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Mikhail Chernov
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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
11662003
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
7722000
Model specification and risk premia: Evidence from futures options
M Broadie, M Chernov, M Johannes
The Journal of Finance 62 (3), 1453-1490, 2007
7702007
Understanding index option returns
M Broadie, M Chernov, M Johannes
Review of Financial Studies 22 (11), 4493-4529, 2009
3862009
Disasters implied by equity index options
D Backus, M Chernov, I Martin
Journal of Finance 66 (6), 1969-2012, 2011
3442011
The term structure of inflation expectations
M Chernov, P Mueller
Journal of financial economics 106 (2), 367-394, 2012
3412012
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
2542007
On the role of risk premia in volatility forecasting
M Chernov
Journal of Business and Economic Statistics 25 (4), 411-426, 2007
242*2007
No-arbitrage macroeconomic determinants of the yield curve
R Bikbov, M Chernov
Journal of econometrics 159 (1), 166-182, 2010
2172010
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
1952014
Crash risk in currency returns
M Chernov, J Graveline, I Zviadadze
Journal of Financial and Quantitative Analysis 53 (1), 137-170, 2018
1412018
Monetary policy regimes and the term structure of interest rates
R Bikbov, M Chernov
Journal of Econometrics 174, 27-43, 2013
1172013
Yield curve and volatility: Lessons from eurodollar futures and options
R Bikbov, M Chernov
Journal of financial econometrics 9 (1), 66, 2011
106*2011
A new class of stochastic volatility models with jumps: Theory and estimation
M Chernov, CIRANO.
CIRANO, 1999
961999
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
912020
Term structures of asset prices and returns
D Backus, N Boyarchenko, M Chernov
Journal of Financial Economics 129 (1), 1-23, 2018
912018
Non-Standard Errors
A Dreber, F Holzmeister, J Huber, M Johannesson, M Kirchler, ...
CEPR Discussion Paper No. DP16751, 2021
85*2021
A macrofinance view of US Sovereign CDS premiums
M Chernov, L Schmid, A Schneider
Journal of Finance 75 (5), 2809-2844, 2020
752020
Empirical reverse engineering of the pricing kernel
M Chernov
Journal of Econometrics 116 (1-2), 329-364, 2003
74*2003
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학술자료 1–20