.
Chernov, Mikhail's
Scholarly Papers
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Aggregate Statistics
Total 9,258
Total Citations 342
1.
Chernov, Mikhail London School of Economics
Gallant, A. Ronald Duke University - Fuqua School of Business, Economics Group
Ghysels, Eric University of North Carolina (UNC) at Chapel Hill - Department of Economics
Tauchen, George Duke University - Economics Group
2,128(2,559)
15
2.
Chernov, Mikhail London School of Economics
1,150(7,346)
9
Implied Volatility, Realized Volatility, Historical Volatility, Spot Volatility, Quadratic Variation, Jump-Diffusion Processes, Market Prices of Risk, Error-in-the-Variables Problem
3.
Chernov, Mikhail London School of Economics
Ghysels, Eric University of North Carolina (UNC) at Chapel Hill - Department of Economics
882(11,270)
3
4.
Chernov, Mikhail London School of Economics
Gallant, A. Ronald Duke University - Fuqua School of Business, Economics Group
Ghysels, Eric University of North Carolina (UNC) at Chapel Hill - Department of Economics
Tauchen, George Duke University - Economics Group
820(12,683)
11
5.
Understanding Index Option Returns
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Review of Financial Studies, Vol. 22, No. 11, pp. 4493-4529, 2009 Review of Financial Studies, Vol. 22, No. 11, pp. 4493-4529, 2008, Columbia Business School Research Paper The Review of Financial Studies, Vol. 22, Issue 11, pp. 4493-4529, 2009 CEPR Discussion Paper No. DP6239 AFA 2008 New Orleans Meetings Paper
Understanding Index Option Returns
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Broadie, Mark Columbia University - Columbia Business School - Decision Risk and Operations
Chernov, Mikhail London School of Economics
Johannes, Michael Columbia University
Posted:
28 Feb 07
Last Revised:
22 Oct 11
812(12,876)
33
Broadie, Mark Columbia University - Columbia Business School - Decision Risk and Operations
Chernov, Mikhail London School of Economics
Guther, Michael Johannes Columbia University - Columbia Business School
31
33
Broadie, Mark Columbia University - Columbia Business School - Decision Risk and Operations
Chernov, Mikhail London School of Economics
Johannes, Michael Columbia University
33
33
Broadie, Mark Columbia University - Columbia Business School - Decision Risk and Operations
Chernov, Mikhail London School of Economics
0
Broadie, Mark Columbia University - Columbia Business School - Decision Risk and Operations
Chernov, Mikhail London School of Economics
Johannes, Michael S. Columbia Business School - Finance and Economics
1
33
jump risk premia, jump-diffusion models, options returns, put pricing puzzle
Broadie, Mark Columbia University - Columbia Business School - Decision Risk and Operations
Johannes, Michael S. Columbia Business School - Finance and Economics
Chernov, Mikhail London School of Economics
747
33
put pricing puzzle, option returns, jump-diffusion models, risk premia
6.
Chernov, Mikhail London School of Economics
621(19,024)
3
Pricing kernel, risk-neutral valuation, simulated method of moments, reprojection
7.
Carrasco, Marine University of Montreal - Departement de Ciences Economiques
Chernov, Mikhail London School of Economics
Ghysels, Eric University of North Carolina (UNC) at Chapel Hill - Department of Economics
Florens, Jean-Pierre University of Toulouse
585(20,680)
14
maximum likelihood estimation, jump diffusion processes, generalized method of moments, continuum of moment conditions, characteristic function, term structure models
8.
Bikbov, Ruslan Columbia Business School
Chernov, Mikhail London School of Economics
470(27,633)
32
Term structure, no-arbitrage affine models, macroeconomics, monetary policy, credit spread, budget deficit
9.
Broadie, Mark Columbia University - Columbia Business School - Decision Risk and Operations
Johannes, Michael S. Columbia Business School - Finance and Economics
Chernov, Mikhail London School of Economics
448(29,488)
99
10.
Bikbov, Ruslan Columbia Business School
Chernov, Mikhail London School of Economics
414(32,703)
16
11.
The Term Structure of Inflation Expectations
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Chernov, Mikhail London School of Economics
Mueller, Philippe London School of Economics & Political Science (LSE) - Department of Finance
Posted:
19 Mar 08
Last Revised:
02 Apr 09
300(48,252)
22
Chernov, Mikhail London School of Economics
Mueller, Philippe London School of Economics & Political Science (LSE) - Department of Finance
9
22
inflation, macro-finance term structure model, monetary policy, survey forecasts
Chernov, Mikhail London School of Economics
Mueller, Philippe London School of Economics & Political Science (LSE) - Department of Finance
Posted:
19 Mar 08
Last Revised:
02 Apr 09
291
22
inflation expectations, monetary policy, macro-finance, term structure model
12.
Broadie, Mark Columbia University - Columbia Business School - Decision Risk and Operations
Chernov, Mikhail London School of Economics
Sundaresan, Suresh M. Columbia Business School - Finance and Economics
241(61,617)
27
Contingent Claims Approach, Default, Liquidation, Optimal Security Values, Control transfer
13.
CDs Auctions
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Chernov, Mikhail London School of Economics
Gorbenko, Alexander S. London Business School
Makarov, Igor London Business School
Posted:
17 Jun 11
Last Revised:
20 Jul 12
165(89,949)
3
Chernov, Mikhail London School of Economics
Gorbenko, Alexander S. London Business School
Makarov, Igor London Business School
5
3
auctions, credit default swaps, mispricing, open interest, settlement
Chernov, Mikhail London School of Economics
Gorbenko, Alexander S. London Business School
Makarov, Igor London Business School
Posted:
17 Jun 11
Last Revised:
20 Jul 12
160
3
credit default swaps, auctions, settlement, open interest
14.
Chernov, Mikhail London School of Economics
Graveline, Jeremy J. University of Minnesota - Carlson School of Management
Zviadadze, Irina London Business School - Department of Finance
158(93,554)
1
currency speculation, crashes, jumps, entropy, Bayesian MCMC
15.
Sources of Entropy in Representative Agent Models
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Backus, David K. NYU Stern School of Business
Chernov, Mikhail London School of Economics
Zin, Stanley E. New York University (NYU)
Posted:
13 Jul 11
Last Revised:
15 Oct 11
33(235,824)
6
Backus, David K. NYU Stern School of Business
Chernov, Mikhail London School of Economics
Zin, Stanley E. Leonard N. Stern School of Business - Department of Economics
1
6
asset returns, bond yields, disasters, habits, jumps, pricing kernel, recursive preferences
Backus, David K. NYU Stern School of Business
Chernov, Mikhail London School of Economics
Zin, Stanley E. New York University (NYU)
6
6
Backus, David K. NYU Stern School of Business
Chernov, Mikhail London School of Economics
Zin, Stanley E. New York University (NYU)
26
6
pricing kernel, asset returns, bond yields, recursive preferences, habits, jumps, disasters
16.
Disasters Implied by Equity Index Options
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Backus, David K. NYU Stern School of Business
Chernov, Mikhail London School of Economics
Martin, Ian Stanford University
Posted:
18 Aug 09
Last Revised:
24 Aug 10
22(268,606)
32
Backus, David K. NYU Stern School of Business
Chernov, Mikhail London School of Economics
Martin, Ian Stanford University
4
32
cumulants, entropy, equity premium, implied volatility, pricing kernel, risk-neutral probabilities
Backus, David K. NYU Stern School of Business
Chernov, Mikhail London School of Economics
Martin, Ian Stanford University
18
32
17.
Chernov, Mikhail London School of Economics
Graveline, Jeremy J. University of Minnesota - Carlson School of Management
Zviadadze, Irina London Business School - Department of Finance
7(320,004)
Bayesian MCMC, carry trades, exchange rates, implied volatility, jumps
18.
Bikbov, Ruslan Columbia Business School
Chernov, Mikhail London School of Economics
2(336,218)
14
great moderation, monetary policy, regime switches, structural VAR, term structure model
19.
Chernov, Mikhail London School of Economics
Ghysels, Eric University of North Carolina (UNC) at Chapel Hill - Department of Economics
20.
Chernov, Mikhail London School of Economics
Ghysels, Eric University of North Carolina (UNC) at Chapel Hill - Department of Economics
