Mikhail Chernov

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Eric GhyselsBernstein Distinguished Professor of Economics and Professor of Finance, UNC Chapel HillVerified email at unc.edu
David BackusNYU Stern School of BusinessVerified email at stern.nyu.edu
Mark BroadieColumbia Business SchoolVerified email at columbia.edu
Stanley E. ZinProfessor of Economics, New York University; Research Associate, NBERVerified email at nyu.edu
Michael JohannesProfessor of Finance, Columbia UniversityVerified email at gsb.columbia.edu
Dongho SongJohns Hopkins Carey Business SchoolVerified email at jhu.edu
Patrick AUGUSTINAssociate Professor of Finance & Canada Research Chair, McGill UniversityVerified email at mcgill.ca
Lukas SchmidUSC Marshall School of BusinessVerified email at marshall.usc.edu
Irina ZviadadzeAssociate Professor of Finance, HEC ParisVerified email at hec.fr
George TauchenProfessor of EconomicsVerified email at duke.edu
A. Ronald GallantProfessor of Economics, Penn State UniversityVerified email at psu.edu
Drew CrealUniversity of Illinois Urbana-ChampaignVerified email at illinois.edu
Suresh SundaresanColumbia UniversityVerified email at columbia.edu
Lars A. LochstoerProfessor of Finance, UCLA Anderson School of ManagementVerified email at anderson.ucla.edu
Marine CarrascoUniversite de montrealVerified email at umontreal.ca
Jean-Pierre FlorensToulouse School of Economics,University Toulouse CapitoleVerified email at tse-fr.eu
Philippe MuellerProfessor of Finance, Warwick Business SchoolVerified email at wbs.ac.uk
Ian MartinProfessor of Finance, London School of EconomicsVerified email at lse.ac.uk
Nina BoyarchenkoHead of Macrofinance Studies, Federal Reserve Bank of New YorkVerified email at ny.frb.org
Igor MakarovLondon School of EconomicsVerified email at lse.ac.uk

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	1156	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	766	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	762	2007
Understanding index option returns M Broadie, M Chernov, M Johannes Review of Financial Studies 22 (11), 4493-4529, 2009	384	2009
The term structure of inflation expectations M Chernov, P Mueller Journal of financial economics 106 (2), 367-394, 2012	340	2012
Disasters implied by equity index options D Backus, M Chernov, I Martin Journal of Finance 66 (6), 1969-2012, 2011	340	2011
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	252	2007
On the role of risk premia in volatility forecasting M Chernov Journal of Business and Economic Statistics 25 (4), 411-426, 2007	223*	2007
No-arbitrage macroeconomic determinants of the yield curve R Bikbov, M Chernov Journal of econometrics 159 (1), 166-182, 2010	218	2010
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	217*	2007
Sources of entropy in representative agent models DK BACKUS, M Chernov, SE Zin The Journal of Finance 69 (1), 2, 2014	190	2014
Crash risk in currency returns M Chernov, J Graveline, I Zviadadze Journal of Financial and Quantitative Analysis 53 (1), 137-170, 2018	135*	2018
Monetary policy regimes and the term structure of interest rates R Bikbov, M Chernov Journal of Econometrics 174, 27-43, 2013	116	2013
Yield curve and volatility: Lessons from eurodollar futures and options R Bikbov, M Chernov Journal of financial econometrics 9 (1), 66, 2011	105*	2011
A new class of stochastic volatility models with jumps: Theory and estimation M Chernov, CIRANO. CIRANO, 1999	96	1999
Term structures of asset prices and returns D Backus, N Boyarchenko, M Chernov Journal of Financial Economics 129 (1), 1-23, 2018	87	2018
Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads P Augustin, M Chernov, D Song Journal of Financial Economics 137 (1), 129-151, 2020	86	2020
Empirical reverse engineering of the pricing kernel M Chernov Journal of Econometrics 116 (1-2), 329-364, 2003	74*	2003
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	70	2018
A macrofinance view of US Sovereign CDS premiums M Chernov, L Schmid, A Schneider Journal of Finance 75 (5), 2809-2844, 2020	68	2020

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