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Information about:
Mikhail Chernov

Personal Details | Affiliation | Works
This is information that was supplied by Mikhail Chernov in registering through RePEc. If you are Mikhail Chernov , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Mikhail
Middle Name:
Last Name: Chernov
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RePEc Short-ID: pch756

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Homepage: http://faculty.london.edu/mchernov
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Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Backus, David & Chernov, Mikhail & Martin, Ian, 2009. "Disasters implied by equity index options," CEPR Discussion Papers 7416, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  2. David Backus & Mikhail Chernov & Ian Martin, 2009. "Disasters implied by equity index options," NBER Working Papers 15240, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  3. Chernov, Mikhail & Mueller, Philippe, 2008. "The Term Structure of Inflation Expectations," CEPR Discussion Papers 6809, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  4. Bikbov, Ruslan & Chernov, Mikhail, 2008. "Monetary Policy Regimes and the Term Structure of Interest Rates," CEPR Discussion Papers 7096, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  5. Broadie, Mark & Chernov, Mikhail & Johannes, Michael, 2007. "Understanding Index Option Returns," CEPR Discussion Papers 6239, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  6. Mikhail Chernov & A. Ronald Gallant & Eric Ghysels & George Tauchen, 2002. "Alternative Models for Stock Price Dynamics," CIRANO Working Papers 2002s-58, CIRANO. [Downloadable!]
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  7. Carrasco, Marine & Chernov, Mikhaël & Florens, Jean-Pierre & Ghysels, Eric, 2000. "Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions," IDEI Working Papers 116, Institut d'Économie Industrielle (IDEI), Toulouse, revised 2002. [Downloadable!]
    Other versions:

  8. Mikhail Chernov & A. Ronald Gallant & Eric Ghysels & George Tauchen, 1999. "A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation," CIRANO Working Papers 99s-48, CIRANO. [Downloadable!]

  9. Mikhail Chernov & Eric Ghysels, 1998. "What Data Should Be Used to Price Options?," CIRANO Working Papers 98s-22, CIRANO. [Downloadable!]

Articles

  1. Mark Broadie & Mikhail Chernov & Suresh Sundaresan, 2007. "Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11," Journal of Finance, American Finance Association, vol. 62(3), pages 1341-1377, 06. [Downloadable!] (restricted)

  2. Chernov, Mikhail, 2007. "On the Role of Risk Premia in Volatility Forecasting," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 411-426, October. [Downloadable!] (restricted)

  3. Mark Broadie & Mikhail Chernov & Michael Johannes, 2007. "Model Specification and Risk Premia: Evidence from Futures Options," Journal of Finance, American Finance Association, vol. 62(3), pages 1453-1490, 06. [Downloadable!] (restricted)

  4. Carrasco, Marine & Chernov, Mikhail & Florens, Jean-Pierre & Ghysels, Eric, 2007. "Efficient estimation of general dynamic models with a continuum of moment conditions," Journal of Econometrics, Elsevier, vol. 140(2), pages 529-573, October. [Downloadable!] (restricted)

  5. Chernov, Mikhail & Ronald Gallant, A. & Ghysels, Eric & Tauchen, George, 2003. "Alternative models for stock price dynamics," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 225-257. [Downloadable!] (restricted)
    Other versions:

  6. Chernov, Mikhail, 2003. "Empirical reverse engineering of the pricing kernel," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 329-364. [Downloadable!] (restricted)

  7. Chernov, Mikhail, 2003. "Iterative and Recursive Estimation in Structural Nonadaptive Models: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(4), pages 485-88, October.

  8. Chernov, Mikhail & Ghysels, Eric, 2000. "A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation," Journal of Financial Economics, Elsevier, vol. 56(3), pages 407-458, June. [Downloadable!] (restricted)

NEP Fields

7 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (1) 2009-08-16
  2. NEP-CBA: Central Banking (2) 2008-04-29 2009-02-28 Author is listed
  3. NEP-CFN: Corporate Finance (1) 2007-05-12
  4. NEP-ETS: Econometric Time Series (3) 2002-06-13 2002-06-24 2003-04-27 Author is listed
  5. NEP-FIN: Finance (2) 2002-06-13 2002-06-24 Author is listed
  6. NEP-FMK: Financial Markets (2) 2002-06-13 2002-06-24 Author is listed
  7. NEP-FOR: Forecasting (1) 2008-04-29
  8. NEP-MAC: Macroeconomics (3) 2008-04-29 2009-02-28 2009-08-16 Author is listed
  9. NEP-MON: Monetary Economics (2) 2008-04-29 2009-02-28 Author is listed
  10. NEP-RMG: Risk Management (2) 2003-04-27 2007-05-12 Author is listed
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This page was last updated on 2009-11-24.

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