Mikhail Chernov

Professor of Finance
Research Fellow, Centre for Economic Policy Research (CEPR)


UCLA 
Anderson School of Management
110 Westwood Plaza, Suite C-417
Los Angeles, CA 90095

E-mail: mikhail (dot) chernov (at) anderson (dot) ucla (dot) edu    


Anderson Finance Group

Official UCLA page

Curriculum Vitae [CV]

Google Scholar Profile

Working Papers

"Identifying Taylor rules in macro-finance models," (with D. Backus and S. Zin), August 2013

"Crash Risk in Currency Returns,"
(with J. Graveline and I. Zviadadze), Online Appendix, June 2014

"A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation," (with A. R. Gallant; E. Ghysels; G. Tauchen), October 1999
Refereed Publications
"Sources of Entropy in Representative Agent Models," (with D. Backus and S. Zin), Journal of Finance, 2014

"Monetary Policy Regimes and The Term Structure of Interest Rates," (with R. Bikbov), Online Appendixcode , Journal of Econometrics, 2013

"CDS Auctions,"
 (with A. Gorbenko and I. Makarov), Review of Financial Studies, 2013

"The Term Structure of Inflation Expectations,"
 (with P. Mueller), Online Appendix, US Real Yields 1971 - 2002,  Journal of Financial Economics, 2012 

"Disasters Implied by Equity Index Options," (with D. Backus and I. Martin), Journal of Finance, 2011

"Yield Curve and Volatility: Lessons from Eurodollar Futures and Options," (with R. Bikbov), Journal of Financial Econometrics, 2011

"No-Arbitrage Macroeconomic Determinants of the Yield Curve," (with R. Bikbov), Journal of Econometrics, 2010

"Unspanned Stochastic Volatility in Affine Models: Evidence from Eurodollar Futures and Options," (with R. Bikbov), Management Science, 2009

"Understanding Index Options Returns," (with M. Broadie and M. Johannes), Review of Financial Studies, 2009

"On the Role of Risk Premia in Volatility Forecasting," Journal of Business and Economic Statistics, 2007

"Efficient estimation of jump diffusions and general dynamic models with a continuum of moment conditions," (with M. Carrasco, J.-P. Florens, and E. Ghysels), Journal of Econometrics, 2007
 
"Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11 ," (with M. Broadie and S. Sundaresan),  Journal of Finance, 2007

"Model Specification and Risk Premia: Evidence from Futures Options," (with M. Broadie and M. Johannes),  Journal of Finance, 2007

"Alternative Models for Stock Price Dynamics," (with A. R. Gallant; E. Ghysels; G. Tauchen), Journal of Econometrics , 2003

 "Empirical Reverse Engineering of the Pricing Kernel," Journal of Econometrics, 2003 

"A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation," (with E. Ghysels), Journal of Financial Economics, 2000
Non-Refereed Publications
Comment on "Iterative and Recursive Estimation in Structural Non-Adaptive Models'' by Sergio Pastorello, Valentin Patilea and Eric Renault, Journal of Business and Economic Statistics, 2003 

"Estimation of Stochastic Volatility Models for the Purpose of Option Pricing," (with E. Ghysels), Computational Finance 1999, 2000

 

Last modified: June, 2014.

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