text][Citation analysis]		article80
2010No-arbitrage macroeconomic determinants of the yield curve.(2010) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 80		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]		article261
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]		article27
2015Arginylation regulates purine nucleotide biosynthesis by enhancing the activity of phosphoribosyl pyrophosphate synthase In: Nature Communications.
[Full Text][Citation analysis]		article1
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 nother version. Agregated cites: 3		paper
2021The Real Channel for Nominal Bond-Stock Puzzles In: NBER Working Papers.
[Full Text][Citation analysis]		paper1
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
2024Reassessing Sources of Risk Premiums in Currency Markets In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2025The Comovement of Voter Preferences: Insights from U.S. Presidential Election Prediction Markets Beyond Polls In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2025A Test of the Efficiency of a Given Portfolio in High Dimensions In: NBER Working Papers.
[Full Text][Citation analysis]		paper2
2025Unpriced Risks: Rethinking Cross-Sectional Asset Pricing 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]		article18
2021The PPP View of Multihorizon Currency Risk Premiums In: The Review of Financial Studies.
[Full Text][Citation analysis]		article4
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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