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Economics and Finance

D-Index
33
Citations
6986
World Ranking
3215
National Ranking
1743

Overview

Mikhail Chernov is affiliated with the University of California, Los Angeles in the United States. Their research primarily spans the fields of economics, econometrics, and finance, with a particular focus on finance as a subfield. Their scholarly output includes a significant number of publications addressing various aspects of financial markets, monetary policy, credit risk, and market dynamics.

The scientist has contributed extensively to topics such as:

  • Monetary Policy and Economic Impact
  • Financial Markets and Investment Strategies
  • Credit Risk and Financial Regulations
  • Global Financial Crisis and Policies
  • Banking stability, regulation, efficiency
  • Market Dynamics and Volatility
  • Stochastic processes and financial applications

Mikhail Chernov's collection of recent papers includes:

  • Pricing Currency Risks (2022) published in The Journal of Finance
  • Conditional Dynamics and the Multihorizon Risk-Return Trade-Off (2021) published in Review of Financial Studies
  • The PPP View of Multihorizon Currency Risk Premiums (2020) published in Review of Financial Studies

Other influential papers relevant to their research interests include works on benchmark interest rates and interest rate skewness, published in journals such as Journal of Financial Economics and The Journal of Finance, though these were authored by co-researchers in related domains.

Their most frequent coauthors are:

  • Lars A. Lochstoer
  • Magnus Dahlquist
  • Lukas Schmid
  • Dongho Song
  • Drew Creal

The scholar's publications appear regularly in several academic venues. The most frequent venues include:

  • SSRN Electronic Journal
  • The Journal of Finance
  • Review of Financial Studies
  • Journal of Financial Economics
  • Journal of International Economics

Mikhail Chernov's body of work reflects a focus on integrating theoretical and empirical insights related to financial risk, currency pricing, and economic policies. Their research covers dynamic aspects of financial markets and implications for regulatory and investment strategies in an international context.

Best Publications

  • Alternative models for stock price dynamics

    Mikhail Chernov;A. Ronald Gallant;Eric Ghysels;George Tauchen

  • A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation

    Mikhail Chernov;Eric Ghysels;Eric Ghysels

  • Model specification and risk premia: evidence from futures options

    Mark Broadie;Mikhail Chernov;Michael Johannes

  • Understanding Index Option Returns

    Mark Broadie;Mikhail Chernov;Michael Johannes

  • The term structure of inflation expectations

    Mikhail Chernov;Mikhail Chernov;Philippe Mueller

  • Disasters Implied by Equity Index Options

    David K. Backus;Mikhail Chernov;Ian Martin

  • No-arbitrage macroeconomic determinants of the yield curve

    Ruslan Bikbov;Mikhail Chernov

  • Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11

    Mark Broadie;Mikhail Chernov;Suresh Sundaresan

  • Efficient estimation of general dynamic models with a continuum of moment conditions

    Marine Carrasco;Mikhail Chernov;Jean Pierre Florens;Eric Ghysels

  • Sources of entropy in representative agent models

    David Backus;Mikhail Chernov;Stanley E Zin

  • On the Role of Risk Premia in Volatility Forecasting

    Mikhail Chernov

  • Monetary policy regimes and the term structure of interest rates

    Ruslan Bikbov;Mikhail Chernov;Mikhail Chernov

  • Alternative Models for Stock Price Dynamics

    Mikhail Chernov;A. Gallant;Eric Ghysels;George Tauchen

  • Understanding Index Option Returns

    Mark Broadie;Michael S. Johannes;Mikhail Chernov

  • Crash Risk in Currency Returns

    Mikhail Chernov;Jeremy Graveline;Irina Zviadadze

  • Sources of Entropy in Representative Agent Models: Sources of Entropy in Representative Agent Models

    David Backus;Mikhail Chernov;Stanley Zin

  • Term structures of asset prices and returns

    David K. Backus;Nina Boyarchenko;Mikhail Chernov

  • A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation

    Mikhail Chernov;A. Gallant;Eric Ghysels;George Tauchen

  • Model Specification and Risk Premia: Evidence from Futures Options

    Mark Broadie;Michael S. Johannes;Mikhail Chernov

  • Disasters Implied by Equity Index Options

    David K. Backus;David K. Backus;Mikhail Chernov;Ian Martin

  • Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11

    Mark Broadie;Mikhail Chernov;Suresh M. Sundaresan

Frequent Co-Authors

David K. Backus
David K. Backus New York University
Eric Ghysels
Eric Ghysels University of North Carolina at Chapel Hill
Mark Broadie
Mark Broadie Columbia University
A. Ronald Gallant
A. Ronald Gallant Pennsylvania State University
Francis A. Longstaff
Francis A. Longstaff University of California, Los Angeles
George Tauchen
George Tauchen Duke University
Suresh M. Sundaresan
Suresh M. Sundaresan Columbia University
Michael Schneider
Michael Schneider RWTH Aachen University
Anna Dreber
Anna Dreber Stockholm School of Economics
Elie Bouri
Elie Bouri Lebanese American University

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