Access Statistics for Mikhail Chernov

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Macrofinance View of U.S. Sovereign CDS Premiums 0 0 1 6 1 5 11 33
A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation 1 1 2 1,287 2 5 10 3,201
A macrofinance view of US Sovereign CDS premiums 1 2 5 72 6 14 32 95
Alternative Models for Stock Price Dynamic 0 1 2 438 2 6 14 1,365
Alternative Models for Stock Price Dynamics 0 1 4 903 1 11 28 2,678
Benchmark Interest Rates When the Government is Risky 0 9 9 9 1 7 7 7
CDS Auctions 0 0 0 31 1 5 11 137
CDS Auctions 0 0 0 9 2 4 13 132
Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off 0 0 7 9 1 4 16 22
Conditional dynamics and the multi-horizon risk-return trade-off 2 2 5 15 2 6 16 32
Crash Risk in Currency Returns 0 1 1 30 0 7 11 95
Disasters Implied by Equity Index Options 0 0 1 17 2 8 13 94
Disasters implied by equity index options 0 0 0 42 3 6 14 230
Disasters implied by equity index options 0 0 0 100 1 4 9 136
Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions 0 0 0 290 0 10 14 1,055
Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions 0 0 0 89 0 2 6 270
Identifying Taylor Rules in Macro-finance Models 0 0 1 35 2 7 20 80
Identifying Taylor rules in macro-finance models 2 2 2 34 5 8 13 52
Identifying monetary policy in macro-finance models 0 1 3 66 4 8 18 116
International Yield Curves and Currency Puzzles 0 0 9 33 0 1 14 29
International yield curves and currency puzzles 2 3 8 34 3 11 32 70
Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities 0 0 2 11 0 0 17 41
Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities 0 0 2 28 2 4 14 66
Monetary Policy Regimes and the Term Structure of Interest Rates 0 1 3 38 6 12 17 87
Monetary Policy Regimes and the Term Structure of Interest Rates 0 0 0 139 2 6 10 357
Multihorizon Currency Returns and Purchasing Power Parity 0 0 0 18 0 3 9 23
Multihorizon Currency Returns and Purchasing Power Parity 0 0 1 17 1 4 5 21
No-arbitrage macroeconomic determinants of the yield curve 0 0 1 5 1 4 8 48
Sources of Entropy in Representative Agent Models 0 0 1 19 0 3 10 104
Sources of Entropy in Representative Agent Models 0 0 0 54 0 1 7 196
Sources of Risk in Currency Returns 0 1 3 35 0 4 7 83
Sources of entropy in representative agent models 1 1 1 21 1 6 11 112
Sources of entropy in representative agent models of asset pricing 0 0 0 5 0 4 4 57
Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads 0 2 6 58 2 11 34 68
Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads 0 0 1 25 3 11 23 49
Term Structures of Asset Prices and Returns 0 1 3 19 0 4 8 42
Term structures of asset prices and returns 0 0 0 0 0 1 5 5
Term structures of asset prices and returns 1 1 1 27 2 6 11 30
Term structures of asset prices and returns 0 0 2 29 0 2 9 65
The Term Structure of Inflation Expectations 0 0 4 187 0 4 16 660
The Term Structure of Inflation Expectations 0 0 4 27 0 1 18 130
Understanding Index Option Returns 0 0 1 162 4 5 8 340
What Data Should Be Used to Price Options? 0 0 0 570 0 4 5 2,128
Total Working Papers 10 30 96 5,043 63 239 578 14,641


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation 2 3 13 243 2 7 29 516
Alternative models for stock price dynamics 0 13 29 287 3 24 66 741
CDS Auctions 0 0 2 14 4 7 15 74
Crash Risk in Currency Returns 0 0 2 5 1 8 15 26
Disasters Implied by Equity Index Options 1 2 2 35 4 15 28 236
Efficient estimation of general dynamic models with a continuum of moment conditions 0 0 1 92 1 3 8 210
Empirical reverse engineering of the pricing kernel 0 0 1 64 0 3 5 212
Iterative and Recursive Estimation in Structural Nonadaptive Models: Comment 0 0 0 0 0 0 0 72
Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities 1 1 2 2 4 9 19 19
Model Specification and Risk Premia: Evidence from Futures Options 0 0 0 136 2 2 6 411
Monetary policy regimes and the term structure of interest rates 0 1 3 54 6 12 22 175
No-arbitrage macroeconomic determinants of the yield curve 0 1 4 44 2 5 16 180
On the Role of Risk Premia in Volatility Forecasting 0 0 4 86 1 4 13 178
Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11 0 0 0 56 1 4 7 202
Sources of Entropy in Representative Agent Models 0 1 2 22 1 6 17 120
Term structures of asset prices and returns 1 4 8 29 5 15 40 84
The term structure of inflation expectations 0 2 20 98 1 8 47 286
Understanding Index Option Returns 0 1 1 29 0 3 8 135
Unspanned Stochastic Volatility in Affine Models: Evidence from Eurodollar Futures and Options 0 1 4 14 1 5 10 52
Yield Curve and Volatility: Lessons from Eurodollar Futures and Options 0 0 1 51 0 2 6 193
Total Journal Articles 5 30 99 1,361 39 142 377 4,122


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Determinants of Asia-Pacific government bond yields 0 0 4 4 1 3 18 18
Total Chapters 0 0 4 4 1 3 18 18


Statistics updated 2020-01-03