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 1 1 1 6 1 2 6 27
A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation 0 0 2 1,286 3 3 8 3,196
A macrofinance view of US Sovereign CDS premiums 1 3 3 70 4 9 18 78
Alternative Models for Stock Price Dynamic 1 1 2 437 2 5 11 1,358
Alternative Models for Stock Price Dynamics 1 1 4 902 5 7 17 2,664
CDS Auctions 0 0 0 31 2 2 11 132
CDS Auctions 0 0 0 9 0 2 18 128
Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off 0 0 9 9 2 2 18 18
Conditional dynamics and the multi-horizon risk-return trade-off 0 0 13 13 1 1 25 25
Crash Risk in Currency Returns 0 0 0 29 0 1 4 88
Disasters Implied by Equity Index Options 0 0 1 17 0 1 6 86
Disasters implied by equity index options 0 0 1 42 1 3 12 224
Disasters implied by equity index options 0 0 0 100 1 3 6 132
Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions 0 0 0 89 0 3 5 268
Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions 0 0 0 290 1 3 3 1,044
Identifying Taylor Rules in Macro-finance Models 1 1 2 35 5 6 14 71
Identifying Taylor rules in macro-finance models 0 0 0 32 1 3 7 43
Identifying monetary policy in macro-finance models 0 0 3 65 2 5 12 107
International Yield Curves and Currency Puzzles 0 2 33 33 1 7 28 28
International yield curves and currency puzzles 1 2 31 31 5 12 58 58
Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities 0 0 2 10 1 3 18 39
Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities 0 1 5 28 0 7 17 62
Monetary Policy Regimes and the Term Structure of Interest Rates 0 0 0 139 0 1 3 349
Monetary Policy Regimes and the Term Structure of Interest Rates 1 1 2 37 1 2 7 75
Multihorizon Currency Returns and Purchasing Power Parity 0 0 4 18 2 3 9 19
Multihorizon Currency Returns and Purchasing Power Parity 0 0 2 17 0 0 4 17
No-arbitrage macroeconomic determinants of the yield curve 0 0 0 4 0 0 4 42
Sources of Entropy in Representative Agent Models 0 0 1 19 1 5 11 100
Sources of Entropy in Representative Agent Models 0 0 1 54 1 1 12 195
Sources of Risk in Currency Returns 0 0 1 33 0 1 3 78
Sources of entropy in representative agent models 0 0 0 20 0 1 6 105
Sources of entropy in representative agent models of asset pricing 0 0 0 5 0 0 1 53
Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads 0 1 11 56 1 8 39 57
Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads 0 0 5 25 1 4 20 37
Term Structures of Asset Prices and Returns 0 0 4 17 0 1 7 37
Term structures of asset prices and returns 0 0 1 26 2 3 7 23
Term structures of asset prices and returns 0 0 0 0 1 1 3 3
Term structures of asset prices and returns 0 0 4 29 1 1 13 61
The Term Structure of Inflation Expectations 0 1 4 25 3 6 17 125
The Term Structure of Inflation Expectations 1 2 4 186 5 9 15 655
Understanding Index Option Returns 0 0 1 162 0 0 5 335
What Data Should Be Used to Price Options? 0 0 0 570 0 0 7 2,124
Total Working Papers 8 17 157 5,006 57 137 515 14,366


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 1 2 15 238 2 5 33 505
Alternative models for stock price dynamics 2 9 16 273 8 19 42 712
CDS Auctions 0 0 2 14 0 1 11 67
Crash Risk in Currency Returns 0 1 3 5 1 3 9 18
Disasters Implied by Equity Index Options 0 0 0 33 3 4 14 218
Efficient estimation of general dynamic models with a continuum of moment conditions 1 1 2 92 2 2 4 205
Empirical reverse engineering of the pricing kernel 0 0 0 63 0 0 1 208
Iterative and Recursive Estimation in Structural Nonadaptive Models: Comment 0 0 0 0 0 0 2 72
Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities 0 0 1 1 1 1 8 8
Model Specification and Risk Premia: Evidence from Futures Options 0 0 0 136 1 2 3 407
Monetary policy regimes and the term structure of interest rates 2 2 3 53 4 5 11 161
No-arbitrage macroeconomic determinants of the yield curve 0 1 4 43 1 4 11 172
On the Role of Risk Premia in Volatility Forecasting 0 1 5 86 0 1 10 172
Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11 0 0 0 56 0 0 3 197
Sources of Entropy in Representative Agent Models 0 0 3 21 1 6 15 114
Term structures of asset prices and returns 1 2 14 24 6 12 46 66
The term structure of inflation expectations 3 10 20 94 6 14 48 274
Understanding Index Option Returns 0 0 0 28 1 2 6 132
Unspanned Stochastic Volatility in Affine Models: Evidence from Eurodollar Futures and Options 1 2 3 13 2 3 5 46
Yield Curve and Volatility: Lessons from Eurodollar Futures and Options 0 0 3 51 0 0 10 190
Total Journal Articles 11 31 94 1,324 39 84 292 3,944


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 1 4 4 1 7 14 14
Total Chapters 0 1 4 4 1 7 14 14


Statistics updated 2019-09-09