Mikhail Chernov

UCLA Anderson

Professor

110 Westwood Plaza

Los Angeles, CA 90095-1481

United States

SCHOLARLY PAPERS

37

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575

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949

Scholarly Papers (37)

1.
Downloads 5,596 ( 1,880)

Non-Standard Errors

University of St.Gallen, School of Finance Research Paper No. 2021/17
Number of pages: 56 Posted: 23 Nov 2021 Last Revised: 08 Apr 2022
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 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 C 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. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schürhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing-Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Z. Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Marcel Prokopczuk, Marcel Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund, Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, Neoma Business School, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - Department of Finance, University of Mannheim, Tennessee Technological University, Auburn University, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Polytechnic University of Marche - Department of Management, University of Zurich - Department of Banking and Finance, Universite de Toulouse 1 Capitole, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), Frankfurt School of Finance & Management, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, Monash University, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, Norges Bank, University of Queensland - Business School, Georgetown University - Department of Economics, University of Virginia - Darden School of Business, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, Public Company Accounting Oversight Board, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City, University of London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex, Radboud University Nijmegen - Institute for Management Research, University of Technology Sydney, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tuebingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Banking and Finance, University of California, Berkeley - Haas School of Business, West Virginia University - Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, University of Utah - David Eccles School of Business, University of Orleans, VU University Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, VU University Amsterdam, Ludwig-Maximilians-Universität München, Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontifical Catholic University of Chile, HEC Montreal, The University of Adelaide, Queen's University Belfast - Queen's Management School, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of New South Wales (UNSW), Square Research Center, Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR), University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, North Carolina State University - Department of Business Management, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR), Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, RMIT University, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University - MNB Institute, Macquarie University, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, Financial Conduct Authority, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, RMIT University - Blockchain Innovation Hub, University of Toronto at Mississauga, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, Paderborn University, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Department of finance, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), VU University Amsterdam, University of Verona - Department of Economics, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Manchester - Alliance Manchester Business School, Oklahoma State University - Department of Finance, HEC Paris - Finance Department, University of Massachusetts Amherst, University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University - Schulich School of Business, HEC Montreal - Department of Finance, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), VU University Amsterdam, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, UNSW Australia Business School, School of Banking and Finance, University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol - School of Economics, Finance and Management, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, University of Essex, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Vienna University of Economics and Business - Department of Finance, Accounting & Statistics, Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, VU University Amsterdam, Asia University, Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University, VU University Amsterdam, INSEAD - Finance, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, VU University Amsterdam, University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS), University of Toronto at Mississauga - Department of Management, VU University Amsterdam - Department of Finance and Financial Sector Management, Queen's University, HEC Paris, University of Birmingham, King's College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Pontifical Catholic University of Chile and Zhongnan University of Economics and Law - School of Finance
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non-standard errors, multi-analyst approach, liquidity

2.

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 2,433 (8,116)
Citation 33

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3.
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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.
Downloads 1,271 ( 22,453)
Citation 100

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, Columbia University - Columbia Business School, Finance and UCLA Anderson
Downloads 1,027 (30,181)
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 176 (234,425)

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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 67 (459,382)

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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 Columbia University - Columbia Business School, Finance
Downloads 1 (915,283)
Citation 28
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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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5.

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 965 (33,428)
Citation 5

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6.

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 937 (34,867)
Citation 92

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7.

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

Number of pages: 65 Posted: 30 Sep 2000
Mikhail Chernov
UCLA Anderson
Downloads 681 (53,754)
Citation 2

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

8.

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 661 (55,849)
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

9.

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 620 (60,610)
Citation 28

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10.

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 566 (68,032)
Citation 41

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

11.

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, Columbia University - Columbia Business School, Finance and UCLA Anderson
Downloads 516 (76,317)
Citation 115

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12.

Crash Risk in Currency Returns

Number of pages: 70 Posted: 16 Mar 2012 Last Revised: 03 Apr 2015
Mikhail Chernov, Jeremy J. Graveline and Irina Zviadadze
UCLA Anderson, University of Minnesota - Carlson School of Management and Stockholm School of Economics
Downloads 399 (103,388)
Citation 31

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currency speculation, crashes, jumps, entropy, Bayesian MCMC

13.
Downloads 375 (110,959)
Citation 96

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 366 (113,206)
Citation 28

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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 (819,442)
Citation 17
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inflation, macro-finance term structure model, monetary policy, survey forecasts

14.
Downloads 290 (146,236)
Citation 6

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 285 (148,218)
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 (861,583)
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 290 (146,236)
Citation 14

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

Interest Rate Skewness and Biased Beliefs

CESifo Working Paper No. 9150
Number of pages: 60 Posted: 24 Jun 2021
Mikhail Chernov and Michael Bauer
UCLA Anderson and Universität Hamburg
Downloads 170 (241,477)

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Interest Rate Skewness and Biased Beliefs

NBER Working Paper No. w28954
Number of pages: 62 Posted: 28 Jun 2021 Last Revised: 11 Feb 2022
Michael Bauer and Mikhail Chernov
Universität Hamburg and UCLA Anderson
Downloads 47 (543,251)

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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

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 180 (231,014)

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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: 18 Apr 2022
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 32 (626,818)
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)
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Citation 1
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linear factor models, multi-horizon returns, Stochastic discount factor

18.
Downloads 90 (383,655)
Citation 25

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 58 (494,214)

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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 2022
David K. Backus, Nina Boyarchenko and Mikhail Chernov
NYU Stern School of Business (deceased), Federal Reserve Bank of New York and UCLA Anderson
Downloads 32 (626,818)

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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

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 79 (418,927)

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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: 06 Apr 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
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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
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bond yield curve, bond-stock comovement, equity yield curve, permanent and transitory components of consumption

20.

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

21.
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Citation 55

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)
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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 2022
David K. Backus, Mikhail Chernov and Stanley E. Zin
NYU Stern School of Business (deceased), UCLA Anderson and New York University (NYU)
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Citation 5

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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
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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
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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 2022
NYU Stern School of Business (deceased), UCLA Anderson, New York University (NYU) and Stockholm School of Economics
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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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23.
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Citation 118

Disasters Implied by Equity Index Options

NBER Working Paper No. w15240
Number of pages: 44 Posted: 18 Aug 2009 Last Revised: 21 Feb 2022
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
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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
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Citation 27
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cumulants, entropy, equity premium, implied volatility, pricing kernel, risk-neutral probabilities

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 2022
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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Citation 11

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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

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 Jun 2022
McGill UniversityMcGill University, Desautels Faculty of Management, UCLA Anderson and Johns Hopkins University - Carey Business School
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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
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Citation 1
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contagion, credit default swaps, credit risk, Exchange Rates, Sovereign debt

26.
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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
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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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27.
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Citation 1

International Yield Curves and Currency Puzzles

NBER Working Paper No. w25206
Number of pages: 83 Posted: 05 Nov 2018 Last Revised: 16 May 2022
Mikhail Chernov and Drew Creal
UCLA Anderson and University of Chicago - Booth School of Business - Econometrics and Statistics
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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 2022
Mikhail Chernov and Drew Creal
UCLA Anderson and University of Chicago - Booth School of Business - Econometrics and Statistics
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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
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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
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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
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Citation 2
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negative swap rates, recursive preferences, sovereign credit risk, term structure

30.

Sources of Risk in Currency Returns

CEPR Discussion Paper No. DP8745
Number of pages: 53 Posted: 20 Jan 2012
Mikhail Chernov, Jeremy J. Graveline and Irina Zviadadze
UCLA Anderson, University of Minnesota - Carlson School of Management and Stockholm School of Economics
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Citation 1
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Bayesian MCMC, carry trades, exchange rates, implied volatility, jumps

31.

Monetary Policy Risk: Rules vs. Discretion

NBER Working Paper No. w28983
Number of pages: 61 Posted: 05 Jul 2021 Last Revised: 12 Mar 2022
NYU Stern School of Business (deceased), UCLA Anderson, New York University (NYU) and Stockholm School of Economics
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32.
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Pricing Currency Risks

NBER Working Paper No. w28260
Number of pages: 51 Posted: 21 Mar 2021 Last Revised: 18 Nov 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
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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
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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: 18 Nov 2021
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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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

34.

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
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Citation 2
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great moderation, monetary policy, regime switches, structural VAR, term structure model

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 Andrés Schneider
UCLA Anderson, University of Southern California - Marshall School of Business and Board of Governors of the Federal Reserve System
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Citation 10
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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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