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Professor Mikhail Chernov
Research interests
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Asset pricing
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Derivatives
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Fixed income
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Financial econometrics
Selected papers
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"The Term Structure of Inflation Expectations," (with P. Mueller), Online Appendix, US Real Yields 1971 - 2002, Journal of Financial Economics, forthcoming
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"Disasters Implied by Equity Index Options," (with D. Backus and I. Martin), Journal of Finance, 2011
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"Yield Curve and Volatility: Lessons from Eurodollar Futures and Options," (with R. Bikbov), Journal of Financial Econometrics, 2011
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"No-Arbitrage Macroeconomic Determinants of the Yield Curve," (with R. Bikbov), Journal of Econometrics, 2010
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"Unspanned Stochastic Volatility in Affine Models: Evidence from Eurodollar Futures and Options," (with R. Bikbov), Management Science, 2009
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"Understanding Index Options Returns," (with M. Broadie and M. Johannes), Review of Financial Studies, 2009
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"On the Role of Risk Premia in Volatility Forecasting," Journal of Business and Economic Statistics, 2007
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"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
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"Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11 ," (with M. Broadie and S. Sundaresan), Journal of Finance, 2007
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"Model Specification and Risk Premia: Evidence from Futures Options," (with M. Broadie and M. Johannes), Journal of Finance, 2007
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"Alternative Models for Stock Price Dynamics," (with A. R. Gallant; E. Ghysels; G. Tauchen), Journal of Econometrics , 2003
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"Empirical Reverse Engineering of the Pricing Kernel," Journal of Econometrics, 2003
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"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
Teaching
Lectures/classes
Other webpages
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