Mikhail Chernov

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	All	Since 2016
Citations	4899	1725
h-index	23	20
i10-index	24	21

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Co-authors

Eric GhyselsBernstein Distinguished Professor of Economics, UNC and Kenan-Flagler Business SchoolVerified email at unc.edu
David BackusNYU Stern School of BusinessVerified email at stern.nyu.edu
Mark BroadieColumbia Business SchoolVerified email at columbia.edu
Michael JohannesProfessor of Finance, Columbia UniversityVerified email at gsb.columbia.edu
Stanley E. ZinProfessor of Economics, New York UniversityVerified email at nyu.edu
George TauchenProfessor of EconomicsVerified email at duke.edu
A. Ronald GallantProfessor of Economics, Penn State UniversityVerified email at psu.edu
Ian MartinProfessor of Finance, London School of EconomicsVerified email at lse.ac.uk
Patrick AUGUSTINAssistant Professor of Finance, McGill UniversityVerified email at mcgill.ca
Suresh SundaresanColumbia UniversityVerified email at columbia.edu
Marine CarrascoUniversite de montrealVerified email at umontreal.ca
Jean-Pierre FlorensToulouse School of Economics,University Toulouse CapitoleVerified email at tse-fr.eu
Lukas SchmidUSC Marshall School of BusinessVerified email at marshall.usc.edu
Dongho SongJohns Hopkins Carey Business SchoolVerified email at jhu.edu
Irina ZviadadzeAssistant Professor of Finance, HEC ParisVerified email at hec.fr
Nina BoyarchenkoEconomist, Federal Reserve Bank of New YorkVerified email at ny.frb.org
Igor MakarovLondon School of EconomicsVerified email at lse.ac.uk
Alexander S. GorbenkoUSC MarshallVerified email at marshall.usc.edu
Francis LongstaffUCLAVerified email at anderson.ucla.edu
Andrés SchneiderEconomist, Federal Reserve BoardVerified email at frb.gov

Mikhail Chernov

University of California, Los Angeles

Verified email at anderson.ucla.edu - Homepage

Macro Finance Term Structure Options Credit Currencies


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Alternative models for stock price dynamics M Chernov, A Ronald Gallant, E Ghysels, G Tauchen Journal of Econometrics 116 (1-2), 225-257, 2003	1031	2003
A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation M Chernov, E Ghysels Journal of Financial Economics 56 (3), 407-458, 2000	697	2000
Model specification and risk premia: Evidence from futures options M Broadie, M Chernov, M Johannes The Journal of Finance 62 (3), 1453-1490, 2007	640	2007
Understanding index option returns M Broadie, M Chernov, M Johannes Review of Financial Studies 22 (11), 4493-4529, 2009	305	2009
Disasters implied by equity index options D Backus, M Chernov, I Martin Journal of Finance 66 (6), 1969-2012, 2011	278	2011
The term structure of inflation expectations M Chernov, P Mueller Journal of financial economics 106 (2), 367-394, 2012	268	2012
Optimal debt and equity values in the presence of Chapter 7 and Chapter 11 M Broadie, M Chernov, S Sundaresan The journal of Finance 62 (3), 1341-1377, 2007	208	2007
On the role of risk premia in volatility forecasting M Chernov Journal of Business and Economic Statistics 25 (4), 411-426, 2007	207*	2007
Efficient estimation of general dynamic models with a continuum of moment conditions M Carrasco, M Chernov, JP Florens, E Ghysels Journal of Econometrics 140 (2), 529-573, 2007	180*	2007
No-arbitrage macroeconomic determinants of the yield curve R Bikbov, M Chernov Journal of econometrics 159 (1), 166-182, 2010	174	2010
Sources of entropy in representative agent models DK BACKUS, M Chernov, SE Zin The Journal of Finance 69 (1), 2, 2014	149	2014
Monetary policy regimes and the term structure of interest rates R Bikbov, M Chernov Journal of Econometrics 174, 27-43, 2013	106	2013
Yield curve and volatility: Lessons from eurodollar futures and options R Bikbov, M Chernov Journal of financial econometrics 9 (1), 66, 2011	90*	2011
Crash risk in currency returns M Chernov, J Graveline, I Zviadadze Journal of Financial and Quantitative Analysis 53 (1), 137-170, 2018	89*	2018
A new class of stochastic volatility models with jumps: Theory and estimation M Chernov, CIRANO. CIRANO, 1999	89	1999
Empirical reverse engineering of the pricing kernel M Chernov Journal of Econometrics 116 (1-2), 329-364, 2003	71*	2003
CDS auctions M Chernov, AS Gorbenko, I Makarov The Review of Financial Studies 26 (3), 768-805, 2013	61	2013
Term structures of asset prices and returns D Backus, N Boyarchenko, M Chernov Journal of Financial Economics 129 (1), 1-23, 2018	45	2018
Unspanned stochastic volatility in affine models: Evidence from Eurodollar futures and options R Bikbov, M Chernov Management science 55 (8), 1292-1305, 2009	45	2009
Macroeconomic-driven prepayment risk and the valuation of mortgage-backed securities M Chernov, BR Dunn, FA Longstaff The Review of Financial Studies 31 (3), 1132-1183, 2018	42	2018

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