Mikhail Chernov
Names
| first: |
Mikhail |
| last: |
Chernov |
Identifer
Contact
Affiliations
-
National Bureau of Economic Research (NBER) (weight: 50%)
-
University of California-Los Angeles (UCLA)
/ Anderson Graduate School of Management
/ Finance Group (weight: 50%)
Research profile
author of:
- Iterative and Recursive Estimation in Structural Nonadaptive Models: Comment (RePEc:bes:jnlbes:v:21:y:2003:i:4:p:485-88)
by Chernov, Mikhail - On the Role of Risk Premia in Volatility Forecasting (RePEc:bes:jnlbes:v:25:y:2007:p:411-426)
by Chernov, Mikhail - Determinants of Asia-Pacific government bond yields (RePEc:bis:bisbpc:102-05)
by Mikhail Chernov & Drew Creal & Peter Hördahl - Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds (RePEc:bis:biswps:918)
by Mikhail Chernov & Drew Creal & Peter Hördahl - Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11 (RePEc:bla:jfinan:v:62:y:2007:i:3:p:1341-1377)
by Mark Broadie & Mikhail Chernov & Suresh Sundaresan - Model Specification and Risk Premia: Evidence from Futures Options (RePEc:bla:jfinan:v:62:y:2007:i:3:p:1453-1490)
by Mark Broadie & Mikhail Chernov & Michael Johannes - Disasters Implied by Equity Index Options (RePEc:bla:jfinan:v:66:y:2011:i:6:p:1969-2012)
by David Backus & Mikhail Chernov & Ian Martin - Sources of Entropy in Representative Agent Models (RePEc:bla:jfinan:v:69:y:2014:i:1:p:51-99)
by David Backus & Mikhail Chernov & Stanley Zin - A Macrofinance View of U.S. Sovereign CDS Premiums (RePEc:bla:jfinan:v:75:y:2020:i:5:p:2809-2844)
by Mikhail Chernov & Lukas Schmid & Andres Schneider - International Yield Curves and Currency Puzzles (RePEc:bla:jfinan:v:78:y:2023:i:1:p:209-245)
by Mikhail Chernov & Drew Creal - Pricing Currency Risks (RePEc:bla:jfinan:v:78:y:2023:i:2:p:693-730)
by Mikhail Chernov & Magnus Dahlquist & Lars Lochstoer - Interest Rate Skewness and Biased Beliefs (RePEc:bla:jfinan:v:79:y:2024:i:1:p:173-217)
by Michael Bauer & Mikhail Chernov - The Term Structure of Covered Interest Rate Parity Violations (RePEc:bla:jfinan:v:79:y:2024:i:3:p:2077-2114)
by Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song - Nonstandard Errors (RePEc:bla:jfinan:v:79:y:2024:i:3:p:2339-2390)
by Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad‐Díaz & Menachem (Meni) Abudy - Interest Rate Skewness and Biased Beliefs (RePEc:ces:ceswps:_9150)
by Michael D. Bauer & Mikhail Chernov - Alternative Models for Stock Price Dynamics (RePEc:cir:cirwor:2002s-58)
by Mikhail Chernov & A. Ronald Gallant & Eric Ghysels & George Tauchen - Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions (RePEc:cir:cirwor:2003s-02)
by Eric Ghysels & Jean-Pierre Florens & Mikhail Chernov & Marine Carrasco - What Data Should Be Used to Price Options? (RePEc:cir:cirwor:98s-22)
by Mikhail Chernov & Eric Ghysels - A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation (RePEc:cir:cirwor:99s-48)
by Mikhail Chernov & A. Ronald Gallant & Eric Ghysels & George Tauchen - Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities (RePEc:cpr:ceprdp:10947)
by Chernov, Mikhail & Longstaff, Francis & Dunn, Brett R. - Term structures of asset prices and returns (RePEc:cpr:ceprdp:11227)
by Chernov, Mikhail & Backus, David & Boyarchenko, Nina - A Macrofinance View of U.S. Sovereign CDS Premiums (RePEc:cpr:ceprdp:11576)
by Chernov, Mikhail & Schmid, Lukas & Schneider, Andres - Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads (RePEc:cpr:ceprdp:12857)
by Chernov, Mikhail & Augustin, Patrick & Song, Dongho - Multihorizon Currency Returns and Purchasing Power Parity (RePEc:cpr:ceprdp:12893)
by Chernov, Mikhail & Creal, Drew - International yield curves and currency puzzles (RePEc:cpr:ceprdp:13252)
by Chernov, Mikhail & Creal, Drew - Conditional dynamics and the multi-horizon risk-return trade-off (RePEc:cpr:ceprdp:13365)
by Chernov, Mikhail & Lochstoer, Lars & Lundeby, Stig - Benchmark interest rates when the government is risky (RePEc:cpr:ceprdp:14105)
by Chernov, Mikhail & Augustin, Patrick & Schmid, Lukas & Song, Dongho - The term structure of CIP violations (RePEc:cpr:ceprdp:14774)
by Chernov, Mikhail & Augustin, Patrick & Schmid, Lukas & Song, Dongho - Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds (RePEc:cpr:ceprdp:14986)
by Chernov, Mikhail & Creal, Drew & Hördahl, Peter - Pricing Currency Risks (RePEc:cpr:ceprdp:15571)
by Chernov, Mikhail & Dahlquist, Magnus & Lochstoer, Lars - Interest Rate Skewness and Biased Beliefs (RePEc:cpr:ceprdp:16274)
by Chernov, Mikhail & Bauer, Michael - The real channel for nominal bond-stock puzzles (RePEc:cpr:ceprdp:16381)
by Chernov, Mikhail & Lochstoer, Lars & Song, Dongho - Currency risk premiums: A multi-horizon perspective (RePEc:cpr:ceprdp:18265)
by Chernov, Mikhail & Dahlquist, Magnus - What do financial markets say about the exchange rate? (RePEc:cpr:ceprdp:19071)
by Chernov, Mikhail & Haddad, Valentin & Itskhoki, Oleg - Understanding Index Option Returns (RePEc:cpr:ceprdp:6239)
by Chernov, Mikhail & Broadie, Mark & Johannes, Michael - The Term Structure of Inflation Expectations (RePEc:cpr:ceprdp:6809)
by Chernov, Mikhail & Mueller, Philippe - Monetary Policy Regimes and the Term Structure of Interest Rates (RePEc:cpr:ceprdp:7096)
by Chernov, Mikhail & Bikbov, Ruslan - Disasters implied by equity index options (RePEc:cpr:ceprdp:7416)
by Backus, David & Chernov, Mikhail & Martin, Ian - CDS Auctions (RePEc:cpr:ceprdp:8456)
by Makarov, Igor & Chernov, Mikhail & Gorbenko, Alexander - Sources of entropy in representative agent models (RePEc:cpr:ceprdp:8488)
by Backus, David & Zin, Stanley E. & Chernov, Mikhail - Sources of Risk in Currency Returns (RePEc:cpr:ceprdp:8745)
by Chernov, Mikhail & Graveline, Jeremy & Zviadadze, Irina - Monetary policy risk: Rules vs. discretion (RePEc:cpr:ceprdp:9611)
by Backus, David & Zin, Stanley E. & Chernov, Mikhail & Zviadadze, Irina - Crash Risk in Currency Returns (RePEc:cup:jfinqa:v:53:y:2018:i:01:p:137-170_00)
by Chernov, Mikhail & Graveline, Jeremy & Zviadadze, Irina - Alternative Models for Stock Price Dynamic (RePEc:duk:dukeec:02-03)
by Chernov, Mikhail & Gallant, A. Ronald & Ghysels, Eric & Tauchen, George - Alternative models for stock price dynamics (RePEc:eee:econom:v:116:y:2003:i:1-2:p:225-257)
by Chernov, Mikhail & Ronald Gallant, A. & Ghysels, Eric & Tauchen, George - Empirical reverse engineering of the pricing kernel (RePEc:eee:econom:v:116:y:2003:i:1-2:p:329-364)
by Chernov, Mikhail - Efficient estimation of general dynamic models with a continuum of moment conditions (RePEc:eee:econom:v:140:y:2007:i:2:p:529-573)
by Carrasco, Marine & Chernov, Mikhail & Florens, Jean-Pierre & Ghysels, Eric - No-arbitrage macroeconomic determinants of the yield curve (RePEc:eee:econom:v:159:y:2010:i:1:p:166-182)
by Bikbov, Ruslan & Chernov, Mikhail - Monetary policy regimes and the term structure of interest rates (RePEc:eee:econom:v:174:y:2013:i:1:p:27-43)
by Bikbov, Ruslan & Chernov, Mikhail - Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds (RePEc:eee:inecon:v:140:y:2023:i:c:s0022199622001246)
by Chernov, Mikhail & Creal, Drew & Hördahl, Peter - The term structure of inflation expectations (RePEc:eee:jfinec:v:106:y:2012:i:2:p:367-394)
by Chernov, Mikhail & Mueller, Philippe - Term structures of asset prices and returns (RePEc:eee:jfinec:v:129:y:2018:i:1:p:1-23)
by Backus, David & Boyarchenko, Nina & Chernov, Mikhail - Benchmark interest rates when the government is risky (RePEc:eee:jfinec:v:140:y:2021:i:1:p:74-100)
by Augustin, P. & Chernov, M. & Schmid, L. & Song, D. - A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation (RePEc:eee:jfinec:v:56:y:2000:i:3:p:407-458)
by Chernov, Mikhail & Ghysels, Eric - CDS auctions (RePEc:ehl:lserod:119063)
by Chernov, Mikhail & Gorbenko, Alexander & Makarov, Igor - Nonstandard errors (RePEc:ehl:lserod:123002)
by Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüß, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Menac - Term structures of asset prices and returns (RePEc:fip:fednsr:774)
by David K. Backus & Nina Boyarchenko & Mikhail Chernov - CDS Auctions (RePEc:fmg:fmgdps:dp688)
by Mikhail Chernov & Alexander S.Gorbenko & Igor Makarov - Unknown item RePEc:grz:wpsses:2021-08 (paper)
- Non-Standard Errors (RePEc:hal:cesptp:halshs-03500882)
by Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí - No-arbitrage macroeconomic determinants of the yield curve (RePEc:hal:journl:hal-00732517)
by Ruslan Bikbov & Mikhail Chernov - Nonstandard Errors (RePEc:hal:journl:hal-04676112)
by Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai - Non-Standard Errors (RePEc:hal:journl:halshs-03500882)
by Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí - Non-Standard Errors (RePEc:hhs:lunewp:2021_017)
by Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena - Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions (RePEc:ide:wpaper:1037)
by Carrasco, Marine & Chernov, Mikhaël & Florens, Jean-Pierre & Ghysels, Eric - Unspanned Stochastic Volatility in Affine Models: Evidence from Eurodollar Futures and Options (RePEc:inm:ormnsc:v:55:y:2009:i:8:p:1292-1305)
by Ruslan Bikbov & Mikhail Chernov - Non-Standard Errors (RePEc:inn:wpaper:2021-31)
by Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Díaz & Menachem Abudy & Tobi - Arginylation regulates purine nucleotide biosynthesis by enhancing the activity of phosphoribosyl pyrophosphate synthase (RePEc:nat:natcom:v:6:y:2015:i:1:d:10.1038_ncomms8517)
by Fangliang Zhang & Devang M. Patel & Kristen Colavita & Irina Rodionova & Brian Buckley & David A. Scott & Akhilesh Kumar & Svetlana A. Shabalina & Sougata Saha & Mikhail Chernov & Andrei L. Osterman & - Disasters implied by equity index options (RePEc:nbr:nberwo:15240)
by David Backus & Mikhail Chernov & Ian Martin - Sources of Entropy in Representative Agent Models (RePEc:nbr:nberwo:17219)
by David Backus & Mikhail Chernov & Stanley E. Zin - Identifying Taylor Rules in Macro-Finance Models (RePEc:nbr:nberwo:19360)
by David Backus & Mikhail Chernov & Stanley E. Zin - Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities (RePEc:nbr:nberwo:22096)
by Mikhail Chernov & Brett R. Dunn & Francis A. Longstaff - Term Structures of Asset Prices and Returns (RePEc:nbr:nberwo:22162)
by David Backus & Nina Boyarchenko & Mikhail Chernov - Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads (RePEc:nbr:nberwo:24506)
by Patrick Augustin & Mikhail Chernov & Dongho Song - Multihorizon Currency Returns and Purchasing Power Parity (RePEc:nbr:nberwo:24563)
by Mikhail Chernov & Drew D. Creal - International Yield Curves and Currency Puzzles (RePEc:nbr:nberwo:25206)
by Mikhail Chernov & Drew D. Creal - Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off (RePEc:nbr:nberwo:25361)
by Mikhail Chernov & Lars A. Lochstoer & Stig R. H. Lundeby - Benchmark Interest Rates When the Government is Risky (RePEc:nbr:nberwo:26429)
by Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song - The Term Structure of Covered Interest Rate Parity Violations (RePEc:nbr:nberwo:27231)
by Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song - Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds (RePEc:nbr:nberwo:27500)
by Mikhail Chernov & Drew D. Creal & Peter Hördahl - Pricing Currency Risks (RePEc:nbr:nberwo:28260)
by Mikhail Chernov & Magnus Dahlquist & Lars A. Lochstoer - Interest Rate Skewness and Biased Beliefs (RePEc:nbr:nberwo:28954)
by Michael D. Bauer & Mikhail Chernov - Monetary Policy Risk: Rules vs. Discretion (RePEc:nbr:nberwo:28983)
by David Backus & Mikhail Chernov & Stanley E. Zin & Irina Zviadadze - The Real Channel for Nominal Bond-Stock Puzzles (RePEc:nbr:nberwo:29085)
by Mikhail Chernov & Lars A. Lochstoer & Dongho Song - Currency Risk Premiums: A Multi-horizon Perspective (RePEc:nbr:nberwo:31418)
by Mikhail Chernov & Magnus Dahlquist - What do Financial Markets say about the Exchange Rate? (RePEc:nbr:nberwo:32436)
by Mikhail Chernov & Valentin Haddad & Oleg Itskhoki - An Anatomy of Currency Strategies: The Role of Emerging Markets (RePEc:nbr:nberwo:32900)
by Mikhail Chernov & Magnus Dahlquist & Lars A. Lochstoer - The Comovement of Voter Preferences: Insights from U.S. Presidential Election Prediction Markets Beyond Polls (RePEc:nbr:nberwo:33339)
by Mikhail Chernov & Vadim Elenev & Dongho Song - Yield Curve and Volatility: Lessons from Eurodollar Futures and Options (RePEc:oup:jfinec:v:9:y:2011:i:1:p:66-105)
by Ruslan Bikbov & Mikhail Chernov - Understanding Index Option Returns (RePEc:oup:rfinst:v:22:y:2009:i:11:p:4493-4529)
by Mark Broadie & Mikhail Chernov & Michael Johannes - CDS Auctions (RePEc:oup:rfinst:v:26:y:2013:i:3:p:768-805)
by Mikhail Chernov & Alexander S. Gorbenko & Igor Makarov - Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities (RePEc:oup:rfinst:v:31:y:2018:i:3:p:1132-1183.)
by Mikhail Chernov & Brett R. Dunn & Francis A. Longstaff - The PPP View of Multihorizon Currency Risk Premiums (RePEc:oup:rfinst:v:34:y:2021:i:6:p:2728-2772.)
by Mikhail Chernov & Drew Creal - Conditional Dynamics and the Multihorizon Risk-Return Trade-Off (RePEc:oup:rfinst:v:35:y:2022:i:3:p:1310-1347.)
by Mikhail Chernov & Lars A Lochstoer & Stig R H Lundeby - Monetary Policy Risk: Rules versus Discretion (RePEc:oup:rfinst:v:35:y:2022:i:5:p:2308-2344.)
by David K Backus & Mikhail Chernov & Stanley E Zin & Irina Zviadadze - The Term Structure of Inflation Expectations (RePEc:red:sed008:346)
by Philippe Mueller & Mikhail Chernov - Monetary Policy Regimes and the Term Structure of Interest Rates (RePEc:red:sed009:334)
by Mikhail Chernov & Ruslan Bikbov - Sources of entropy in representative agent models of asset pricing (RePEc:red:sed010:476)
by Stanley Zin & Mikhail Chernov & David Backus - Crash Risk in Currency Returns (RePEc:red:sed012:753)
by Jeremy Graveline & Irina Zviadadze & Mikhail Chernov - A macrofinance view of US Sovereign CDS premiums (RePEc:red:sed016:432)
by Lukas Schmid & Andres Schneider & Mikhail Chernov - Disasters Implied by Equity Index Options (RePEc:ste:nystbu:09-14)
by David Backus & Mikhail Chernov & Ian Martin - Sources of Entropy in Representative Agent Models (RePEc:ste:nystbu:11-21)
by David Backus & Mikhail Chernov & Stanley Zin - Identifying Taylor Rules in Macro-finance Models (RePEc:ste:nystbu:13-12)
by David Backus & Mikhail Chernov & Stanley Zin - Term structures of asset prices and returns (RePEc:ste:nystbu:16-08)
by David Backus & Nina Boyarchenko & Mikhail Chernov - Interest rate skewness and biased beliefs (RePEc:zbw:imfswp:163)
by Bauer, Michael & Chernov, Mikhail