Mikhail Chernov

UCLA Anderson

Professor

110 Westwood Plaza

Los Angeles, CA 90095-1481

United States

SCHOLARLY PAPERS

28

DOWNLOADS
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Top 3,341

in Total Papers Downloads

10,879

CITATIONS
Rank 1,475

SSRN RANKINGS

Top 1,475

in Total Papers Citations

383

Scholarly Papers (28)

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 2,353 (5,267)
Citation 15

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2.

Implied Volatilities as Forecasts of Future Volatility, Time-Varying Risk Premia, and Returns Variability

AFA 2002 Atlanta Meetings
Number of pages: 32 Posted: 04 Dec 2001
Mikhail Chernov
UCLA Anderson
Downloads 1,293 (14,170)
Citation 9

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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

3.
Downloads 1,041 ( 19,665)
Citation 37

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 Business School - Finance and Economics and UCLA Anderson
Downloads 908 (23,652)
Citation 37

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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 79 (301,724)
Citation 37

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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 53 (373,808)
Citation 37

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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 Business School - Finance and Economics
Downloads 1 (659,741)
Citation 37
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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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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 932 (23,160)
Citation 4

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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 884 (25,061)
Citation 12

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6.

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

AFA New Orleans 2001
Number of pages: 65 Posted: 30 Sep 2000
Mikhail Chernov
UCLA Anderson
Downloads 665 (37,085)
Citation 3

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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 622 (40,505)
Citation 15

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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 555 (47,020)
Citation 16

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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 546 (48,032)
Citation 32

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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, Columbia Business School - Finance and Economics and UCLA Anderson
Downloads 490 (55,036)
Citation 99

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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 J. Graveline and Irina Zviadadze
UCLA Anderson, University of Minnesota - Carlson School of Management and Stockholm School of Economics
Downloads 367 (77,976)
Citation 5

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currency speculation, crashes, jumps, entropy, Bayesian MCMC

12.
Downloads 349 ( 82,699)
Citation 31

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 340 (84,655)
Citation 31

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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 (594,227)
Citation 31
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inflation, macro-finance term structure model, monetary policy, survey forecasts

13.

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 Business School - Finance and Economics
Downloads 267 (110,880)
Citation 28

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

14.
Downloads 241 (123,166)
Citation 4

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 of Southern California - Marshall School of Business and London School of Economics & Political Science (LSE)
Downloads 236 (125,323)
Citation 4

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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 of Southern California - Marshall School of Business and London School of Economics & Political Science (LSE)
Downloads 5 (620,479)
Citation 4
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auctions, credit default swaps, mispricing, open interest, settlement

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, Federal Reserve Bank of New York and UCLA Anderson
Downloads 47 (394,404)

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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
David K. Backus, Nina Boyarchenko and Mikhail Chernov
NYU Stern School of Business, Federal Reserve Bank of New York and UCLA Anderson
Downloads 20 (524,049)

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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, Federal Reserve Bank of New York and UCLA Anderson
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entropy; coentropy; term structure; yields; excess returns

16.
Downloads 53 (367,907)
Citation 13

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, UCLA Anderson and New York University (NYU)
Downloads 41 (417,038)
Citation 13

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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
David K. Backus, Mikhail Chernov and Stanley E. Zin
NYU Stern School of Business, UCLA Anderson and New York University (NYU)
Downloads 11 (581,295)
Citation 13

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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, UCLA Anderson and Leonard N. Stern School of Business - Department of Economics
Downloads 1 (659,741)
Citation 13
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asset returns, bond yields, disasters, habits, jumps, pricing kernel, recursive preferences

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

Number of pages: 41 Posted: 24 Dec 2018
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 33 (451,302)

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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: 42 Posted: 17 Dec 2018
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 4 (627,563)
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Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off

CEPR Discussion Paper No. DP13365
Number of pages: 44 Posted: 11 Dec 2018
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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linear factor models, multi-horizon returns, Stochastic discount factor

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, UCLA Anderson and Leonard N. Stern School of Business - Department of Economics
Downloads 24 (499,396)

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

Identifying Monetary Policy in Macro-Finance Models

NBER Working Paper No. w19360
Number of pages: 36 Posted: 24 Aug 2013
NYU Stern School of Business, UCLA Anderson, New York University (NYU) and Stockholm School of Economics
Downloads 11 (581,295)

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Identifying Taylor Rules in Macro-Finance Models

CEPR Discussion Paper No. DP9611
Number of pages: 30 Posted: 03 Sep 2013
David K. Backus, Mikhail Chernov and Stanley E. Zin
NYU Stern School of Business, UCLA Anderson and Leonard N. Stern School of Business - Department of Economics
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exponential-affine models, forward-looking models, information sets, monetary policy

19.
Downloads 33 (440,648)
Citation 41

Disasters Implied by Equity Index Options

NBER Working Paper No. w15240
Number of pages: 44 Posted: 18 Aug 2009 Last Revised: 24 Aug 2010
David K. Backus, Mikhail Chernov and Ian Martin
NYU Stern School of Business, UCLA Anderson and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 29 (471,090)
Citation 41

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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, UCLA Anderson and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 4 (627,563)
Citation 41
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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
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 13 (568,307)

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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
Patrick Augustin, Mikhail Chernov and Dongho Song
McGill University, Desautels Faculty of Management, UCLA Anderson and Johns Hopkins University - Carey Business School
Downloads 9 (594,227)
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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
Patrick Augustin, Mikhail Chernov and Dongho Song
McGill University, Desautels Faculty of Management, UCLA Anderson and Johns Hopkins University - Carey Business School
Downloads 2 (646,171)
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contagion, credit default swaps, credit risk, Exchange Rates, Sovereign debt

International Yield Curves and Currency Puzzles

NBER Working Paper No. w25206
Number of pages: 48 Posted: 05 Nov 2018
Mikhail Chernov and Drew Creal
UCLA Anderson and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 9 (594,227)
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International Yield Curves and Currency Puzzles

CEPR Discussion Paper No. DP13252
Number of pages: 50 Posted: 22 Oct 2018 Last Revised: 14 Jan 2019
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

23.

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
Downloads 8 (575,737)
Citation 3
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Bayesian MCMC, carry trades, exchange rates, implied volatility, jumps

Multihorizon Currency Returns and Purchasing Power Parity

NBER Working Paper No. w24563
Number of pages: 59 Posted: 02 May 2018
Mikhail Chernov and Drew Creal
UCLA Anderson and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 5 (620,479)
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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 (659,741)
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affine term structure model, cointegration, multiple horizons, purchasing power parity, uncovered interest parity

25.

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 (616,407)
Citation 16
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great moderation, monetary policy, regime switches, structural VAR, term structure model

26.

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, Duke University - The Fuqua School of Business and Board of Governors of the Federal Reserve System
Downloads 0 (645,501)
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credit default swaps, recursive preferences, sovereign default

27.

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

Journal of Financial Economics, Vol. 56, No. 3, June, 2000
Posted: 10 Feb 2001
Mikhail Chernov and Eric Ghysels
UCLA Anderson and University of North Carolina Kenan-Flagler Business School

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28.

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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