Mikhail Chernov

UCLA Anderson

Professor

110 Westwood Plaza

Los Angeles, CA 90095-1481

United States

SCHOLARLY PAPERS

37

DOWNLOADS
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SSRN RANKINGS

Top 2,171

in Total Papers Downloads

24,072

SSRN CITATIONS
Rank 722

SSRN RANKINGS

Top 722

in Total Papers Citations

815

CROSSREF CITATIONS

936

Scholarly Papers (37)

1.

A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation

Number of pages: 37 Posted: 07 Nov 1999
UCLA Anderson, Duke University - Fuqua School of Business, Economics Group, University of North Carolina Kenan-Flagler Business School and Duke University - Economics Group
Downloads 2,464 (9,285)
Citation 33

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2.
Downloads 1,392 (22,731)
Citation 110

Understanding Index Option Returns

AFA 2008 New Orleans Meetings Paper
Number of pages: 51 Posted: 28 Feb 2007
Mark Broadie, Michael S. Johannes and Mikhail Chernov
Columbia University - Columbia Business School - Decision Risk and Operations, Graduate School of Business, Columbia University and UCLA Anderson
Downloads 1,081 (32,421)
Citation 5

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put pricing puzzle, option returns, jump-diffusion models, risk premia

Understanding Index Option Returns

Review of Financial Studies, Vol. 22, No. 11, pp. 4493-4529, 2009
Number of pages: 48 Posted: 22 Oct 2011
Mark Broadie, Mikhail Chernov and Michael Johannes Guther
Columbia University - Columbia Business School - Decision Risk and Operations, UCLA Anderson and Columbia University - Columbia Business School
Downloads 227 (214,516)

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Understanding Index Option Returns

Review of Financial Studies, Vol. 22, No. 11, pp. 4493-4529, 2008, Columbia Business School Research Paper
Number of pages: 48 Posted: 20 Oct 2011
Mark Broadie, Mikhail Chernov and Michael Johannes
Columbia University - Columbia Business School - Decision Risk and Operations, UCLA Anderson and Columbia University
Downloads 83 (476,324)

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Understanding Index Option Returns

CEPR Discussion Paper No. DP6239
Number of pages: 54 Posted: 21 May 2008
Mark Broadie, Mikhail Chernov and Michael S. Johannes
Columbia University - Columbia Business School - Decision Risk and Operations, UCLA Anderson and Graduate School of Business, Columbia University
Downloads 1 (1,014,764)
Citation 31
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jump risk premia, jump-diffusion models, options returns, put pricing puzzle

Understanding Index Option Returns

The Review of Financial Studies, Vol. 22, Issue 11, pp. 4493-4529, 2009
Posted: 08 Dec 2009
Mark Broadie and Mikhail Chernov
Columbia University - Columbia Business School - Decision Risk and Operations and UCLA Anderson

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3.
Downloads 1,379 (23,054)
Citation 7

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Implied Volatility, Realized Volatility, Historical Volatility, Spot Volatility, Quadratic Variation, Jump-Diffusion Processes, Market Prices of Risk, Error-in-the-Variables Problem

4.

What Data Should Be Used to Price Options?

Number of pages: 49 Posted: 29 Aug 1998
Mikhail Chernov and Eric Ghysels
UCLA Anderson and University of North Carolina Kenan-Flagler Business School
Downloads 979 (37,840)
Citation 5

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5.

Alternative Models of Stock Prices Dynamics

Number of pages: 38 Posted: 31 Jan 2001
UCLA Anderson, Duke University - Fuqua School of Business, Economics Group, University of North Carolina Kenan-Flagler Business School and Duke University - Economics Group
Downloads 955 (39,184)
Citation 92

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6.

A Case of Empirical Reverse Engineering: Estimation of the Pricing Kernel

Number of pages: 65 Posted: 30 Sep 2000
Mikhail Chernov
UCLA Anderson
Downloads 693 (60,540)
Citation 2

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Pricing kernel, risk-neutral valuation, simulated method of moments, reprojection

7.

Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions

Number of pages: 73 Posted: 17 Dec 2002
University of Montreal - Departement de Ciences Economiques, UCLA Anderson, University of North Carolina Kenan-Flagler Business School and University of Toulouse
Downloads 691 (60,778)
Citation 29

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maximum likelihood estimation, jump diffusion processes, generalized method of moments, continuum of moment conditions, characteristic function, term structure models

8.

Term Structure and Volatility: Lessons from the Eurodollar Markets

Number of pages: 65 Posted: 08 Jul 2004
Ruslan Bikbov and Mikhail Chernov
Columbia Business School and UCLA Anderson
Downloads 667 (63,709)
Citation 29

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9.

No-Arbitrage Macroeconomic Determinants of the Yield Curve

AFA 2006 Boston Meetings Paper, EFA 2005 Moscow Meetings Paper
Number of pages: 55 Posted: 11 Jul 2005
Ruslan Bikbov and Mikhail Chernov
Columbia Business School and UCLA Anderson
Downloads 583 (75,483)
Citation 41

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Term structure, no-arbitrage affine models, macroeconomics, monetary policy, credit spread, budget deficit

10.

Model Specification and Risk Premia: Evidence from Futures Options

Number of pages: 71 Posted: 20 Feb 2004
Mark Broadie, Michael S. Johannes and Mikhail Chernov
Columbia University - Columbia Business School - Decision Risk and Operations, Graduate School of Business, Columbia University and UCLA Anderson
Downloads 534 (84,252)
Citation 135

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11.

Crash Risk in Currency Returns

Number of pages: 70 Posted: 16 Mar 2012 Last Revised: 03 Apr 2015
Mikhail Chernov, Jeremy Graveline and Irina Zviadadze
UCLA Anderson, University of Minnesota - Carlson School of Management and HEC Paris
Downloads 418 (113,000)
Citation 40

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currency speculation, crashes, jumps, entropy, Bayesian MCMC

Interest Rate Skewness and Biased Beliefs

CESifo Working Paper No. 9150
Number of pages: 62 Posted: 24 Jun 2021
Mikhail Chernov and Michael Bauer
UCLA Anderson and Universität Hamburg
Downloads 183 (261,908)

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bond risk premia, slope, asymmetry, skewness, biased beliefs, monetary policy

Interest Rate Skewness and Biased Beliefs

Forthcoming in Journal of Finance
Number of pages: 60 Posted: 06 Jan 2023
Michael Bauer and Mikhail Chernov
Universität Hamburg and UCLA Anderson
Downloads 162 (291,226)

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Bond risk premia, slope, asymmetry, skewness, biased beliefs, monetary policy

Interest Rate Skewness and Biased Beliefs

NBER Working Paper No. w28954
Number of pages: 61 Posted: 28 Jun 2021 Last Revised: 11 Feb 2023
Michael Bauer and Mikhail Chernov
Universität Hamburg and UCLA Anderson
Downloads 57 (586,426)

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Interest Rate Skewness and Biased Beliefs

CEPR Discussion Paper No. DP16274
Number of pages: 64 Posted: 14 Jul 2021 Last Revised: 04 Feb 2022
Michael Bauer and Mikhail Chernov
Universität Hamburg and UCLA Anderson
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Biased Beliefs, Bond Markets, monetary policy, Skewness, yield curve

13.
Downloads 395 (120,673)
Citation 106

The Term Structure of Inflation Expectations

Number of pages: 56 Posted: 19 Mar 2008 Last Revised: 02 Apr 2009
Mikhail Chernov and Philippe Mueller
UCLA Anderson and Warwick Business School Finance Group
Downloads 386 (122,746)
Citation 29

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inflation expectations, monetary policy, macro-finance, term structure model

The Term Structure of Inflation Expectations

CEPR Discussion Paper No. DP6809
Number of pages: 59 Posted: 12 Jun 2008
Mikhail Chernov and Philippe Mueller
UCLA Anderson and Warwick Business School Finance Group
Downloads 9 (945,131)
Citation 17
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inflation, macro-finance term structure model, monetary policy, survey forecasts

14.
Downloads 317 (153,527)
Citation 7

CDS Auctions

Number of pages: 56 Posted: 17 Jun 2011 Last Revised: 20 Jul 2012
Mikhail Chernov, Alexander S. Gorbenko and Igor Makarov
UCLA Anderson, University College London - Department of Economics and School of Management and London School of Economics & Political Science (LSE)
Downloads 312 (155,139)
Citation 1

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credit default swaps, auctions, settlement, open interest

CDs Auctions

CEPR Discussion Paper No. DP8456
Number of pages: 44 Posted: 20 Jul 2011
Mikhail Chernov, Alexander S. Gorbenko and Igor Makarov
UCLA Anderson, University College London - Department of Economics and School of Management and London School of Economics & Political Science (LSE)
Downloads 5 (981,941)
Citation 1
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auctions, credit default swaps, mispricing, open interest, settlement

15.

Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11

Number of pages: 49 Posted: 05 Feb 2005
Mark Broadie, Mikhail Chernov and Suresh M. Sundaresan
Columbia University - Columbia Business School - Decision Risk and Operations, UCLA Anderson and Columbia University - Columbia Business School, Finance
Downloads 304 (160,504)
Citation 20

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Contingent Claims Approach, Default, Liquidation, Optimal Security Values, Control transfer

Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off

Number of pages: 59 Posted: 24 Dec 2018 Last Revised: 07 Aug 2020
Mikhail Chernov, Lars A. Lochstoer and Stig H.R. Lundeby
UCLA Anderson, University of California, Los Angeles (UCLA) - Anderson School of Management and Norwegian School of Economics (NHH)
Downloads 210 (230,974)

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multi-horizon returns, linear factor models, stochastic discount factor

Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off

NBER Working Paper No. w25361
Number of pages: 60 Posted: 17 Dec 2018 Last Revised: 19 Apr 2023
Mikhail Chernov, Lars A. Lochstoer and Stig H.R. Lundeby
UCLA Anderson, University of California, Los Angeles (UCLA) - Anderson School of Management and Norwegian School of Economics (NHH)
Downloads 54 (601,809)
Citation 1

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Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off

CEPR Discussion Paper No. DP13365
Number of pages: 62 Posted: 11 Dec 2018 Last Revised: 16 Aug 2020
Mikhail Chernov, Lars A. Lochstoer and Stig H.R. Lundeby
UCLA Anderson, University of California, Los Angeles (UCLA) - Anderson School of Management and Norwegian School of Economics (NHH)
Downloads 0
Citation 1
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linear factor models, multi-horizon returns, Stochastic discount factor

17.
Downloads 125 (357,514)
Citation 1

The Real Explanation of Nominal Bond-Stock Puzzles

Number of pages: 60 Posted: 22 Jul 2021
Mikhail Chernov, Lars A. Lochstoer and Dongho Song
UCLA Anderson, University of California, Los Angeles (UCLA) - Anderson School of Management and Johns Hopkins University - Carey Business School
Downloads 117 (376,960)

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Consumption dynamics, Stocks, Bonds, Term Structure

The Real Channel for Nominal Bond-Stock Puzzles

NBER Working Paper No. w29085
Number of pages: 60 Posted: 26 Jul 2021 Last Revised: 16 Apr 2023
Mikhail Chernov, Lars A. Lochstoer and Dongho Song
UCLA Anderson, University of California, Los Angeles (UCLA) - Anderson School of Management and Johns Hopkins University - Carey Business School
Downloads 8 (954,678)
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The Real Channel for Nominal Bond-Stock Puzzles

CEPR Discussion Paper No. DP16381
Number of pages: 62 Posted: 22 Sep 2021 Last Revised: 04 Feb 2022
Mikhail Chernov, Lars A. Lochstoer and Dongho Song
UCLA Anderson, University of California, Los Angeles (UCLA) - Anderson School of Management and Johns Hopkins University - Carey Business School
Downloads 0
Citation 1
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bond yield curve, bond-stock comovement, equity yield curve, permanent and transitory components of consumption

18.
Downloads 122 (363,960)
Citation 27

Term Structures of Asset Prices and Returns

FRB of NY Staff Report No. 774
Number of pages: 46 Posted: 13 Apr 2016 Last Revised: 30 Aug 2017
David K. Backus, Nina Boyarchenko and Mikhail Chernov
NYU Stern School of Business (deceased), Federal Reserve Bank of New York and UCLA Anderson
Downloads 74 (510,025)

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entropy, coentropy, term structure, yields, excess returns

Term Structures of Asset Prices and Returns

NBER Working Paper No. w22162
Number of pages: 53 Posted: 11 Apr 2016 Last Revised: 21 Jan 2023
David K. Backus, Nina Boyarchenko and Mikhail Chernov
NYU Stern School of Business (deceased), Federal Reserve Bank of New York and UCLA Anderson
Downloads 48 (635,171)

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Term Structures of Asset Prices and Returns

CEPR Discussion Paper No. DP11227
Number of pages: 48 Posted: 18 Apr 2016
David K. Backus, Nina Boyarchenko and Mikhail Chernov
NYU Stern School of Business (deceased), Federal Reserve Bank of New York and UCLA Anderson
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Citation 20
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entropy; coentropy; term structure; yields; excess returns

19.

Determinants of Asia-Pacific Government Bond Yields

BIS Paper No. 102c
Number of pages: 11 Posted: 22 May 2019
Mikhail Chernov, Drew Creal and Peter Hördahl
UCLA Anderson, University of Notre Dame and Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific
Downloads 88 (455,108)

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emerging market bonds, bond risk premia, currency risk, credit risk

20.
Downloads 86 (461,637)
Citation 63

Sources of Entropy in Representative Agent Models

NYU Working Paper No. 2451/29940
Number of pages: 55 Posted: 13 Jul 2011
David K. Backus, Mikhail Chernov and Stanley E. Zin
NYU Stern School of Business (deceased), UCLA Anderson and New York University (NYU)
Downloads 56 (591,411)

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pricing kernel, asset returns, bond yields, recursive preferences, habits, jumps, disasters

Sources of Entropy in Representative Agent Models

NBER Working Paper No. w17219
Number of pages: 56 Posted: 16 Jul 2011 Last Revised: 19 Jan 2023
David K. Backus, Mikhail Chernov and Stanley E. Zin
NYU Stern School of Business (deceased), UCLA Anderson and New York University (NYU)
Downloads 29 (763,985)
Citation 26

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Sources of Entropy in Representative Agent Models

CEPR Discussion Paper No. DP8488
Number of pages: 58 Posted: 20 Jul 2011
David K. Backus, Mikhail Chernov and Stanley E. Zin
NYU Stern School of Business (deceased), UCLA Anderson and Leonard N. Stern School of Business - Department of Economics
Downloads 1 (1,014,764)
Citation 10
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asset returns, bond yields, disasters, habits, jumps, pricing kernel, recursive preferences

Identifying Taylor Rules in Macro-Finance Models

NYU Working Paper No. 2451/31978
Number of pages: 27 Posted: 28 Aug 2013
David K. Backus, Mikhail Chernov and Stanley E. Zin
NYU Stern School of Business (deceased), UCLA Anderson and Leonard N. Stern School of Business - Department of Economics
Downloads 44 (659,055)

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forward-looking models; information sets;, monetary policy; exponential-affine models

Identifying Taylor Rules in Macro-Finance Models

NBER Working Paper No. w19360
Number of pages: 29 Posted: 24 Aug 2013 Last Revised: 27 May 2023
NYU Stern School of Business (deceased), UCLA Anderson, New York University (NYU) and HEC Paris
Downloads 37 (704,765)

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Monetary Policy Risk: Rules vs. Discretion

CEPR Discussion Paper No. DP9611
Number of pages: 64 Posted: 03 Sep 2013 Last Revised: 14 Jul 2021
NYU Stern School of Business (deceased), UCLA Anderson, Leonard N. Stern School of Business - Department of Economics and HEC Paris
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22.
Downloads 68 (527,584)
Citation 2

The Term Structure of Cip Violations

NBER Working Paper No. w27231
Number of pages: 50 Posted: 26 May 2020 Last Revised: 29 May 2022
McGill UniversityMcGill University, Desautels Faculty of Management, UCLA Anderson, University of Southern California - Marshall School of Business and Johns Hopkins University - Carey Business School
Downloads 68 (534,854)
Citation 2

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The Term Structure of Cip Violations

CEPR Discussion Paper No. DP14774
Number of pages: 52 Posted: 28 May 2020 Last Revised: 11 Feb 2021
McGill UniversityMcGill University, Desautels Faculty of Management, UCLA Anderson, University of Southern California - Marshall School of Business and Johns Hopkins University - Carey Business School
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Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities

NBER Working Paper No. w22096
Number of pages: 60 Posted: 21 Mar 2016 Last Revised: 18 May 2023
Mikhail Chernov, Brett Dunn and Francis A. Longstaff
UCLA Anderson, University of California, Los Angeles (UCLA) and University of California, Los Angeles (UCLA) - Finance Area
Downloads 60 (571,503)
Citation 14

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Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities

CEPR Discussion Paper No. DP10947
Posted: 18 Apr 2016
Mikhail Chernov, Brett Dunn and Francis A. Longstaff
UCLA Anderson, University of California, Los Angeles (UCLA) and University of California, Los Angeles (UCLA) - Finance Area

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Affine models, mortgage-backed securities, prepayment function

24.
Downloads 53 (595,722)
Citation 123

Disasters Implied by Equity Index Options

NBER Working Paper No. w15240
Number of pages: 44 Posted: 18 Aug 2009 Last Revised: 22 Feb 2023
David K. Backus, Mikhail Chernov and Ian Martin
NYU Stern School of Business (deceased), UCLA Anderson and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 49 (629,373)

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Disasters Implied by Equity Index Options

CEPR Discussion Paper No. DP7416
Number of pages: 46 Posted: 08 Sep 2009
David K. Backus, Mikhail Chernov and Ian Martin
NYU Stern School of Business (deceased), UCLA Anderson and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 4 (990,569)
Citation 27
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cumulants, entropy, equity premium, implied volatility, pricing kernel, risk-neutral probabilities

25.
Downloads 47 (627,390)
Citation 5

Pricing Currency Risks

NBER Working Paper No. w28260
Number of pages: 51 Posted: 21 Mar 2021 Last Revised: 15 May 2023
Mikhail Chernov, Magnus Dahlquist and Lars A. Lochstoer
UCLA Anderson, Stockholm School of Economics and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 45 (652,822)

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Pricing Currency Risks

CEPR Discussion Paper No. DP15571
Number of pages: 57 Posted: 23 Dec 2020 Last Revised: 11 Feb 2021
Mikhail Chernov, Magnus Dahlquist and Lars A. Lochstoer
UCLA Anderson, Stockholm School of Economics and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 2 (1,006,654)
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Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads

NBER Working Paper No. w24506
Number of pages: 73 Posted: 24 Apr 2018 Last Revised: 18 Dec 2022
McGill UniversityMcGill University, Desautels Faculty of Management, UCLA Anderson and Johns Hopkins University - Carey Business School
Downloads 44 (659,055)

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Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads

CEPR Discussion Paper No. DP12857
Number of pages: 73 Posted: 16 Apr 2018
McGill UniversityMcGill University, Desautels Faculty of Management, UCLA Anderson and Johns Hopkins University - Carey Business School
Downloads 2 (1,006,654)
Citation 1
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contagion, credit default swaps, credit risk, Exchange Rates, Sovereign debt

27.
Downloads 38 (680,273)
Citation 2

International Yield Curves and Currency Puzzles

NBER Working Paper No. w25206
Number of pages: 83 Posted: 05 Nov 2018 Last Revised: 17 May 2023
Mikhail Chernov and Drew Creal
UCLA Anderson and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 38 (697,877)

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International Yield Curves and Currency Puzzles

CEPR Discussion Paper No. DP13252
Number of pages: 85 Posted: 22 Oct 2018 Last Revised: 29 Mar 2022
Mikhail Chernov and Drew Creal
UCLA Anderson and University of Chicago - Booth School of Business - Econometrics and Statistics
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affine models, bond valuation, Exchange Rates, FX disconnect

Multihorizon Currency Returns and Purchasing Power Parity

NBER Working Paper No. w24563
Number of pages: 59 Posted: 02 May 2018 Last Revised: 12 Feb 2023
Mikhail Chernov and Drew Creal
UCLA Anderson and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 21 (830,975)

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Multihorizon Currency Returns and Purchasing Power Parity

CEPR Discussion Paper No. DP12893
Number of pages: 63 Posted: 01 May 2018 Last Revised: 22 Oct 2018
Mikhail Chernov and Drew Creal
UCLA Anderson and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 1 (1,014,764)
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affine term structure model, cointegration, multiple horizons, purchasing power parity, uncovered interest parity

Benchmark Interest Rates When the Government is Risky

NBER Working Paper No. w26429
Number of pages: 72 Posted: 06 Nov 2019 Last Revised: 20 Mar 2022
McGill UniversityMcGill University, Desautels Faculty of Management, UCLA Anderson, University of Southern California - Marshall School of Business and Johns Hopkins University - Carey Business School
Downloads 19 (849,208)

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Benchmark Interest Rates When the Government is Risky

CEPR Discussion Paper No. DP14105
Number of pages: 74 Posted: 15 Nov 2019 Last Revised: 02 Dec 2019
McGill UniversityMcGill University, Desautels Faculty of Management, UCLA Anderson, University of Southern California - Marshall School of Business and Johns Hopkins University - Carey Business School
Downloads 0
Citation 2
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negative swap rates, recursive preferences, sovereign credit risk, term structure

30.

Monetary Policy Risk: Rules vs. Discretion

NBER Working Paper No. w28983
Number of pages: 61 Posted: 05 Jul 2021 Last Revised: 12 Mar 2023
NYU Stern School of Business (deceased), UCLA Anderson, New York University (NYU) and HEC Paris
Downloads 12 (883,930)

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Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds

NBER Working Paper No. w27500
Number of pages: 58 Posted: 14 Jul 2020 Last Revised: 15 May 2023
Mikhail Chernov, Drew Creal and Peter Hördahl
UCLA Anderson, University of Notre Dame and Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific
Downloads 8 (954,678)

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Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds

CEPR Discussion Paper No. DP14986
Posted: 18 Aug 2020
Mikhail Chernov, Drew Creal and Peter Hördahl
UCLA Anderson, University of Notre Dame and Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific

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affine model, credit risk, currency risk, emerging bond markets, Twin Ds

32.

Sources of Risk in Currency Returns

CEPR Discussion Paper No. DP8745
Number of pages: 53 Posted: 20 Jan 2012
Mikhail Chernov, Jeremy Graveline and Irina Zviadadze
UCLA Anderson, University of Minnesota - Carlson School of Management and HEC Paris
Downloads 8 (920,162)
Citation 1
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Bayesian MCMC, carry trades, exchange rates, implied volatility, jumps

33.

Monetary Policy Regimes and the Term Structure of Interest Rates

CEPR Discussion Paper No. DP7096
Number of pages: 54 Posted: 17 Feb 2009
Ruslan Bikbov and Mikhail Chernov
Columbia Business School and UCLA Anderson
Downloads 2 (966,606)
Citation 2
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great moderation, monetary policy, regime switches, structural VAR, term structure model

34.

Non-Standard Errors

Journal of Finance forthcoming
Number of pages: 111 Posted: 23 Nov 2021
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. van Dijk, Chukwuma Dim, Thomas Dimpfl, Yunjiang Dong, Philip Drummond, Tom L. Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. 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non-standard errors, multi-analyst approach, liquidity

35.

A Macrofinance View of U.S. Sovereign CDS Premiums

CEPR Discussion Paper No. DP11576
Number of pages: 39 Posted: 24 Oct 2016
Mikhail Chernov, Lukas Schmid and Andres Schneider
UCLA Anderson, University of Southern California - Marshall School of Business and Board of Governors of the Federal Reserve System
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credit default swaps, recursive preferences, sovereign default

36.

A Study Towards a Unified Approach to the Joint Estimation of Objective and Risk Neutral Measures for the Purpose of Options Valuation

Posted: 10 Feb 2001
Mikhail Chernov and Eric Ghysels
UCLA Anderson and University of North Carolina Kenan-Flagler Business School

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37.

Estimation of Stochastic Volatility Models for the Purpose of Option Pricing

Proceedings of the Sixth International Conference on Computational Finance, Leonard N. Stern School of Business, January 6-8, 1999
Posted: 07 Apr 1999
Mikhail Chernov and Eric Ghysels
UCLA Anderson and University of North Carolina Kenan-Flagler Business School

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