Mikhail Chernov

Professor of Finance

Research Associate, National Bureau of Economic Research (NBER)

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    

Official UCLA page

Curriculum Vitae [CV]

Google Scholar Profile


Working Papers

"Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads," (with P. Augustin and D. Song), June 2018

"Multihorizon currency returns and Purchasing Power Parity," (with D. Creal), July 2018

"A macrofinance view of US Sovereign CDS premiums," (with L. Schmid and A. Schneider), January 2017 (Slides)

"Identifying Taylor rules in macro-finance models," (with D. Backus and S. Zin), October 2016 (Slides)

"A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation," (with A. R. Gallant; E. Ghysels; G. Tauchen), October 1999


Refereed Publications

"Term Structures of Asset Prices and Returns," (with D. Backus and N. Boyarchenko), Journal of Financial Economics, 2018

"Macroeconomic-driven Prepayment Risk and the Valuation of Mortgage-Backed Securities," (with B. Dunn and F. Longstaff), Review of Financial Studies, 2018

"Crash Risk in Currency Returns," (with J. Graveline and I. Zviadadze), Online Appendix, Journal of Financial and Quantitative Analysis, 2018 (Slides)

"Sources of Entropy in Representative Agent Models,"
 (with D. Backus and S. Zin), Journal of Finance, 2014 (Slides)

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

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

"The Term Structure of Inflation Expectations,"
 (with P. Mueller), Online AppendixUS 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 (Slides)

"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 (Slides)

"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