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Mikhail Chernov

Citations

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Working papers

  1. Mikhail Chernov & Bryan T. Kelly & Semyon Malamud & Johannes Schwab, 2025. "A Test of the Efficiency of a Given Portfolio in High Dimensions," NBER Working Papers 33565, National Bureau of Economic Research, Inc.

    Cited by:

    1. Daniele Massacci & Lucio Sarno & Lorenzo Trapani & Pierluigi Vallarino, 2025. "A general randomized test for Alpha," Papers 2507.17599, arXiv.org, revised May 2026.

  2. Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüß, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Menac, 2024. "Nonstandard errors," LSE Research Online Documents on Economics 123002, London School of Economics and Political Science, LSE Library.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad‐Díaz & Menachem (Meni) Abudy , 2024. "Nonstandard Errors," Journal of Finance, American Finance Association, vol. 79(3), pages 2339-2390, June.
    • Utz Weitzel & Michael Razen & Sebastian Neussüs & Michael Kirchler & Magnus Johannesson & Juergen Huber & Felix Holzmeister & Anna Dreber & Albert J. Menkveld & Javier Gil-Bazo, 2021. "Non-Standard Errors," Working Papers 1303, Barcelona School of Economics.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," IWH Discussion Papers 11/2021, Halle Institute for Economic Research (IWH).
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian T. Brownlees & Javier Gil-Baz, 2021. "Non-standard errors," Economics Working Papers 1807, Department of Economics and Business, Universitat Pompeu Fabra.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena, 2021. "Non-Standard Errors," Working Papers 2021:17, Lund University, Department of Economics.
    • Albert J. et al. Menkveld, 2021. "Non-Standard Errors," CESifo Working Paper Series 9453, CESifo.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Post-Print halshs-03500882, HAL.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neus ss & Michael Razen & Utz Weitzel & Edwin Baidoo & Michael Fr mmel & et al, 2021. "Non-Standard Errors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1032, Ghent University, Faculty of Economics and Business Administration.
    • Francesco Franzoni & Roxana Mihet & Markus Leippold & Per Ostberg & Olivier Scaillet & Norman Schürhoff & Oksana Bashchenko & Nicola Mano & Michele Pelli, 2022. "Non-Standard Errors," Swiss Finance Institute Research Paper Series 22-09, Swiss Finance Institute.
    • Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Cambridge Working Papers in Economics 2182, Faculty of Economics, University of Cambridge.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Hasse, Jean-Baptiste & e.a.,, 2023. "Non-Standard Errors," LIDAM Reprints LFIN 2023002, Université catholique de Louvain, Louvain Finance (LFIN).
    • Menkveld, Albert J. & Dreber, Anna & Declerck, Fany & Moinas, Sophie, 2023. "Non-Standard Errors," TSE Working Papers 23-1451, Toulouse School of Economics (TSE).
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024. "Nonstandard Errors," Post-Print hal-04676112, HAL.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," SAFE Working Paper Series 327, Leibniz Institute for Financial Research SAFE.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Dí­az & Menachem Abudy & Tobi, 2021. "Non-Standard Errors," Working Papers 2021-31, Faculty of Economics and Statistics, Universität Innsbruck.
    • Gerardo Ferrara & Simon Jurkatis, 2021. "Non-standard errors," Bank of England Staff Working Paper series 955, Bank of England.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024. "Nonstandard Errors," Post-Print hal-05077550, HAL.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03500882, HAL.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024. "Nonstandard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-05077550, HAL.
    • Ciril Bosch-Rosa & Bernhard Kassner, 2023. "Non-Standard Errors," Rationality and Competition Discussion Paper Series 385, CRC TRR 190 Rationality and Competition.
    • Wolff, Christian & Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüess, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-Standard Errors," CEPR Discussion Papers 16751, Centre for Economic Policy Research.
    • Albert J. Menkveld & Anna Dreber & Félix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard, 2021. "Non-Standard Errors," Documents de travail du Centre d'Economie de la Sorbonne 21033, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.

    Cited by:

    1. Fišar, Miloš & Greiner, Ben & Huber, Christoph & Katok, Elena & Ozkes, Ali & Management Science Reproducibility Collaboration, 2023. "Reproducibility in Management Science," Department for Strategy and Innovation Working Paper Series 03/2023, WU Vienna University of Economics and Business.
    2. Cakici, Nusret & Shahzad, Syed Jawad Hussain & Będowska-Sójka, Barbara & Zaremba, Adam, 2024. "Machine learning and the cross-section of cryptocurrency returns," International Review of Financial Analysis, Elsevier, vol. 94(C).
    3. Ardia, David & Guidotti, Emanuele & Kroencke, Tim A., 2024. "Efficient estimation of bid–ask spreads from open, high, low, and close prices," Journal of Financial Economics, Elsevier, vol. 161(C).
    4. Liu, Fang & Rasch, Alexander & Schwarz, Marco A. & Waibel, Christian, 2025. "The role of diagnostic ability in markets for expert services," European Economic Review, Elsevier, vol. 180(C).
    5. Stephen A. Gorman & Frank J. Fabozzi, 2023. "Alternative risk premium: specification noise," Journal of Asset Management, Palgrave Macmillan, vol. 24(6), pages 459-473, October.
    6. Cakici, Nusret & Fieberg, Christian & Metko, Daniel & Zaremba, Adam, 2025. "Factor momentum versus price momentum: Insights from international markets," Journal of Banking & Finance, Elsevier, vol. 170(C).
    7. Hasso, Tim & Brosnan, Mark & Ali, Searat & Chai, Daniel, 2025. "Perceived problems, causes, and solutions of finance research reproducibility and replicability: A pre-registered report," Pacific-Basin Finance Journal, Elsevier, vol. 91(C).
    8. Huntington-Klein, Nick & Pörtner, Claus C. & Acharya, Yubraj & Adamkovic, Matus & Adema, Joop & Agasa, Lameck Ondieki & Ahmad, Imtiaz & Akbulut-Yuksel, Mevlude & Andresen, Martin Eckhoff & Angenendt, , 2025. "The Sources of Researcher Variation in Economics," HEC Research Papers Series 1551, HEC Paris.
    9. Andreas Bergh & Philipp C. Wichardt & Philipp Christoph Wichardt, 2024. "On Credibility and Causality in Economics: A Critical Appraisal," CESifo Working Paper Series 11224, CESifo.
    10. Nate Breznau & Eike Mark Rinke & Alexander Wuttke & Hung H. V. Nguyen & Muna Adem & Jule Adriaans & Amalia Alvarez-Benjumea & Henrik K. Andersen & Daniel Auer & Flavio Azevedo & Oke Bahnsen & Dave Bal, 2022. "Observing many researchers using the same data and hypothesis reveals a hidden universe of uncertainty," Proceedings of the National Academy of Sciences, Proceedings of the National Academy of Sciences, vol. 119(44), pages 2203150119-, November.
    11. Guillaume Coqueret, 2023. "Forking paths in financial economics," Papers 2401.08606, arXiv.org.
    12. Christophe Pérignon & Olivier Akmansoy & Christophe Hurlin & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johanneson & Michael Kirchler & Albert J Menkveld & Michael Razen & Utz Weitzel, 2022. "Reproducibility of Empirical Results: Evidence from 1,000 Tests in Finance," Working Papers hal-03810013, HAL.
    13. Nusret Cakici & Christian Fieberg & Daniel Metko & Adam Zaremba, 2024. "Do Anomalies Really Predict Market Returns? New Data and New Evidence," Review of Finance, European Finance Association, vol. 28(1), pages 1-44.
    14. Dreber, Anna & Johannesson, Magnus, 2023. "A framework for evaluating reproducibility and replicability in economics," Ruhr Economic Papers 1055, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    15. Soebhag, Amar & Van Vliet, Bart & Verwijmeren, Patrick, 2024. "Non-standard errors in asset pricing: Mind your sorts," Journal of Empirical Finance, Elsevier, vol. 78(C).
    16. Breznau, Nate & Auspurg, Katrin & Brüderl, Josef & Holzmeister, Felix & Nilsonne, Gustav & Aczel, Balazs & Clark, Cory J & Nguyen, Hung Hoang Viet & Varga, Marton Aron & Uhlmann, Eric Luis, 2023. "Pre-Registered Analysis Plan: Is the Inter-Researcher Variability in Social Scientific Results Explicable? An Adversarial Collaboration and Joint Effort to Parse Model and Estimate Dispersion," MetaArXiv h9t5c_v1, Center for Open Science.
    17. Deer, Lachlan & Adler, Susanne J. & Datta, Hannes & Mizik, Natalie & Sarstedt, Marko, 2025. "Toward open science in marketing research," International Journal of Research in Marketing, Elsevier, vol. 42(1), pages 212-233.
    18. Julian Junyan Wang & Victor Xiaoqi Wang, 2025. "Assessing Consistency and Reproducibility in the Outputs of Large Language Models: Evidence Across Diverse Finance and Accounting Tasks," Papers 2503.16974, arXiv.org, revised Sep 2025.
    19. van Cappelle, Tjeerd & Pokidin, Dmytro & Zwinkels, Remco C.J., 2025. "The cross section of stock returns in an artificial stock market," Journal of Economic Behavior & Organization, Elsevier, vol. 239(C).
    20. Tom L. Dudda & Lars Hornuf, 2025. "The Perks and Perils of Machine Learning in Business and Economic Research," CESifo Working Paper Series 11721, CESifo.
    21. Ferman, Bruno & Finamor, Lucas, 2025. "There must be an error here! Experimental evidence on coding errors' biases," I4R Discussion Paper Series 266, The Institute for Replication (I4R).
    22. Henriquez-Salman, Ricardo, 2025. "Methodological ESG uncertainty in portfolio sorts," Research in International Business and Finance, Elsevier, vol. 80(C).
    23. van Dolder, Dennie & Vandenbroucke, Jurgen, 2024. "Behavioral risk profiling: Measuring loss aversion of individual investors," Journal of Banking & Finance, Elsevier, vol. 168(C).
    24. Christoph Huber & Christian König-Kersting & Matteo M. Marini, 2022. "Experimenting with Financial Professionals," Working Papers 2022-07, Faculty of Economics and Statistics, Universität Innsbruck, revised Jun 2024.
    25. Andrew Delios & Tianyou Hu & Shu Yu & Nan Zhou & Faisal M. Ahsan & Mona Bahl & Tao Bai & Madhurima Basu & Hanoku Bathula & Georgios Batsakis & Jorge Carneiro & Dwarka Chakravarty & Danyang Chen & Weih, 2025. "The insights from the crowd: Drawing inferences from many approaches to key empirical questions in international business," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 56(9), pages 1102-1124, December.
    26. Auer, Tobias & Ulasik, Maria & Holzmeister, Felix, 2024. "A Comment on "Motivated Errors" by Exley and Kessler (2024)," I4R Discussion Paper Series 161, The Institute for Replication (I4R).
    27. Campbell, Douglas & Brodeur, Abel & Dreber, Anna & Johannesson, Magnus & Kopecky, Joseph & Lusher, Lester & Tsoy, Nikita, 2024. "The Robustness Reproducibility of the American Economic Review," I4R Discussion Paper Series 124, The Institute for Replication (I4R).

  3. Chernov, Mikhail & Creal, Drew, 2022. "International yield curves and currency puzzles," CEPR Discussion Papers 13252, Centre for Economic Policy Research.

    Cited by:

    1. Oleg Itskhoki & Dmitry Mukhin, 2025. "What Drives the Exchange Rate?," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 73(1), pages 86-117, March.
    2. Eric McCoy, 2020. "Euro-US Dollar Exchange Rate Dynamics at the Effective Lower Bound," European Economy - Economic Briefs 055, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    3. Andreas Schrimpf & Markus Sihvonen, 2025. "Inflation and the joint bond-FX spanning puzzle," BIS Working Papers 1320, Bank for International Settlements.

  4. Chernov, Mikhail & Lochstoer, Lars & Song, Dongho, 2021. "The real channel for nominal bond-stock puzzles," CEPR Discussion Papers 16381, Centre for Economic Policy Research.

    Cited by:

    1. Sun, Yulong, 2024. "Prices and returns: Role of inflation," Journal of International Money and Finance, Elsevier, vol. 147(C).

  5. Mikhail Chernov & Drew Creal & Peter Hördahl, 2021. "Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds," BIS Working Papers 918, Bank for International Settlements.

    Cited by:

    1. Afshan, Sahar & Yaqoob, Tanzeela & Zaied, Younes Ben & Mishra, Shekhar & Mishra, Sibanjan, 2024. "Oil shocks and currency behavior: A dual approach to digital and traditional currencies," Global Finance Journal, Elsevier, vol. 62(C).
    2. Rodrigo da Silva Souza & Leonardo Bornacki Mattos, 2022. "Oil price shocks and global liquidity: macroeconomic effects on the Brazilian real," International Economics and Economic Policy, Springer, vol. 19(4), pages 761-781, October.
    3. Jiang, Yong & Al-Nassar, Nassar S. & Ren, Yi-Shuai & Ma, Chao-Qun & Yang, Xiao-Guang, 2024. "Tail connectedness between category-specific policy uncertainty, sovereign debt risk, and stock volatility during a high inflation period," Research in International Business and Finance, Elsevier, vol. 70(PB).
    4. Min Su & Yixuan Ren & Yifang Niu & Zhen Wang, 2025. "Dynamic linkages and determinants of sovereign CDS and exchange rates: evidence from G7 and BRICS," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 12(1), pages 1-13, December.
    5. Jorge M. Uribe & Oscar Valencia, 2024. "Taking the Pulse of Fiscal Distress: Inflation, Depreciation, and Crises," IREA Working Papers 202416, University of Barcelona, Research Institute of Applied Economics, revised Dec 2024.
    6. Guo, Yanhong & Zhang, Ziyi & Meng, Hui, 2025. "The impact of the COVID-19 pandemic on sovereign debt default risk," Journal of Asian Economics, Elsevier, vol. 99(C).
    7. Candelon, Bertrand & Moura, Rubens, 2021. "A Multicountry Model of the Term Structures of Interest Rates with a GVAR," LIDAM Discussion Papers LFIN 2021007, Université catholique de Louvain, Louvain Finance (LFIN).
    8. Mustafa Tevfik KARTAL, 2022. "The Role of Macroeconomic and Market Indicators in Explaining Sovereign Credit Default Swaps (CDS) Spread Changes: Evidence from Türkiye," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 145-164, April.
    9. Helena Chuliá & Sabuhi Khalili & Jorge M. Uribe, 2024. "Monitoring time-varying systemic risk in sovereign debt and currency markets with generative AI," IREA Working Papers 202402, University of Barcelona, Research Institute of Applied Economics, revised Feb 2024.
    10. Lu Yang & Lei Yang & Xue Cui, 2023. "Sovereign default network and currency risk premia," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-22, December.
    11. Mikhail Chernov & Magnus Dahlquist & Lars Lochstoer, 2023. "Pricing Currency Risks," Journal of Finance, American Finance Association, vol. 78(2), pages 693-730, April.
    12. Jassim Aladwani, 2023. "Wavelet Coherence and Continuous Wavelet Transform - Implementation and Application to the Relationship between Exchange Rate and Oil Price for Importing and Exporting Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 13(4), pages 531-541, July.
    13. Sunal, Onur & Yağcı, Filiz, 2024. "The determinants of Turkish CDS volatility: An ARDL approach covering COVID period," The Quarterly Review of Economics and Finance, Elsevier, vol. 97(C).
    14. Rathi, Sawan & Mohapatra, Sanket & Sahay, Arvind, 2022. "Central bank gold reserves and sovereign credit risk," Finance Research Letters, Elsevier, vol. 45(C).
    15. Winkler, Sebastian & Schiereck, Dirk, 2026. "Supply versus risk in sovereign yields: Evidence from Germany’s 500 billion fiscal shock," Finance Research Letters, Elsevier, vol. 91(C).
    16. Giraldo, Carlos & Giraldo, Iader & Gomez-Gonzalez, Jose E. & Uribe, Jorge M., 2024. "Term spread spillovers to Latin America and emergence of the ‘Twin Ds’," International Review of Economics & Finance, Elsevier, vol. 96(PB).
    17. Dim, Chukwuma & Koerner, Kevin & Wolski, Marcin & Zwart, Sanne, 2022. "Hot off the press: News-implied sovereign default risk," EIB Working Papers 2022/06, European Investment Bank (EIB).

  6. Michael D. Bauer & Mikhail Chernov, 2021. "Interest Rate Skewness and Biased Beliefs," CESifo Working Paper Series 9150, CESifo.

    Cited by:

    1. Michael D. Bauer & Eric T. Swanson, 2022. "A Reassessment of Monetary Policy Surprises and High-Frequency Identification," NBER Chapters, in: NBER Macroeconomics Annual 2022, volume 37, pages 87-155, National Bureau of Economic Research, Inc.
    2. Marco Graziano & Marius Koechlin & Andreas Tischbirek, 2026. "The Spillovers of LSAPs on Banks in the Euro Area," CESifo Working Paper Series 12409, CESifo.
    3. Onur Polat & Rangan Gupta & Riza Demirer & Elie Bouri, 2025. "Implied Skewness of the Treasury Yield: A New Predictor for Stock Market Bubbles," Working Papers 202539, University of Pretoria, Department of Economics.
    4. Hilde C. Bjørnland & Jamie L. Cross & Jonas Hölz, 2025. "Re-visiting the Relationship Between Oil Prices and Monetary Policy," Working Papers No 04/2025, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    5. van der Wel, Michel & Zhang, Yaoyuan, 2026. "Global evidence on unspanned macro risks in dynamic term structure models," Journal of Banking & Finance, Elsevier, vol. 185(C).
    6. Jean-Paul Renne & Sarah Mouabbi & Adrien Tschopp, 2026. "Inflation and Growth Risk: Balancing the Scales with Surveys," Working papers 1036, Banque de France.
    7. Ying, Shan & Sheen, Jeffrey & Gu, Xin & Wang, Ben Zhe, 2025. "Does monetary policy uncertainty moderate the transmission of policy shocks to government bond yields?," Journal of International Money and Finance, Elsevier, vol. 154(C).
    8. Guljanov, Gaygysyz & Mutschler, Willi & Trede, Mark, 2022. "Pruned Skewed Kalman Filter and Smoother: With Application to the Yield Curve," Dynare Working Papers 78, CEPREMAP.
    9. Michael D. Bauer & Travis J. Berge & Giuseppe Fiori & Francesca Loria & Molin Zhong, 2025. "Accounting for Uncertainty and Risks in Monetary Policy," Working Paper Series 2025-19, Federal Reserve Bank of San Francisco.
    10. Marc Burri & Daniel Kaufmann, 2026. "Multiple monetary policy shocks from daily data: A heteroskedasticity IV approach," IRENE Working Papers 26-06, IRENE Institute of Economic Research.
    11. Filippo Busetto, 2024. "Asymmetric expectations of monetary policy," Bank of England Staff Working Paper series 1058, Bank of England.
    12. Xinyang Li, 2025. "Tail risk and Flight-to-Safety," Journal of Asset Management, Palgrave Macmillan, vol. 26(4), pages 386-410, July.
    13. Caballero, Ricardo & Simsek, Alp, 2022. "Monetary Policy with Opinionated Markets," CEPR Discussion Papers 14830, Centre for Economic Policy Research.
    14. Matteo Foglia & Rangan Gupta & Petre Caraiani & Vincenzo Pacelli, 2025. "Time-Varying Spillover of Multi-Scale Positive and Negative Bubbles in Stock and Oil Markets," Working Papers 202534, University of Pretoria, Department of Economics.
    15. Phillip An & Karlye Dilts Stedman & Amaze Lusompa, 2025. "How High Does High Frequency Need to Be? A Comparison of Daily and Intradaily Monetary Policy Surprises," Research Working Paper RWP 25-03, Federal Reserve Bank of Kansas City.
    16. Vrins, Frédéric & Wang, Linqi, 2021. "Asymmetric short-rate model without lower bound," LIDAM Discussion Papers LFIN 2021006, Université catholique de Louvain, Louvain Finance (LFIN).
    17. Gergely Hudecz & Edmund Moshammer & Marco Onofri, 2024. "Option-implied bond spread risk," Working Papers 66, European Stability Mechanism, revised 25 Nov 2024.
    18. Camara, Santiago, 2025. "Spillovers of US interest rates: Monetary policy & information effects," Journal of International Economics, Elsevier, vol. 154(C).
    19. Sylvérie Herbert & Paul Hubert & Mathias Lé, 2025. "When does Monetary Policy Matter? Policy Stance vs. Term Premium News," Working papers 1017, Banque de France.
    20. Pin Wang & Guojing Wang & Yang Yang & Jing Yao, 2025. "Tail Conditional Expectation and Tail Variance for Extended Generalized Skew-Elliptical Distributions," Mathematics, MDPI, vol. 13(18), pages 1-24, September.
    21. Chen, Zhengyang, 2026. "Demystifying monetary policy surprises: Fed response to financial conditions and wait and see for new economic data," Journal of Macroeconomics, Elsevier, vol. 87(C).
    22. Heyerdahl-Larsen, Christian & Illeditsch, Philipp, 2026. "Demand disagreement," Journal of Financial Economics, Elsevier, vol. 175(C).
    23. Doshi, Hitesh & Jacobs, Kris & Liu, Rui, 2024. "Modeling volatility in dynamic term structure models," Journal of Financial Economics, Elsevier, vol. 161(C).
    24. Alistair Macaulay & Wenting Song, 2023. "Narrative-Driven Fluctuations in Sentiment: Evidence Linking Traditional and Social Media," Staff Working Papers 23-23, Bank of Canada.
    25. De Santis, Roberto A. & Tornese, Tommaso, 2024. "US monetary policy is more powerful in low economic growth regimes," Working Paper Series 2919, European Central Bank.

  7. Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2020. "The Term Structure of Covered Interest Rate Parity Violations," NBER Working Papers 27231, National Bureau of Economic Research, Inc.

    Cited by:

    1. Bazán-Palomino, Walter & Ortiz, Marco & Terrones, Marco E. & Winkelried, Diego, 2025. "The role of US bank liquidity and regulations in Covered Interest Parity deviations," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 102(C).
    2. Wenxin Du & Benjamin Hébert & Wenhao Li, 2022. "Intermediary Balance Sheets and the Treasury Yield Curve," Staff Reports 1023, Federal Reserve Bank of New York.
    3. Corsetti, G. & Lloyd, S. & Marin, E. & Ostry, D., 2025. "U.S. Risk and Treasury Convenience," Cambridge Working Papers in Economics 2570, Faculty of Economics, University of Cambridge.

  8. Chernov, Mikhail & Dahlquist, Magnus & Lochstoer, Lars, 2020. "Pricing Currency Risks," CEPR Discussion Papers 15571, Centre for Economic Policy Research.

    Cited by:

    1. Naveed, Hafiz Muhammad & Pan, Yanchun & Yao, HongXing & Al-Faryan, Mamdouh Abdulaziz Saleh, 2024. "Assessing the nexus between currency exchange rate returns, currency risk hedging and international investments: Intelligent network-based analysis," Technological Forecasting and Social Change, Elsevier, vol. 206(C).
    2. Filippou, Ilias & Maurer, Thomas A. & Pezzo, Luca & Taylor, Mark P., 2024. "Importance of transaction costs for asset allocation in foreign exchange markets," Journal of Financial Economics, Elsevier, vol. 159(C).
    3. Lassance, Nathan & Vanderveken, Rodolphe & Vrins, Frédéric, 2025. "Shrink with Purpose: Optimal Covariance Matrix Estimation for Portfolio Selection," LIDAM Discussion Papers LFIN 2025002, Université catholique de Louvain, Louvain Finance (LFIN).
    4. Lin, Juan & Ling, Yufan, 2025. "A unified factor model for emerging market currency comovements," Finance Research Letters, Elsevier, vol. 86(PG).
    5. Ballensiefen, Benedikt & Somogyi, Fabricius & Winterberg, Hannah, 2026. "Demand for dollars: Evidence from survey expectations," CFR Working Papers 26-04, University of Cologne, Centre for Financial Research (CFR).
    6. Hassan, Ramin & Loualiche, Erik & Pecora, Alexandre R. & Ward, Colin, 2023. "International trade and the risk in bilateral exchange rates," Journal of Financial Economics, Elsevier, vol. 150(2).
    7. Randl, Otto & Simion, Giorgia & Zechner, Josef, 2025. "Pricing and constructing international government bond portfolios," Journal of Financial Economics, Elsevier, vol. 173(C).

  9. Chernov, Mikhail & Augustin, Patrick & Schmid, Lukas & Song, Dongho, 2020. "The term structure of CIP violations," CEPR Discussion Papers 14774, Centre for Economic Policy Research.

    Cited by:

    1. Nissinen, Juuso & Sihvonen, Markus, 2024. "Bond convenience curves and funding costs," Journal of International Economics, Elsevier, vol. 151(C).
    2. Wenxin Du & Benjamin Hébert & Wenhao Li, 2022. "Intermediary Balance Sheets and the Treasury Yield Curve," Staff Reports 1023, Federal Reserve Bank of New York.
    3. Wohlfarth, Paul & Chen, Xiaohong, 2024. "Limits to arbitrage and the term structure of CIP violations," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 95(C).

  10. Chernov, Mikhail & Augustin, Patrick & Schmid, Lukas & Song, Dongho, 2019. "Benchmark interest rates when the government is risky," CEPR Discussion Papers 14105, Centre for Economic Policy Research.

    Cited by:

    1. Montes, Gabriel Caldas & Maia, João Pedro Neves, 2023. "Who speaks louder, financial instruments or credit rating agencies? Analyzing the effects of different sovereign risk measures on interest rates in Brazil," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
    2. Lou, Dong & Pinter, Gabor & Üslü, Semih & Walker, Danny, 2025. "Yield drifts when issuance comes before macro news," Journal of Financial Economics, Elsevier, vol. 165(C).
    3. Yang, Yang & He, Weijun & Jiang, Ningye & Xu, Shasha & Ramsey, Thomas Stephen & Yuan, Liang, 2024. "The intertemporal choice study of individual water-saving irrigation construction under three water pricing and subsidy scenarios," Agricultural Water Management, Elsevier, vol. 295(C).
    4. Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2024. "The Term Structure of Covered Interest Rate Parity Violations," Journal of Finance, American Finance Association, vol. 79(3), pages 2077-2114, June.
    5. Wenxin Du & Benjamin Hébert & Wenhao Li, 2022. "Intermediary Balance Sheets and the Treasury Yield Curve," Staff Reports 1023, Federal Reserve Bank of New York.
    6. Kanno, Masayasu, 2024. "Assessing the impact of the COVID-19 crisis on sovereign default risk," Research in International Business and Finance, Elsevier, vol. 68(C).
    7. Hanson, Samuel G. & Malkhozov, Aytek & Venter, Gyuri, 2024. "Demand-and-supply imbalance risk and long-term swap spreads," Journal of Financial Economics, Elsevier, vol. 154(C).
    8. Li, Shaoyu & Zhu, Chunhui & Shang, Yuhuang, 2023. "Hedging demand and near-zero swap spreads: Evidence from the Chinese interest rate swap market," The Quarterly Review of Economics and Finance, Elsevier, vol. 91(C), pages 170-185.
    9. Boutros, Michael & Clara, Nuno & Gomes, Francisco, 2024. "Borrow now, pay even later: A quantitative analysis of student debt payment plans," Journal of Financial Economics, Elsevier, vol. 159(C).
    10. Solís, Pavel, 2025. "Term premia and credit risk in emerging markets: The role of U.S. monetary policy," Journal of International Economics, Elsevier, vol. 154(C).
    11. Matthias Fleckenstein & Francis A. Longstaff, 2024. "Treasury Richness," Journal of Finance, American Finance Association, vol. 79(4), pages 2797-2844, August.
    12. David Cashin & Erin E. Syron Ferris & Elizabeth Klee, 2023. "Treasury Safety, Liquidity, and Money Premium Dynamics: Evidence from Debt Limit Impasses," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(6), pages 1475-1506, September.
    13. Hartley, Jonathan S. & Jermann, Urban J., 2024. "The pricing of U.S. Treasury floating rate notes," Journal of Financial Economics, Elsevier, vol. 155(C).
    14. David B. Cashin & Erin E. Syron Ferris & Elizabeth C. Klee, 2020. "Treasury Safety, Liquidity, and Money Premium Dynamics: Evidence from Recent Debt Limit Impasses," Finance and Economics Discussion Series 2020-008, Board of Governors of the Federal Reserve System (U.S.).
    15. David-Pur, Lior & Galil, Koresh & Rosenboim, Mosi, 2020. "The dynamics of sovereign yields over swap rates in the Eurozone market," International Review of Financial Analysis, Elsevier, vol. 72(C).

  11. Chernov, Mikhail & Creal, Drew, 2018. "Multihorizon Currency Returns and Purchasing Power Parity," CEPR Discussion Papers 12893, Centre for Economic Policy Research.

    Cited by:

    1. Bacchetta, Philippe & van Wincoop, Eric, 2019. "Puzzling Exchange Rate Dynamics and Delayed Portfolio Adjustment," CEPR Discussion Papers 13839, Centre for Economic Policy Research.

  12. Chernov, Mikhail & Augustin, Patrick & Song, Dongho, 2018. "Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads," CEPR Discussion Papers 12857, Centre for Economic Policy Research.

    Cited by:

    1. Mustafa Akay & Berat Bayram & Abdullah Kazdal & Muhammed Hasan Yilmaz, 2020. "Investigating Regime-Dependent Dynamics in Country Risk Premium: Evidence from Turkey and Emerging Markets," CBT Research Notes in Economics 2008, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    2. Amstad, Marlene & Packer, Frank & Shek, Jimmy, 2020. "Does sovereign risk in local and foreign currency differ?," Journal of International Money and Finance, Elsevier, vol. 101(C).
    3. Chernov, Mikhail & Creal, Drew & Hördahl, Peter, 2020. "Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds," CEPR Discussion Papers 14986, Centre for Economic Policy Research.
    4. Giovanni Calice & Ming Zeng, 2021. "The term structure of sovereign credit default swap and the cross‐section of exchange rate predictability," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 445-458, January.
    5. Liao, Gordon Y., 2020. "Credit migration and covered interest rate parity," Journal of Financial Economics, Elsevier, vol. 138(2), pages 504-525.
    6. Kremens, Lukas & Martin, Ian, 2019. "The quanto theory of exchange rates," LSE Research Online Documents on Economics 89839, London School of Economics and Political Science, LSE Library.
    7. Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide & Uno, Jun, 2018. "Central bank-driven mispricing," SAFE Working Paper Series 226, Leibniz Institute for Financial Research SAFE, revised 2018.
    8. Borri, Nicola, 2019. "Redenomination-risk spillovers in the Eurozone," Economics Letters, Elsevier, vol. 174(C), pages 173-178.
    9. Andrey Itkin & Fazlollah Soleymani, 2019. "Four-factor model of Quanto CDS with jumps-at-default and stochastic recovery," Papers 1912.08713, arXiv.org.
    10. A. Itkin & V. Shcherbakov & A. Veygman, 2017. "Influence of jump-at-default in IR and FX on Quanto CDS prices," Papers 1711.07133, arXiv.org.
    11. Dumitru, Ana-Maria & Holden, Thomas, 2019. "Quantifying the transmission of European sovereign default risk," EconStor Preprints 193632, ZBW - Leibniz Information Centre for Economics.
    12. Feng, Qianqian & Sun, Xiaolei & Liu, Chang & Li, Jianping, 2021. "Spillovers between sovereign CDS and exchange rate markets: The role of market fear," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
    13. Mikhail Chernov & Lukas Schmid & Andres Schneider, 2020. "A Macrofinance View of U.S. Sovereign CDS Premiums," Journal of Finance, American Finance Association, vol. 75(5), pages 2809-2844, October.

  13. Chernov, Mikhail & Lochstoer, Lars & Lundeby, Stig, 2018. "Conditional dynamics and the multi-horizon risk-return trade-off," CEPR Discussion Papers 13365, Centre for Economic Policy Research.

    Cited by:

    1. Baba-Yara, Fahiz & Boons, Martijn & Tamoni, Andrea, 2024. "Persistent and transitory components of firm characteristics: Implications for asset pricing," Journal of Financial Economics, Elsevier, vol. 154(C).
    2. Bryzgalova, Svetlana & Huang, Jiantao & Julliard, Christian, 2023. "Bayesian solutions for the factor zoo: we just ran two quadrillion models," LSE Research Online Documents on Economics 126151, London School of Economics and Political Science, LSE Library.
    3. Valentin Haddad & Serhiy Kozak & Shrihari Santosh, 2020. "Factor Timing," NBER Working Papers 26708, National Bureau of Economic Research, Inc.
    4. Angelidis, Timotheos & Tessaromatis, Nikolaos, 2023. "The disappearing profitability of volatility-managed equity factors," Journal of Financial Markets, Elsevier, vol. 65(C).
    5. Chernov, Mikhail & Dahlquist, Magnus & Lochstoer, Lars, 2020. "Pricing Currency Risks," CEPR Discussion Papers 15571, Centre for Economic Policy Research.
    6. Brennan, M.J. & Taylor, Alex P., 2023. "Expected returns and risk in the stock market," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 276-300.
    7. van Binsbergen, Jules H. & Boons, Martijn & Opp, Christian C. & Tamoni, Andrea, 2023. "Dynamic asset (mis)pricing: Build-up versus resolution anomalies," Journal of Financial Economics, Elsevier, vol. 147(2), pages 406-431.
    8. Favero, Carlo A. & Melone, Alessandro, 2020. "Asset Pricing vs Asset Expected Returning in Factor-Portfolio Models," CEPR Discussion Papers 14417, Centre for Economic Policy Research.
    9. Randl, Otto & Simion, Giorgia & Zechner, Josef, 2025. "Pricing and constructing international government bond portfolios," Journal of Financial Economics, Elsevier, vol. 173(C).

  14. Chernov, Mikhail & Schmid, Lukas & Schneider, Andres, 2016. "A Macrofinance View of U.S. Sovereign CDS Premiums," CEPR Discussion Papers 11576, Centre for Economic Policy Research.

    Cited by:

    1. Zhengyang Jiang & Hanno Lustig & Stijn Van Nieuwerburgh & Mindy Z. Xiaolan, 2024. "What Drives Variation in the U.S. Debt‐to‐Output Ratio? The Dogs that Did not Bark," Journal of Finance, American Finance Association, vol. 79(4), pages 2603-2665, August.
    2. Zhengyang Jiang & Hanno Lustig & Stijn Van Nieuwerburgh & Mindy Z. Xiaolan, 2019. "The U.S. Public Debt Valuation Puzzle," NBER Working Papers 26583, National Bureau of Economic Research, Inc.
    3. Sarah Mouabbi & Jean-Paul Renne & Jean-Guillaume Sahuc, 2021. "Debt-Stabilizing Properties of GDP-Linked Securities: A Macro-Finance Perspective," Working papers 844, Banque de France.
    4. Augustin, Patrick & Sokolovski, Valeri & Subrahmanyam, Marti G. & Tomio, Davide, 2022. "In sickness and in debt: The COVID-19 impact on sovereign credit risk," Journal of Financial Economics, Elsevier, vol. 143(3), pages 1251-1274.
    5. Liu, Yang, 2023. "Government debt and risk premia," Journal of Monetary Economics, Elsevier, vol. 136(C), pages 18-34.
    6. Tang, Ning & Chang, Hao-Wen & Lin, Chih-Yung & Lu, Chien-Lin, 2024. "Public's evaluation of ESG and credit default swap: Evidence from East Asian countries," Pacific-Basin Finance Journal, Elsevier, vol. 87(C).
    7. Alexandre Corhay & Thilo Kind & Howard Kung & Gonzalo Morales, 2021. "Discount Rates, Debt Maturity, and the Fiscal Theory," Staff Working Papers 21-58, Bank of Canada.
    8. Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2024. "The Term Structure of Covered Interest Rate Parity Violations," Journal of Finance, American Finance Association, vol. 79(3), pages 2077-2114, June.
    9. Kučera, Adam & Kočenda, Evžen & Maršál, Aleš, 2025. "Yield curve dynamics and fiscal policy shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 178(C).
    10. Gül Huyugüzel Kışla & Y. Gülnur Muradoğlu & A. Özlem Önder, 2022. "Spillovers from one country’s sovereign debt to CDS (credit default swap) spreads of others during the European crisis: a spatial approach," Journal of Asset Management, Palgrave Macmillan, vol. 23(4), pages 277-296, July.
    11. Augustin, P. & Chernov, M. & Schmid, L. & Song, D., 2021. "Benchmark interest rates when the government is risky," Journal of Financial Economics, Elsevier, vol. 140(1), pages 74-100.
    12. Jiang, Zhengyang, 2021. "US Fiscal cycle and the dollar," Journal of Monetary Economics, Elsevier, vol. 124(C), pages 91-106.
    13. Chernov, Mikhail & Augustin, Patrick & Schmid, Lukas & Song, Dongho, 2020. "The term structure of CIP violations," CEPR Discussion Papers 14774, Centre for Economic Policy Research.
    14. Janbaz, M. & Hassan, M.K. & Floreani, J. & Dreassi, A., 2024. "Liquidity pressure and the sovereign-bank diabolic loop," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 1039-1057.
    15. Caiazza, Stefano & Galloppo, Giuseppe & La Rosa, Giovanni, 2023. "The mitigation role of corporate sustainability: Evidence from the CDS spread," Finance Research Letters, Elsevier, vol. 52(C).
    16. Erdem, Fatma Pınar & Ozkan, Gulcin, 2025. "Sovereign risk in emerging and advanced economies: The divergent roles of policy credibility and growth," Economics Letters, Elsevier, vol. 255(C).
    17. Fredy Gamboa-Estrada & José Vicente Romero, 2024. "Geopolitical Risk and Emerging Markets Sovereign Risk Premia," Borradores de Economia 1282, Banco de la Republica de Colombia.
    18. Zhengyang Jiang & Arvind Krishnamurthy & Hanno Lustig, 2021. "Foreign Safe Asset Demand and the Dollar Exchange Rate," Journal of Finance, American Finance Association, vol. 76(3), pages 1049-1089, June.
    19. Dim, Chukwuma & Koerner, Kevin & Wolski, Marcin & Zwart, Sanne, 2022. "Hot off the press: News-implied sovereign default risk," EIB Working Papers 2022/06, European Investment Bank (EIB).

  15. Chernov, Mikhail & Longstaff, Francis & Dunn, Brett R., 2016. "Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities," CEPR Discussion Papers 10947, Centre for Economic Policy Research.

    Cited by:

    1. Kubitza, Christian & Grochola, Nicolaus & Gründl, Helmut, 2025. "Life insurance convexity," Journal of Banking & Finance, Elsevier, vol. 178(C).
    2. Matteo Bissiri & Riccardo Cogo, 2017. "Behavioral Value Adjustments," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(08), pages 1-37, December.
    3. Justin Sirignano & Apaar Sadhwani & Kay Giesecke, 2016. "Deep Learning for Mortgage Risk," Papers 1607.02470, arXiv.org, revised Mar 2018.
    4. Ana Isabel Sá, 2020. "To change or not to change: the impact of the law on mortgage origination," Working Papers w202019, Banco de Portugal, Economics and Research Department.
    5. Liu, Fengming & Song, Yingda, 2025. "Analysis of credit ABS based on Markov chain approaches," Finance Research Letters, Elsevier, vol. 71(C).
    6. Haoyang Liu & Zhaogang Song & James Vickery, 2021. "Defragmenting Markets: Evidence from Agency MBS," Staff Reports 965, Federal Reserve Bank of New York.
    7. Wayne Passmore & Alexander H. von Hafften, 2017. "Improving the 30-Year Fixed-Rate Mortgage," Finance and Economics Discussion Series 2017-090, Board of Governors of the Federal Reserve System (U.S.).
    8. Thi Mai Luong, 2020. "Selection Effects of Lender and Borrower Choices on Risk Measurement, Management and Prudential Regulation," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2020, January-A.
    9. Wayne Passmore & Alexander H. von Hafften, 2018. "Financing Affordable and Sustainable Homeownership with Fixed-COFI Mortgages," Finance and Economics Discussion Series 2018-009, Board of Governors of the Federal Reserve System (U.S.).
    10. Luong, Thi Mai & Scheule, Harald, 2022. "Benchmarking forecast approaches for mortgage credit risk for forward periods," European Journal of Operational Research, Elsevier, vol. 299(2), pages 750-767.
    11. Andreas Fuster & David O. Lucca & James Vickery, 2022. "Mortgage-Backed Securities," Staff Reports 1001, Federal Reserve Bank of New York.
    12. Shi, Tianxiang & Lee, Yung-Tsung, 2021. "Prepayment risk in reverse mortgages: An intensity-governed surrender model," Insurance: Mathematics and Economics, Elsevier, vol. 98(C), pages 68-82.
    13. Koijen, Ralph S.J. & Lee, Hae Kang & Van Nieuwerburgh, Stijn, 2024. "Aggregate lapsation risk," Journal of Financial Economics, Elsevier, vol. 155(C).
    14. Chuang-Chang Chang & Hsiao-Wei Ho & Henry Hongren Huang & Yildiray Yildirim, 2024. "A reduced-form model for lease contract valuation with embedded options," Review of Quantitative Finance and Accounting, Springer, vol. 62(2), pages 841-864, February.
    15. Passmore, Stuart Wayne & von Hafften, Alexander H., 2020. "Financing affordable and sustainable homeownership with Fixed-COFI mortgages," Regional Science and Urban Economics, Elsevier, vol. 80(C).
    16. Peter Diep & Andrea L. Eisfeldt & Scott Richardson, 2021. "The Cross Section of MBS Returns," Journal of Finance, American Finance Association, vol. 76(5), pages 2093-2151, October.

  16. Chernov, Mikhail & Backus, David & Boyarchenko, Nina, 2016. "Term structures of asset prices and returns," CEPR Discussion Papers 11227, Centre for Economic Policy Research.

    Cited by:

    1. Simon Lloyd & Emile Marin, 2020. "Exchange rate risk and business cycles," Bank of England Staff Working Paper series 872, Bank of England.
    2. Fousseni Chabi-Yo & Riccardo Colacito, 2019. "The Term Structures of Coentropy in International Financial Markets," Management Science, INFORMS, vol. 65(8), pages 3541-3558, August.
    3. A. Ronald Gallant & George Tauchen, 2021. "Cash Flows Discounted Using a Model-Free SDF Extracted under a Yield Curve Prior," JRFM, MDPI, vol. 14(3), pages 1-15, March.
    4. Stefano Giglio & Bryan Kelly & Serhiy Kozak, 2024. "Equity Term Structures without Dividend Strips Data," Journal of Finance, American Finance Association, vol. 79(6), pages 4143-4196, December.
    5. Jiang, Zhengyang & Lustig, Hanno & Van Nieuwerburgh, Stijn & Xiaolan, Mindy Z., 2026. "Manufacturing risk-free government debt," Journal of Financial Economics, Elsevier, vol. 176(C).
    6. Likuan Qin & Vadim Linetsky, 2018. "Long-term factorization in Heath–Jarrow–Morton models," Finance and Stochastics, Springer, vol. 22(3), pages 621-641, July.
    7. Li, Ye & Wang, Chen, 2025. "The Information Cliff," SocArXiv bf8cx_v1, Center for Open Science.
    8. Huynh, Toan Luu Duc & Nasir, Muhammad Ali & Vo, Xuan Vinh & Nguyen, Thong Trung, 2020. "“Small things matter most”: The spillover effects in the cryptocurrency market and gold as a silver bullet," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    9. Irina Zviadadze, 2017. "Term Structure of Risk on Macrofinance Models," 2017 Meeting Papers 965, Society for Economic Dynamics.
    10. Adrian, Tobias & Boyarchenko, Nina & Giannone, Domenico, 2016. "Vulnerable Growth," CEPR Discussion Papers 11583, Centre for Economic Policy Research.
    11. Zhou, Yang & Xie, Chi & Wang, Gang-Jin & Gong, Jue & Li, Zhao-Chen & Zhu, You, 2024. "Who dominate the information flowing between innovative and traditional financial assets? A multiscale entropy-based approach," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 329-358.
    12. Ngo Thai Hung, 2025. "Green Bonds and Asset Classes: New Evidence from Time-varying Copula and Transfer Entropy Models," Global Business Review, International Management Institute, vol. 26(5), pages 1405-1424, October.
    13. Chen, Dongxu & Wu, Ke & Zhu, Yifeng, 2022. "Stock return asymmetry in China," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
    14. Stefano Giglio & Bryan Kelly, 2016. "Excess Volatility: Beyond Discount Rates," NBER Working Papers 22045, National Bureau of Economic Research, Inc.
    15. Ye Li & Chen Wang, 2023. "Valuation Duration of the Stock Market," Papers 2310.07110, arXiv.org.
    16. Likuan Qin & Vadim Linetsky & Yutian Nie, 2016. "Long Forward Probabilities, Recovery and the Term Structure of Bond Risk Premiums," Papers 1601.06477, arXiv.org.
    17. Mikhail Chernov & Drew Creal, 2023. "International Yield Curves and Currency Puzzles," Journal of Finance, American Finance Association, vol. 78(1), pages 209-245, February.
    18. Likuan Qin & Vadim Linetsky, 2016. "Long-Term Factorization of Affine Pricing Kernels," Papers 1610.00778, arXiv.org, revised Jul 2017.
    19. Zviadadze, Irina, 2018. "Term Structure of Risk in Expected Returns," CEPR Discussion Papers 13414, Centre for Economic Policy Research.
    20. Takamizawa, Hideyuki, 2022. "An equilibrium model of the term structures of bonds and equities," International Review of Financial Analysis, Elsevier, vol. 84(C).
    21. Andrés Schneider, 2022. "Risk‐Sharing and the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 77(4), pages 2331-2374, August.
    22. Likuan Qin & Vadim Linetsky, 2016. "The Long Bond, Long Forward Measure and Long-Term Factorization in Heath-Jarrow-Morton Models," Papers 1610.00818, arXiv.org, revised Jul 2017.
    23. Indrajit Mitra & Yu Xu, 2020. "Limited Household Risk Sharing: General Equilibrium Implications for the Term Structure of Interest Rates," FRB Atlanta Working Paper 2020-20, Federal Reserve Bank of Atlanta.
    24. Pierlauro Lopez & David Lopez-Salido & Francisco Vazquez-Grande, 2018. "Risk-Adjusted Linearizations of Dynamic Equilibrium Models," Working papers 702, Banque de France.
    25. Michael Hasler & Mariana Khapko, 2023. "Correlated Cashflow Shocks, Asset Prices, and the Term Structure of Equity," Management Science, INFORMS, vol. 69(9), pages 5560-5577, September.
    26. Galindo Gil, Hamilton, 2025. "The role of external habits and preference heterogeneity in the equity term structure," Journal of Economic Dynamics and Control, Elsevier, vol. 178(C).
    27. Zhengyang Jiang & Arvind Krishnamurthy & Hanno Lustig, 2021. "Foreign Safe Asset Demand and the Dollar Exchange Rate," Journal of Finance, American Finance Association, vol. 76(3), pages 1049-1089, June.

  17. David Backus & Mikhail Chernov & Stanley E. Zin, 2013. "Identifying Taylor Rules in Macro-Finance Models," NBER Working Papers 19360, National Bureau of Economic Research, Inc.

    Cited by:

    1. Merim KASUMOVIĆ & Mirna MEŠIĆ, 2018. "Macroprudential stability indicators of financial systems: Analysis of Bosnia and Herzegovina and Croatia," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(1(614), S), pages 41-54, Spring.
    2. John Y. Campbell & Carolin Pflueger & Luis M. Viceira, 2014. "Macroeconomic Drivers of Bond and Equity Risks," NBER Working Papers 20070, National Bureau of Economic Research, Inc.
    3. Dongho Song, 2014. "Bond Market Exposures to Macroeconomic and Monetary Policy Risks," PIER Working Paper Archive 14-017, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.

  18. Backus, David & Zin, Stanley E. & Chernov, Mikhail & Zviadadze, Irina, 2013. "Monetary policy risk: Rules vs. discretion," CEPR Discussion Papers 9611, Centre for Economic Policy Research.

    Cited by:

    1. Merim KASUMOVIĆ & Mirna MEŠIĆ, 2018. "Macroprudential stability indicators of financial systems: Analysis of Bosnia and Herzegovina and Croatia," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(1(614), S), pages 41-54, Spring.
    2. John Y. Campbell & Carolin Pflueger & Luis M. Viceira, 2014. "Macroeconomic Drivers of Bond and Equity Risks," NBER Working Papers 20070, National Bureau of Economic Research, Inc.
    3. Dongho Song, 2014. "Bond Market Exposures to Macroeconomic and Monetary Policy Risks," PIER Working Paper Archive 14-017, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    4. Roman Sustek, 2021. "Yield curve and the business cycle in conventional times," Discussion Papers 2122, Centre for Macroeconomics (CFM).

  19. Chernov, Mikhail & Graveline, Jeremy & Zviadadze, Irina, 2012. "Sources of Risk in Currency Returns," CEPR Discussion Papers 8745, Centre for Economic Policy Research.

    Cited by:

    1. Kent Daniel & Robert J. Hodrick & Zhongjin Lu, 2014. "The Carry Trade: Risks and Drawdowns," NBER Working Papers 20433, National Bureau of Economic Research, Inc.
    2. Andreas Stathopoulos & Adrien Verdelhan & Hanno Lustig, 2017. "Nominal Exchange Rate Stationarity and Long-Term Bond Returns," 2017 Meeting Papers 1633, Society for Economic Dynamics.
    3. Huang, Huichou & MacDonald, Ronald & Zhao, Yang, 2012. "Global Currency Misalignments, Crash Sensitivity, and Downside Insurance Costs," MPRA Paper 53745, University Library of Munich, Germany, revised 18 Nov 2013.
    4. Andreas Stathopoulos & Andrea Vedolin & Philippe Mueller, 2012. "International Correlation Risk," 2012 Meeting Papers 818, Society for Economic Dynamics.
    5. Andreas Stathopoulos & Adrien Verdelhan & Hanno Lustig, 2014. "The Term Structure of Currency Carry Trade Risk Premia," 2014 Meeting Papers 837, Society for Economic Dynamics.

  20. Jeremy Graveline & Irina Zviadadze & Mikhail Chernov, 2012. "Crash Risk in Currency Returns," 2012 Meeting Papers 753, Society for Economic Dynamics.

    Cited by:

    1. Fousseni Chabi-Yo & Riccardo Colacito, 2019. "The Term Structures of Coentropy in International Financial Markets," Management Science, INFORMS, vol. 65(8), pages 3541-3558, August.
    2. Michaelides, Alexander & Milidonis, Andreas & Nishiotis, George P., 2019. "Private information in currency markets," Journal of Financial Economics, Elsevier, vol. 131(3), pages 643-665.
    3. Hui, Cho-Hoi & Lo, Chi-Fai & Chau, Po-Hon & Wong, Andrew, 2020. "Does Bitcoin behave as a currency?: A standard monetary model approach," International Review of Financial Analysis, Elsevier, vol. 70(C).
    4. Rui Ma & Ben R Marshall & Nhut H Nguyen & Nuttawat Visaltanachoti, 2022. "Does bitcoin liquidity resemble the liquidity of other financial assets?," Australian Journal of Management, Australian School of Business, vol. 47(4), pages 729-748, November.
    5. Pasquale Della Corte & Lucio Sarno & Maik Schmeling & Christian Wagner, 2022. "Exchange Rates and Sovereign Risk," Management Science, INFORMS, vol. 68(8), pages 5591-5617, August.
    6. Mueller, Philippe & Stathopoulos, Andreas & Vedolin, Andrea, 2017. "International correlation risk," LSE Research Online Documents on Economics 84140, London School of Economics and Political Science, LSE Library.
    7. Sensoy, Ahmet & Serdengeçti, Süleyman, 2020. "Impact of portfolio flows and heterogeneous expectations on FX jumps: Evidence from an emerging market," International Review of Financial Analysis, Elsevier, vol. 68(C).
    8. Gordon Y. Liao & Tony Zhang, 2020. "The Hedging Channel of Exchange Rate Determination," International Finance Discussion Papers 1283, Board of Governors of the Federal Reserve System (U.S.).
    9. Croce, Mariano & Colacito, Ric & Liu, Yang & Shaliastovich, Ivan, 2018. "Volatility Risk Pass-Through," CEPR Discussion Papers 13325, Centre for Economic Policy Research.
    10. Mykola Babiak & Jozef Barunik, 2021. "Volatility Shocks and Currency Returns," Papers 2101.09738, arXiv.org, revised Mar 2026.
    11. Hambuckers, J. & Ulm, M., 2023. "On the role of interest rate differentials in the dynamic asymmetry of exchange rates," Economic Modelling, Elsevier, vol. 129(C).
    12. Choi, Jin Ho & Suh, Sangwon, 2021. "A filtered currency carry trade," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    13. Zhenzhen Fan & Juan M. Londono & Xiao Xiao, 2019. "US Equity Tail Risk and Currency Risk Premia," International Finance Discussion Papers 1253, Board of Governors of the Federal Reserve System (U.S.).
    14. Martin, Ian & Kremens, Lukas, 2017. "The Quanto Theory of Exchange Rates," CEPR Discussion Papers 11970, Centre for Economic Policy Research.
    15. Zuzana Rowland & George Lazaroiu & Ivana Podhorská, 2020. "Use of Neural Networks to Accommodate Seasonal Fluctuations When Equalizing Time Series for the CZK/RMB Exchange Rate," Risks, MDPI, vol. 9(1), pages 1-21, December.
    16. Dahlquist, Magnus & Pénasse, Julien, 2022. "The missing risk premium in exchange rates," Journal of Financial Economics, Elsevier, vol. 143(2), pages 697-715.
    17. Iseringhausen, Martin, 2020. "The time-varying asymmetry of exchange rate returns: A stochastic volatility – stochastic skewness model," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 275-292.
    18. Londono, Juan M. & Zhou, Hao, 2017. "Variance risk premiums and the forward premium puzzle," Journal of Financial Economics, Elsevier, vol. 124(2), pages 415-440.
    19. Suh, Sangwon, 2019. "Unexploited currency carry trade profit opportunity," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 58(C), pages 236-254.
    20. Zhu, Jiaqing, 2019. "External financial liabilities and real exchange rate jumps," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 202-220.
    21. Wenliang Guo, 2020. "Currency Regimes, Volatility Risks, and Carry Trades: The Option Value of Government Currency Intervention in Emerging Markets," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 10(3), pages 1-4.
    22. Fullwood, Jonathan & James, Jessica & Marsh, Ian W., 2021. "Volatility and the cross-section of returns on FX options," Journal of Financial Economics, Elsevier, vol. 141(3), pages 1262-1284.
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    25. Chen, Steven Shu-Hsiu, 2024. "International crash risk premium," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 94(C).
    26. Choi, Jin Ho & Suh, Sangwon, 2022. "Conditionally-hedged currency carry trades," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    27. Hui, Cho-Hoi & Lo, Chi-Fai & Liu, Chi-Hei, 2022. "Exchange rate dynamics with crash risk and interventions," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 18-37.
    28. Ready, Robert & Roussanov, Nikolai & Ward, Colin, 2017. "After the tide: Commodity currencies and global trade," Journal of Monetary Economics, Elsevier, vol. 85(C), pages 69-86.
    29. Steven Heston & Kris Jacobs & Hyung Joo Kim, 2023. "The Pricing Kernel in Options," Finance and Economics Discussion Series 2023-053, Board of Governors of the Federal Reserve System (U.S.).
    30. Liu, Yang & Shaliastovich, Ivan, 2022. "Government policy approval and exchange rates," Journal of Financial Economics, Elsevier, vol. 143(1), pages 303-331.
    31. Michael D. Bauer & Mikhail Chernov, 2021. "Interest Rate Skewness and Biased Beliefs," NBER Working Papers 28954, National Bureau of Economic Research, Inc.
    32. Eriksen, Jonas N., 2019. "Cross-sectional return dispersion and currency momentum," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 91-108.
    33. Mykola Babiak & Jozef Barunik, 2021. "Uncertainty Network Risk and Currency Returns," CERGE-EI Working Papers wp687, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    34. Fan, Zhenzhen & Londono, Juan M. & Xiao, Xiao, 2022. "Equity tail risk and currency risk premiums," Journal of Financial Economics, Elsevier, vol. 143(1), pages 484-503.
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    36. Thomas A Maurer & Thuy-Duong Tô & Ngoc-Khanh Tran, 2023. "Market Timing and Predictability in FX Markets," Review of Finance, European Finance Association, vol. 27(1), pages 223-246.
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    40. Masaru Tsuruta, 2024. "Interaction between Sovereign Quanto Credit Default Swap Spreads and Currency Options," JRFM, MDPI, vol. 17(2), pages 1-33, February.
    41. Tjeerd De Vries, 2026. "Recovering Risk-Neutral Moments from Options," Papers 2601.14852, arXiv.org, revised Jul 2026.
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    43. Andrews, Spencer & Colacito, Riccardo & Croce, Mariano M. & Gavazzoni, Federico, 2024. "Concealed carry," Journal of Financial Economics, Elsevier, vol. 159(C).
    44. Dahlquist, Magnus & Hasseltoft, Henrik, 2020. "Economic momentum and currency returns," Journal of Financial Economics, Elsevier, vol. 136(1), pages 152-167.
    45. Thomas A. Maurer & Thuy-Duong Tô & Ngoc-Khanh Tran, 2019. "Pricing Risks Across Currency Denominations," Management Science, INFORMS, vol. 65(11), pages 5308-5336, November.
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  21. Backus, David & Zin, Stanley E. & Chernov, Mikhail, 2011. "Sources of entropy in representative agent models," CEPR Discussion Papers 8488, Centre for Economic Policy Research.

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    1. Zhigang Feng & Matthew Hoelle, 2017. "Indeterminacy in stochastic overlapping generations models: real effects in the long run," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 63(2), pages 559-585, February.
    2. Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2019. "Benchmark Interest Rates When the Government is Risky," NBER Working Papers 26429, National Bureau of Economic Research, Inc.
    3. Robert J. Kurtzman & David Zeke, 2016. "Accounting for Productivity Dispersion over the Business Cycle," Finance and Economics Discussion Series 2016-045, Board of Governors of the Federal Reserve System (U.S.).
    4. Andrew Chen & Francisco Palomino, 2026. "An Irrelevance Theorem for Risk Aversion and Time-Varying Risk," Papers 2606.05554, arXiv.org.
    5. Fousseni Chabi-Yo & Riccardo Colacito, 2019. "The Term Structures of Coentropy in International Financial Markets," Management Science, INFORMS, vol. 65(8), pages 3541-3558, August.
    6. Timothy M. Christensen, 2014. "Nonparametric identification of positive eigenfunctions," CeMMAP working papers CWP37/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    7. Mikhail Chernov & Lars A. Lochstoer & Stig R. H. Lundeby, 2018. "Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off," NBER Working Papers 25361, National Bureau of Economic Research, Inc.
    8. Jeremy Graveline & Irina Zviadadze & Mikhail Chernov, 2012. "Crash Risk in Currency Returns," 2012 Meeting Papers 753, Society for Economic Dynamics.
    9. Backus, David & Ferriere, Axelle & Zin, Stanley, 2015. "Risk and ambiguity in models of business cycles," Journal of Monetary Economics, Elsevier, vol. 69(C), pages 42-63.
    10. Almeida, Caio & Ardison, Kym & Garcia, René, 2020. "Nonparametric assessment of hedge fund performance," Journal of Econometrics, Elsevier, vol. 214(2), pages 349-378.
    11. Anisha Ghosh & Christian Julliard & Alex P. Taylor, 2017. "What Is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models," The Review of Financial Studies, Society for Financial Studies, vol. 30(2), pages 442-504.
    12. Po-Keng Cheng & Young Shin Kim, 2017. "Speculative bubbles and crashes： Fundamentalists and positive‐feedback trading," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1381370-138, January.
    13. Christensen, Timothy M., 2022. "Existence and uniqueness of recursive utilities without boundedness," Journal of Economic Theory, Elsevier, vol. 200(C).
    14. Borovička, Jaroslav & Hansen, Lars Peter, 2014. "Examining macroeconomic models through the lens of asset pricing," Journal of Econometrics, Elsevier, vol. 183(1), pages 67-90.
    15. Isabel Cristina Betancur & Efraín Arango-Sánchez & à lvaro Hernán Bedoya-Calle & Francisco J. Caro- Lopera & Éver Alberto Velásquez Sierra, 2025. "Calculation of the Production Function through Entropy: A Model from Econophysics," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 103, pages 77-106, June.
    16. Sang Byung Seo & Jessica A. Wachter, 2019. "Option Prices in a Model with Stochastic Disaster Risk," Management Science, INFORMS, vol. 65(8), pages 3449-3469, August.
    17. Ghosh, Anisha & Julliard, Christian & Taylor, Alex. P, 2025. "An information-theoretic asset pricing model," LSE Research Online Documents on Economics 126155, London School of Economics and Political Science, LSE Library.
    18. Arnold Polanski & Evarist Stoja, 2015. "Extreme risk interdependence," Bank of England Staff Working Paper series 563, Bank of England.
    19. Schneider, Paul, 2015. "Generalized risk premia," Journal of Financial Economics, Elsevier, vol. 116(3), pages 487-504.
    20. Oh, Gabjin & Kim, Ho-yong & Ahn, Seok-Won & Kwak, Wooseop, 2015. "Analyzing the financial crisis using the entropy density function," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 464-469.
    21. Bidder, R.M. & Smith, M.E., 2018. "Doubts and variability: A robust perspective on exotic consumption series," Journal of Economic Theory, Elsevier, vol. 175(C), pages 689-712.
    22. Pierlauro Lopez, 2016. "Welfare Implications of the Term Structure of Returns: Should Central Banks Fill Gaps or Remove Volatility?," 2016 Meeting Papers 742, Society for Economic Dynamics.
    23. Pietro Murialdo & Linda Ponta & Anna Carbone, 2020. "Long-Range Dependence in Financial Markets: a Moving Average Cluster Entropy Approach," Papers 2004.14736, arXiv.org.
    24. René Garcia & Caio Almeida & Kym Ardison & Jose Vicente, 2016. "Nonparametric Tail Risk, Stock Returns and the Macroeconomy," CIRANO Working Papers 2016s-20, CIRANO.
    25. Parnes, Dror, 2024. "Copper-to-gold ratio as a leading indicator for the 10-Year Treasury yield," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
    26. David Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term structures of asset prices and returns," Working Papers 16-08, New York University, Leonard N. Stern School of Business, Department of Economics.
    27. Andreas Stathopoulos & Adrien Verdelhan & Hanno Lustig, 2017. "Nominal Exchange Rate Stationarity and Long-Term Bond Returns," 2017 Meeting Papers 1633, Society for Economic Dynamics.
    28. Jaroslav Boroviv{c}ka & Lars Peter Hansen & Jos'e A. Scheinkman, 2014. "Misspecified Recovery," Papers 1412.0042, arXiv.org, revised Oct 2015.
    29. Ghaderi, Mohammad & Kilic, Mete & Seo, Sang Byung, 2022. "Learning, slowly unfolding disasters, and asset prices," Journal of Financial Economics, Elsevier, vol. 143(1), pages 527-549.
    30. Jianfeng Yu, 2012. "Using Long-Run Consumption-Return Correlations to Test Asset Pricing Models," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(3), pages 317-335, October.
    31. Qiu, Chen & Otsu, Taisuke, 2022. "Information theoretic approach to high dimensional multiplicative models: stochastic discount factor and treatment effect," LSE Research Online Documents on Economics 110494, London School of Economics and Political Science, LSE Library.
    32. Chen Qiu & Taisuke Otsu, 2022. "Information theoretic approach to high‐dimensional multiplicative models: Stochastic discount factor and treatment effect," Quantitative Economics, Econometric Society, vol. 13(1), pages 63-94, January.
    33. Pier Lopez, 2014. "The Term Structure of the Welfare Cost of Uncertainty," Working papers 521, Banque de France.
    34. Andreas Stathopoulos & Adrien Verdelhan & Hanno Lustig, 2014. "The Term Structure of Currency Carry Trade Risk Premia," 2014 Meeting Papers 837, Society for Economic Dynamics.
    35. Tjeerd de Vries, 2021. "A Tale of Two Tails: A Model-free Approach to Estimating Disaster Risk Premia and Testing Asset Pricing Models," Papers 2105.08208, arXiv.org, revised Oct 2023.
    36. Juan Arismendi-Zambrano & Emmanuel Kypraios & Alessia Paccagnini, 2026. "Informativeness of the federal reserve chair communication’s sentiment on the monetary policy uncertainty," Annals of Operations Research, Springer, vol. 357(1), pages 633-677, February.
    37. Pierlauro Lopez, 2021. "Welfare Implications of Asset Pricing Facts: Should Central Banks Fill Gaps or Remove Volatility?," Working Papers 21-16R, Federal Reserve Bank of Cleveland, revised 16 May 2023.
    38. Dejian Tian & Weidong Tian & Jianjun Zhou & Zimu Zhu, 2025. "Optimal Consumption-Investment with Epstein-Zin Utility under Leverage Constraint," Papers 2509.21929, arXiv.org, revised Oct 2025.
    39. Timothy M. Christensen, 2014. "Nonparametric identification of positive eigenfunctions," CeMMAP working papers 37/14, Institute for Fiscal Studies.
    40. Lei Jiang & Esfandiar Maasoumi & Jiening Pan & Ke Wu, 2018. "A test of general asymmetric dependence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(7), pages 1026-1043, November.
    41. Chabakauri, Georgy, 2015. "Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors," LSE Research Online Documents on Economics 60737, London School of Economics and Political Science, LSE Library.
    42. Irina Zviadadze, 2014. "Term-structure of consumption risk premia in the cross-section of currency returns," 2014 Meeting Papers 1075, Society for Economic Dynamics.
    43. Hansen, Lars Peter, 2013. "Risk Pricing over Alternative Investment Horizons," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1571-1611, Elsevier.
    44. Ponta, Linda & Murialdo, Pietro & Carbone, Anna, 2021. "Information measure for long-range correlated time series: Quantifying horizon dependence in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 570(C).
    45. Polanski, Arnold & Stoja, Evarist, 2016. "Extreme risk interdependence," ESRB Working Paper Series 12, European Systemic Risk Board.
    46. Chernov, Mikhail & Graveline, Jeremy & Zviadadze, Irina, 2012. "Sources of Risk in Currency Returns," CEPR Discussion Papers 8745, Centre for Economic Policy Research.
    47. Nikolay Gospodinov & Esfandiar Maasoumi, 2017. "General Aggregation of Misspecified Asset Pricing Models," FRB Atlanta Working Paper 2017-10, Federal Reserve Bank of Atlanta.
    48. Caio Almeida & René Garcia, 2017. "Economic Implications of Nonlinear Pricing Kernels," Management Science, INFORMS, vol. 63(10), pages 3361-3380, October.
    49. Timothy M. Christensen, 2015. "Nonparametric stochastic discount factor decomposition," CeMMAP working papers 24/15, Institute for Fiscal Studies.
    50. Favero, Carlo A. & Tamoni, Andrea & Ortu, Fulvio & Yang, Haoxi, 2016. "Implications of Return Predictability across Horizons for Asset Pricing Models," CEPR Discussion Papers 11645, Centre for Economic Policy Research.
    51. Hongye Guo & Jessica A. Wachter, 2019. ""Superstitious" Investors," NBER Working Papers 25603, National Bureau of Economic Research, Inc.
    52. Andrew Y. Chen & Francisco Palomino, 2026. "An Irrelevance Theorem for Risk Aversion and Time-Varying Risk," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 61, August.
    53. Timothy Christensen, 2014. "Nonparametric Stochastic Discount Factor Decomposition," Papers 1412.4428, arXiv.org, revised May 2017.
    54. Zviadadze, Irina, 2018. "Term Structure of Risk in Expected Returns," CEPR Discussion Papers 13414, Centre for Economic Policy Research.
    55. Liu, Yan, 2021. "Index option returns and generalized entropy bounds," Journal of Financial Economics, Elsevier, vol. 139(3), pages 1015-1036.
    56. Lars Peter Hansen, 2014. "Uncertainty Outside and Inside Economic Models," NBER Working Papers 20394, National Bureau of Economic Research, Inc.
    57. Andrés Schneider, 2022. "Risk‐Sharing and the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 77(4), pages 2331-2374, August.
    58. Qin, Guyue & Shang, Pengjian, 2021. "Analysis of time series using a new entropy plane based on past entropy," Chaos, Solitons & Fractals, Elsevier, vol. 152(C).
    59. Indrajit Mitra & Yu Xu, 2020. "Limited Household Risk Sharing: General Equilibrium Implications for the Term Structure of Interest Rates," FRB Atlanta Working Paper 2020-20, Federal Reserve Bank of Atlanta.
    60. Samim Ghamami & Paul Glasserman, 2019. "Submodular Risk Allocation," Management Science, INFORMS, vol. 65(10), pages 4656-4675, October.
    61. Pierlauro Lopez & David Lopez-Salido & Francisco Vazquez-Grande, 2018. "Risk-Adjusted Linearizations of Dynamic Equilibrium Models," Working papers 702, Banque de France.
    62. Hengjie Ai & Ravi Bansal, 2016. "Risk Preferences and The Macro Announcement Premium," NBER Working Papers 22527, National Bureau of Economic Research, Inc.
    63. Chabakauri, Georgy, 2015. "Dynamic equilibrium with rare events and heterogeneous epstein-zin investors," LSE Research Online Documents on Economics 62003, London School of Economics and Political Science, LSE Library.
    64. Kroencke, Tim A., 2022. "Recessions and the stock market," Journal of Monetary Economics, Elsevier, vol. 131(C), pages 61-77.
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    66. Gospodinov, Nikolay & Maasoumi, Esfandiar, 2021. "Generalized aggregation of misspecified models: With an application to asset pricing," Journal of Econometrics, Elsevier, vol. 222(1), pages 451-467.
    67. Weidong Tian, 2021. "Long Run Law and Entropy," Papers 2111.06238, arXiv.org.
    68. Zhanyu Chen & Kai Zhang & Hongbiao Zhao, 2022. "A Skellam market model for loan prime rate options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 525-551, March.

  22. Makarov, Igor & Chernov, Mikhail & Gorbenko, Alexander, 2011. "CDS Auctions," CEPR Discussion Papers 8456, Centre for Economic Policy Research.

    Cited by:

    1. Feldhütter, Peter & Hotchkiss, Edith & Karakaş, Oğuzhan, 2016. "The value of creditor control in corporate bonds," Journal of Financial Economics, Elsevier, vol. 121(1), pages 1-27.
    2. Lu, Yuechan & Samdani, Taufique, 2019. "The economic role of institutional investors in auction IPOs," Journal of Corporate Finance, Elsevier, vol. 56(C), pages 267-281.
    3. Augustin, Patrick & Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2014. "Credit Default Swaps: A Survey," Foundations and Trends(R) in Finance, now publishers, vol. 9(1-2), pages 1-196, December.
    4. Jagannathan, Ravi & Jirnyi, Andrei & Sherman, Ann Guenther, 2015. "Share auctions of initial public offerings: Global evidence," Journal of Financial Intermediation, Elsevier, vol. 24(3), pages 283-311.

  23. Ruslan Bikbov & Mikhail Chernov, 2010. "No-arbitrage macroeconomic determinants of the yield curve," Post-Print hal-00732517, HAL.

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    1. Martins, Manuel M.F. & Afonso, António, 2010. "Level, slope, curvature of the sovereign yield curve, and fiscal behaviour," Working Paper Series 1276, European Central Bank.
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    3. Davide Pettenuzzo & Antonio Gargano & Allan Timmermann, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Working Papers 75R, Brandeis University, Department of Economics and International Business School, revised Jul 2016.
    4. van der Wel, Michel & Zhang, Yaoyuan, 2026. "Global evidence on unspanned macro risks in dynamic term structure models," Journal of Banking & Finance, Elsevier, vol. 185(C).
    5. Juneja, Januj, 2012. "Common factors, principal components analysis, and the term structure of interest rates," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 48-56.
    6. Leo Krippner & Michelle Lewis, 2018. "Real-time forecasting with macro-finance models in the presence of a zero lower bound," Reserve Bank of New Zealand Discussion Paper Series DP2018/04, Reserve Bank of New Zealand.
    7. Lioui, Abraham & Tarelli, Andrea, 2019. "Macroeconomic environment, money demand and portfolio choice," European Journal of Operational Research, Elsevier, vol. 274(1), pages 357-374.
    8. Taeyoung Doh, 2008. "Long run risks in the term structure of interest rates: estimation," Research Working Paper RWP 08-11, Federal Reserve Bank of Kansas City.
    9. Andrew Ang & Sen Dong & Monika Piazzesi, 2007. "No-Arbitrage Taylor Rules," NBER Working Papers 13448, National Bureau of Economic Research, Inc.
    10. Iania, Leonardo & Lyrio, Marco & Nersisyan, Liana, 2023. "Oil Price Shocks and Bond Risk Premia: Evidence from a Panel of 15 Countries," LIDAM Discussion Papers LFIN 2023002, Université catholique de Louvain, Louvain Finance (LFIN).
    11. Peter Spencer, 2013. "The US Economy, the Treasury Bond Market and the Specification of Macro-Finance Models," Discussion Papers 13/22, Department of Economics, University of York.
    12. Bekaert, Geert & Engstrom, Eric & Ermolov, Andrey, 2021. "Macro risks and the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 141(2), pages 479-504.
    13. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2012. "Properties of foreign exchange risk premiums," Journal of Financial Economics, Elsevier, vol. 105(2), pages 279-310.
    14. Francesco Campigli & Gabriele Tedeschi & Maria Cristina Recchioni, 2021. "The talkative variables of the hybrid Heston model: Yields’ maturity and economic (in)stability," Working Papers 2021/03, Economics Department, Universitat Jaume I, Castellón (Spain).
    15. Torben G. Andersen & Luca Benzoni, 2007. "Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models," NBER Working Papers 12962, National Bureau of Economic Research, Inc.
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    17. Valentin Haddad & Serhiy Kozak & Shrihari Santosh, 2017. "Predicting Relative Returns," NBER Working Papers 23886, National Bureau of Economic Research, Inc.
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    22. Huse, Cristian, 2011. "Term structure modelling with observable state variables," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3240-3252.
    23. Balduzzi, Pierluigi, 2007. "Money and asset prices in a continuous-time Lucas and Stokey cash-in-advance economy," Journal of Economic Dynamics and Control, Elsevier, vol. 31(8), pages 2713-2743, August.
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    25. Joslin, Scott & Le, Anh & Singleton, Kenneth J., 2013. "Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs," Journal of Financial Economics, Elsevier, vol. 109(3), pages 604-622.
    26. Jerry Tsai, 2013. "Rare Disasters and the Term Structure of Interest Rates," Economics Series Working Papers 665, University of Oxford, Department of Economics.
    27. Caroline Jardet & Alain Monfort & Fulvio Pegoraro, 2009. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working papers 234, Banque de France.
    28. Chernov, Mikhail & Mueller, Philippe, 2012. "The term structure of inflation expectations," Journal of Financial Economics, Elsevier, vol. 106(2), pages 367-394.
    29. Rui Liu, 2019. "Forecasting Bond Risk Premia with Unspanned Macroeconomic Information," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 9(01), pages 1-62, March.
    30. Cordeiro, Werley & Caldeira, João F. & Moura, Guilherme V., 2025. "Forecasting the Brazilian yield curve using macroeconomics expectations and time-varying volatility," The Quarterly Review of Economics and Finance, Elsevier, vol. 104(C).
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    32. Carlo Altavilla & Riccardo Costantini & Raffaella Giacomini, 2013. "Bond returns and market expectations," CeMMAP working papers 20/13, Institute for Fiscal Studies.
    33. Filipova, Kameliya & Audrino, Francesco & De Giorgi, Enrico, 2014. "Monetary policy regimes: Implications for the yield curve and bond pricing," Journal of Financial Economics, Elsevier, vol. 113(3), pages 427-454.
    34. Bonsoo Koo & Oliver Linton, 2013. "Let's get LADE: robust estimation of semiparametric multiplicative volatility models," CeMMAP working papers 11/13, Institute for Fiscal Studies.
    35. Michael D. Bauer & James D. Hamilton, 2017. "Robust Bond Risk Premia," NBER Working Papers 23480, National Bureau of Economic Research, Inc.
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    38. Berardi, Andrea & Plazzi, Alberto, 2022. "Dissecting the yield curve: The international evidence," Journal of Banking & Finance, Elsevier, vol. 134(C).
    39. Dufrénot, Gilles & Rhouzlane, Meryem & Vaccaro-Grange, Etienne, 2022. "Potential growth and natural yield curve in Japan," Journal of International Money and Finance, Elsevier, vol. 124(C).
    40. Narek Ohanyan & Aleksandr Grigoryan, 2021. "Measuring monetary policy: rules versus discretion," Empirical Economics, Springer, vol. 61(1), pages 35-60, July.
    41. Michael D. Bauer & Glenn D. Rudebusch, 2019. "Interest Rates Under Falling Stars," Working Paper Series 2017-16, Federal Reserve Bank of San Francisco.
    42. Bulkley, George & Harris, Richard D.F. & Nawosah, Vivekanand, 2025. "Behavioral biases, information frictions and interest rate expectations," Journal of Empirical Finance, Elsevier, vol. 83(C).
    43. Apostolou, Barbara & Apostolou, Nicholas G. & Dorminey, Jack W., 2014. "The association of departures from spending rate equilibrium to municipal borrowing cost," Advances in accounting, Elsevier, vol. 30(1), pages 1-8.
    44. Andrew Ang & Jean Boivin & Sen Dong & Rudy Loo-Kung, 2009. "Monetary Policy Shifts and the Term Structure," NBER Working Papers 15270, National Bureau of Economic Research, Inc.
    45. Jing Yuan & Yan Peng & Zongwu Cai & Zhengyi Zhang, 2022. "A Quantitative Evaluation of Interest Rate Liberalization Reform in China," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202214, University of Kansas, Department of Economics.
    46. Ting-Jung Lee & W. Brent Lindquist & Svetlozar T. Rachev & Abootaleb Shirvani, 2025. "Option-Implied Zero-Coupon Yields: Unifying Bond and Equity Markets," Papers 2512.10823, arXiv.org.
    47. Morita, Hiroshi & Okimoto, Tatsuyoshi, 2021. "The interest rate determination when economic variables are partially observable," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
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    7. Semir Ben Ammar, 2020. "Catastrophe Risk and the Implied Volatility Smile," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 87(2), pages 381-405, June.
    8. Ayala, Astrid & Blazsek, Szabolcs & Escribano, Álvaro, 2019. "Score-driven time series models with dynamic shape : an application to the Standard & Poor's 500 index," UC3M Working papers. Economics 28133, Universidad Carlos III de Madrid. Departamento de Economía.
    9. Chowdhury, Rajib & Doukas, John A. & Mandal, Sonik, 2023. "CEO risk preferences, hedging intensity, and firm value," Journal of International Money and Finance, Elsevier, vol. 130(C).
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    Cited by:

    1. Massimo Guidolin & Alexei Orlov, 2020. "Are Unconventional Monetary Policies a Priced Risk Factor for Hedge Fund Strategies?," BAFFI CAREFIN Working Papers 20146, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    2. John Y. Campbell & Carolin Pflueger & Luis M. Viceira, 2014. "Macroeconomic Drivers of Bond and Equity Risks," NBER Working Papers 20070, National Bureau of Economic Research, Inc.
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    1. Sonali Jain & Jayanth R. Varma & Sobhesh Kumar Agarwalla, 2019. "Indian equity options: Smile, risk premiums, and efficiency," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(2), pages 150-163, February.
    2. Audrino, Francesco & Fengler, Matthias, 2013. "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Economics Working Paper Series 1311, University of St. Gallen, School of Economics and Political Science.
    3. Sylvia J. Soltyk & Felix Chan, 2023. "Modeling time‐varying higher‐order conditional moments: A survey," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 33-57, February.
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    5. Arthur Korteweg & Stefan Nagel, 2013. "Risk-Adjusting the Returns to Venture Capital," NBER Working Papers 19347, National Bureau of Economic Research, Inc.
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    7. Borochin, Paul & Wu, Zekun & Zhao, Yanhui, 2021. "The effect of option-implied skewness on delta- and vega-hedged option returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    8. David Backus & Mikhail Chernov & Ian Martin, 2009. "Disasters implied by equity index options," NBER Working Papers 15240, National Bureau of Economic Research, Inc.
    9. Chiarella, Carl & Kang, Boda & Nikitopoulos, Christina Sklibosios & Tô, Thuy-Duong, 2013. "Humps in the volatility structure of the crude oil futures market: New evidence," Energy Economics, Elsevier, vol. 40(C), pages 989-1000.
    10. Muravyev, Dmitriy & Ni, Xuechuan (Charles), 2020. "Why do option returns change sign from day to night?," Journal of Financial Economics, Elsevier, vol. 136(1), pages 219-238.
    11. Christoffersen, Peter & Jacobs, Kris & Chang, Bo Young, 2013. "Forecasting with Option-Implied Information," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 581-656, Elsevier.
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    Cited by:

    1. Ghysels, Eric & Tauchen, George, 2003. "Frontiers of financial econometrics and financial engineering," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 1-7.
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    Cited by:

    1. Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 1999. "Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think," Center for Financial Institutions Working Papers 00-28, Wharton School Center for Financial Institutions, University of Pennsylvania.
    2. Gallant, A. Ronald & Tauchen, George, 2002. "Simulated Score Methods and Indirect Inference for Continuous-time Models," Working Papers 02-09, Duke University, Department of Economics.
    3. Göncü, Ahmet & Karahan, Mehmet Oğuz & Kuzubaş, Tolga Umut, 2016. "A comparative goodness-of-fit analysis of distributions of some Lévy processes and Heston model to stock index returns," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 69-83.
    4. Pan, Jun, 2002. "The jump-risk premia implicit in options: evidence from an integrated time-series study," Journal of Financial Economics, Elsevier, vol. 63(1), pages 3-50, January.
    5. Choi, Yongok & Jacewitz, Stefan & Park, Joon Y., 2016. "A reexamination of stock return predictability," Journal of Econometrics, Elsevier, vol. 192(1), pages 168-189.
    6. Tsyplakov, Alexander, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models," MPRA Paper 25511, University Library of Munich, Germany.
    7. Nour Meddahi, 2001. "An Eigenfunction Approach for Volatility Modeling," CIRANO Working Papers 2001s-70, CIRANO.
    8. Alexander Tsyplakov, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models (in Russian)," Quantile, Quantile, issue 8, pages 69-122, July.
    9. John M. Maheu & Thomas McCurdy, 2001. "Nonlinear Features of Realized FX Volatility," CIRANO Working Papers 2001s-42, CIRANO.
    10. R. Oeuvray & P. Junod, 2015. "A practical approach to semideviation and its time scaling in a jump-diffusion process," Quantitative Finance, Taylor & Francis Journals, vol. 15(5), pages 809-827, May.
    11. Torben G. Andersen & Luca Benzoni & Jesper Lund, 2002. "An Empirical Investigation of Continuous‐Time Equity Return Models," Journal of Finance, American Finance Association, vol. 57(3), pages 1239-1284, June.
    12. Carl Chiarella & Christina Nikitopoulos-Sklibosios & Erik Schlogl & Hongang Yang, 2016. "Pricing American Options under Regime Switching Using Method of Lines," Research Paper Series 368, Quantitative Finance Research Centre, University of Technology, Sydney.
    13. Jing-zhi Huang & Liuren Wu, 2004. "Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes," Econometric Society 2004 North American Winter Meetings 405, Econometric Society.
    14. Chib, Siddhartha & Nardari, Federico & Shephard, Neil, 2002. "Markov chain Monte Carlo methods for stochastic volatility models," Journal of Econometrics, Elsevier, vol. 108(2), pages 281-316, June.
    15. Kyriakos Chourdakis, 2002. "Continuous Time Regime Switching Models and Applications in Estimating Processes with Stochastic Volatility and Jumps," Working Papers 464, Queen Mary University of London, School of Economics and Finance.
    16. Stefano Galluccio & Yann Le Cam, 2005. "Implied Calibration of Stochastic Volatility Jump Diffusion Models," Finance 0510028, University Library of Munich, Germany.
    17. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2005. "Can Standard Preferences Explain the Prices of out of the Money S&P 500 Put Options," NBER Working Papers 11861, National Bureau of Economic Research, Inc.
    18. René Garcia & Eric Ghysels & Eric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
    19. Tyler J. VanderWeele, 2007. "The volatility effects of nontrading for stock market returns," Applied Financial Economics, Taylor & Francis Journals, vol. 17(13), pages 1037-1041.
    20. Daal, Elton & Naka, Atsuyuki & Yu, Jung-Suk, 2007. "Volatility clustering, leverage effects, and jump dynamics in the US and emerging Asian equity markets," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2751-2769, September.
    21. Uppal, Raman & Das, Sanjiv Ranjan, 2002. "Systemic Risk and International Portfolio Choice," CEPR Discussion Papers 3305, Centre for Economic Policy Research.
    22. Rodrigue Oeuvray & Pascal Junod, 2013. "On time scaling of semivariance in a jump-diffusion process," Papers 1311.1122, arXiv.org.
    23. Rodríguez Nava Abigail & Francisco Venegas Martínez, 2010. "Efectos del tipo de cambio sobre el déficit público: modelos de simulación Monte Carlo," Contaduría y Administración, Accounting and Management, vol. 55(3), pages 11-40, septiembr.

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

    Cited by:

    1. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," Center for Financial Institutions Working Papers 99-08, Wharton School Center for Financial Institutions, University of Pennsylvania.
    2. Darrell Duffie & Jun Pan & Kenneth Singleton, 1999. "Transform Analysis and Asset Pricing for Affine Jump-Diffusions," NBER Working Papers 7105, National Bureau of Economic Research, Inc.
    3. Gabriele Fiorentini & Angel León & Gonzalo Rubio, "undated". "Short-term options with stochastic volatility: Estimation and empirical performance," Studies on the Spanish Economy 02, FEDEA.
    4. Broadie, Mark & Detemple, Jerome & Ghysels, Eric & Torres, Olivier, 2000. "Nonparametric estimation of American options' exercise boundaries and call prices," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1829-1857, October.

Articles

  1. Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2024. "The Term Structure of Covered Interest Rate Parity Violations," Journal of Finance, American Finance Association, vol. 79(3), pages 2077-2114, June.
    See citations under working paper version above.
  2. Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad‐Díaz & Menachem (Meni) Abudy , 2024. "Nonstandard Errors," Journal of Finance, American Finance Association, vol. 79(3), pages 2339-2390, June.
    • Utz Weitzel & Michael Razen & Sebastian Neussüs & Michael Kirchler & Magnus Johannesson & Juergen Huber & Felix Holzmeister & Anna Dreber & Albert J. Menkveld & Javier Gil-Bazo, 2021. "Non-Standard Errors," Working Papers 1303, Barcelona School of Economics.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," IWH Discussion Papers 11/2021, Halle Institute for Economic Research (IWH).
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian T. Brownlees & Javier Gil-Baz, 2021. "Non-standard errors," Economics Working Papers 1807, Department of Economics and Business, Universitat Pompeu Fabra.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena, 2021. "Non-Standard Errors," Working Papers 2021:17, Lund University, Department of Economics.
    • Albert J. et al. Menkveld, 2021. "Non-Standard Errors," CESifo Working Paper Series 9453, CESifo.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Post-Print halshs-03500882, HAL.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neus ss & Michael Razen & Utz Weitzel & Edwin Baidoo & Michael Fr mmel & et al, 2021. "Non-Standard Errors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1032, Ghent University, Faculty of Economics and Business Administration.
    • Francesco Franzoni & Roxana Mihet & Markus Leippold & Per Ostberg & Olivier Scaillet & Norman Schürhoff & Oksana Bashchenko & Nicola Mano & Michele Pelli, 2022. "Non-Standard Errors," Swiss Finance Institute Research Paper Series 22-09, Swiss Finance Institute.
    • Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Cambridge Working Papers in Economics 2182, Faculty of Economics, University of Cambridge.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Hasse, Jean-Baptiste & e.a.,, 2023. "Non-Standard Errors," LIDAM Reprints LFIN 2023002, Université catholique de Louvain, Louvain Finance (LFIN).
    • Menkveld, Albert J. & Dreber, Anna & Declerck, Fany & Moinas, Sophie, 2023. "Non-Standard Errors," TSE Working Papers 23-1451, Toulouse School of Economics (TSE).
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüß, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Menac, 2024. "Nonstandard errors," LSE Research Online Documents on Economics 123002, London School of Economics and Political Science, LSE Library.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024. "Nonstandard Errors," Post-Print hal-04676112, HAL.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," SAFE Working Paper Series 327, Leibniz Institute for Financial Research SAFE.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Dí­az & Menachem Abudy & Tobi, 2021. "Non-Standard Errors," Working Papers 2021-31, Faculty of Economics and Statistics, Universität Innsbruck.
    • Gerardo Ferrara & Simon Jurkatis, 2021. "Non-standard errors," Bank of England Staff Working Paper series 955, Bank of England.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024. "Nonstandard Errors," Post-Print hal-05077550, HAL.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03500882, HAL.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024. "Nonstandard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-05077550, HAL.
    • Ciril Bosch-Rosa & Bernhard Kassner, 2023. "Non-Standard Errors," Rationality and Competition Discussion Paper Series 385, CRC TRR 190 Rationality and Competition.
    • Wolff, Christian & Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüess, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-Standard Errors," CEPR Discussion Papers 16751, Centre for Economic Policy Research.
    • Albert J. Menkveld & Anna Dreber & Félix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard, 2021. "Non-Standard Errors," Documents de travail du Centre d'Economie de la Sorbonne 21033, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    See citations under working paper version above.
  3. Michael Bauer & Mikhail Chernov, 2024. "Interest Rate Skewness and Biased Beliefs," Journal of Finance, American Finance Association, vol. 79(1), pages 173-217, February.
    See citations under working paper version above.
  4. Mikhail Chernov & Magnus Dahlquist & Lars Lochstoer, 2023. "Pricing Currency Risks," Journal of Finance, American Finance Association, vol. 78(2), pages 693-730, April.
    See citations under working paper version above.
  5. Chernov, Mikhail & Creal, Drew & Hördahl, Peter, 2023. "Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds," Journal of International Economics, Elsevier, vol. 140(C).
    See citations under working paper version above.
  6. Mikhail Chernov & Drew Creal, 2023. "International Yield Curves and Currency Puzzles," Journal of Finance, American Finance Association, vol. 78(1), pages 209-245, February.
    See citations under working paper version above.
  7. Mikhail Chernov & Lars A Lochstoer & Stig R H Lundeby, 2022. "Conditional Dynamics and the Multihorizon Risk-Return Trade-Off," The Review of Financial Studies, Society for Financial Studies, vol. 35(3), pages 1310-1347.
    See citations under working paper version above.
  8. Mikhail Chernov & Drew Creal, 2021. "The PPP View of Multihorizon Currency Risk Premiums," The Review of Financial Studies, Society for Financial Studies, vol. 34(6), pages 2728-2772.

    Cited by:

    1. Dahlquist, Magnus & Pénasse, Julien, 2022. "The missing risk premium in exchange rates," Journal of Financial Economics, Elsevier, vol. 143(2), pages 697-715.
    2. Mikhail Chernov & Magnus Dahlquist & Lars Lochstoer, 2023. "Pricing Currency Risks," Journal of Finance, American Finance Association, vol. 78(2), pages 693-730, April.
    3. Bacchetta, Philippe & van Wincoop, Eric, 2021. "Puzzling exchange rate dynamics and delayed portfolio adjustment," Journal of International Economics, Elsevier, vol. 131(C).
    4. Hansen, Anne Lundgaard, 2021. "Modeling persistent interest rates with double-autoregressive processes," Journal of Banking & Finance, Elsevier, vol. 133(C).
    5. Phylaktis, Kate & Yamani, Ehab, 2025. "Foreign currency forecasting in emerging markets: What can stock and bond markets tell us?," Journal of Empirical Finance, Elsevier, vol. 83(C).

  9. Augustin, P. & Chernov, M. & Schmid, L. & Song, D., 2021. "Benchmark interest rates when the government is risky," Journal of Financial Economics, Elsevier, vol. 140(1), pages 74-100.
    See citations under working paper version above.
  10. Mikhail Chernov & Lukas Schmid & Andres Schneider, 2020. "A Macrofinance View of U.S. Sovereign CDS Premiums," Journal of Finance, American Finance Association, vol. 75(5), pages 2809-2844, October.
    See citations under working paper version above.
  11. Mikhail Chernov & Brett R. Dunn & Francis A. Longstaff, 2018. "Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities," The Review of Financial Studies, Society for Financial Studies, vol. 31(3), pages 1132-1183.
    See citations under working paper version above.
  12. Chernov, Mikhail & Graveline, Jeremy & Zviadadze, Irina, 2018. "Crash Risk in Currency Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(1), pages 137-170, February.
    See citations under working paper version above.
  13. Backus, David & Boyarchenko, Nina & Chernov, Mikhail, 2018. "Term structures of asset prices and returns," Journal of Financial Economics, Elsevier, vol. 129(1), pages 1-23.
    See citations under working paper version above.
  14. Fangliang Zhang & Devang M. Patel & Kristen Colavita & Irina Rodionova & Brian Buckley & David A. Scott & Akhilesh Kumar & Svetlana A. Shabalina & Sougata Saha & Mikhail Chernov & Andrei L. Osterman &, 2015. "Arginylation regulates purine nucleotide biosynthesis by enhancing the activity of phosphoribosyl pyrophosphate synthase," Nature Communications, Nature, vol. 6(1), pages 1-9, November.

    Cited by:

    1. Bibek R. Karki & Austin C. MacMillan & Sara Vicente-Muñoz & Kenneth D. Greis & Lindsey E. Romick & John T. Cunningham, 2025. "The role of gene duplication and paralog specialisation in the evolution of the mammalian PRPS complex," Nature Communications, Nature, vol. 16(1), pages 1-18, December.

  15. David Backus & Mikhail Chernov & Stanley Zin, 2014. "Sources of Entropy in Representative Agent Models," Journal of Finance, American Finance Association, vol. 69(1), pages 51-99, February.
    See citations under working paper version above.
  16. Mikhail Chernov & Alexander S. Gorbenko & Igor Makarov, 2013. "CDS Auctions," The Review of Financial Studies, Society for Financial Studies, vol. 26(3), pages 768-805.
    See citations under working paper version above.
  17. Bikbov, Ruslan & Chernov, Mikhail, 2013. "Monetary policy regimes and the term structure of interest rates," Journal of Econometrics, Elsevier, vol. 174(1), pages 27-43.
    See citations under working paper version above.
  18. Chernov, Mikhail & Mueller, Philippe, 2012. "The term structure of inflation expectations," Journal of Financial Economics, Elsevier, vol. 106(2), pages 367-394.
    See citations under working paper version above.
  19. Ruslan Bikbov & Mikhail Chernov, 2011. "Yield Curve and Volatility: Lessons from Eurodollar Futures and Options," Journal of Financial Econometrics, Oxford University Press, vol. 9(1), pages 66-105, Winter.

    Cited by:

    1. Jonathan Hambur & Richard Finlay, 2018. "Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia," RBA Research Discussion Papers rdp2018-02, Reserve Bank of Australia.
    2. Juneja, Januj, 2012. "Common factors, principal components analysis, and the term structure of interest rates," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 48-56.
    3. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2014. "Can Spanned Term Structure Factors Drive Stochastic Yield Volatility?," Working Paper Series 2014-3, Federal Reserve Bank of San Francisco.
    4. Takamizawa, Hideyuki & 髙見澤, 秀幸, 2012. "Predicting Interest Rate Volatility: Using Information on the Yield Curve," Working Paper Series G-1-3, Hitotsubashi University Center for Financial Research.
    5. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2012. "Properties of foreign exchange risk premiums," Journal of Financial Economics, Elsevier, vol. 105(2), pages 279-310.
    6. Jonathan Hambur & Qazi Haque, 2023. "Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!," RBA Research Discussion Papers rdp2023-04, Reserve Bank of Australia.
    7. Chernov, Mikhail & Mueller, Philippe, 2012. "The term structure of inflation expectations," Journal of Financial Economics, Elsevier, vol. 106(2), pages 367-394.
    8. Rodrigo Guimarães, 2014. "Expectations, risk premia and information spanning in dynamic term structure model estimation," Bank of England Staff Working Paper series 489, Bank of England.
    9. Chernov, Mikhail & Creal, Drew, 2022. "International yield curves and currency puzzles," CEPR Discussion Papers 13252, Centre for Economic Policy Research.
    10. Almeida, Caio & Graveline, Jeremy J. & Joslin, Scott, 2011. "Do interest rate options contain information about excess returns?," Journal of Econometrics, Elsevier, vol. 164(1), pages 35-44, September.
    11. Anne Lundgaard Hansen, 2018. "Volatility-Induced Stationarity and Error-Correction in Macro-Finance Term Structure Modeling," Discussion Papers 18-12, University of Copenhagen. Department of Economics.
    12. Wang, Lijun & An, Haizhong & Liu, Xiaojia & Huang, Xuan, 2016. "Selecting dynamic moving average trading rules in the crude oil futures market using a genetic approach," Applied Energy, Elsevier, vol. 162(C), pages 1608-1618.
    13. Jonathan Hambur & Qazi Haque, 2024. "Can we Use High‐Frequency Data to Better Understand the Effects of Monetary Policy and its Communication? Yes and No!," The Economic Record, The Economic Society of Australia, vol. 100(328), pages 3-43, March.
    14. Takamizawa, Hideyuki & 高見澤, 秀幸, 2015. "Impact of No-arbitrage on Interest Rate Dynamics," Working Paper Series G-1-5, Hitotsubashi University Center for Financial Research.
    15. Doshi, Hitesh & Jacobs, Kris & Liu, Rui, 2024. "Modeling volatility in dynamic term structure models," Journal of Financial Economics, Elsevier, vol. 161(C).
    16. Monfort, Alain & Pegoraro, Fulvio & Renne, Jean-Paul & Roussellet, Guillaume, 2017. "Staying at zero with affine processes: An application to term structure modelling," Journal of Econometrics, Elsevier, vol. 201(2), pages 348-366.

  20. David Backus & Mikhail Chernov & Ian Martin, 2011. "Disasters Implied by Equity Index Options," Journal of Finance, American Finance Association, vol. 66(6), pages 1969-2012, December.
    See citations under working paper version above.
  21. Bikbov, Ruslan & Chernov, Mikhail, 2010. "No-arbitrage macroeconomic determinants of the yield curve," Journal of Econometrics, Elsevier, vol. 159(1), pages 166-182, November.
    See citations under working paper version above.
  22. Mark Broadie & Mikhail Chernov & Michael Johannes, 2009. "Understanding Index Option Returns," The Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4493-4529, November.
    See citations under working paper version above.
  23. Ruslan Bikbov & Mikhail Chernov, 2009. "Unspanned Stochastic Volatility in Affine Models: Evidence from Eurodollar Futures and Options," Management Science, INFORMS, vol. 55(8), pages 1292-1305, August.

    Cited by:

    1. Heidari, Massoud & Wu, Liuren, 2009. "A Joint Framework for Consistently Pricing Interest Rates and Interest Rate Derivatives," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(3), pages 517-550, June.
    2. Collin-Dufresne, Pierre & Goldstein, Robert S. & Jones, Christopher S., 2009. "Can interest rate volatility be extracted from the cross section of bond yields?," Journal of Financial Economics, Elsevier, vol. 94(1), pages 47-66, October.
    3. Michael D. Bauer & Aeimit K. Lakdawala & Philippe Mueller, 2021. "Market-Based Monetary Policy Uncertainty," Working Paper Series 2019-12, Federal Reserve Bank of San Francisco.
    4. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2014. "Can Spanned Term Structure Factors Drive Stochastic Yield Volatility?," Working Paper Series 2014-3, Federal Reserve Bank of San Francisco.
    5. Yang-Ho Park, 2015. "The Effects of Asymmetric Volatility and Jumps on the Pricing of VIX Derivatives," Finance and Economics Discussion Series 2015-71, Board of Governors of the Federal Reserve System (U.S.).
    6. Bent Jesper Christensen & Mads Markvart Kjær & Bezirgen Veliyev, 2021. "The incremental information in the yield curve about future interest rate risk," CREATES Research Papers 2021-11, Department of Economics and Business Economics, Aarhus University.
    7. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2012. "Properties of foreign exchange risk premiums," Journal of Financial Economics, Elsevier, vol. 105(2), pages 279-310.
    8. TAKAMIZAWA, Hideyuki & 高見澤, 秀幸, 2017. "A Term Structure Model of Interest Rates with Quadratic Volatility," Working Paper Series G-1-18, Hitotsubashi University Center for Financial Research.
    9. Drew D. Creal & Jing Cynthia Wu, 2014. "Monetary Policy Uncertainty and Economic Fluctuations," NBER Working Papers 20594, National Bureau of Economic Research, Inc.
    10. Peter Christoffersen & Christian Dorion & Kris Jacobs & Lotfi Karoui, 2014. "Nonlinear Kalman Filtering in Affine Term Structure Models," Management Science, INFORMS, vol. 60(9), pages 2248-2268, September.
    11. Li, Ye & Wang, Chen, 2025. "The Information Cliff," SocArXiv bf8cx_v1, Center for Open Science.
    12. Michael Bauer & Mikhail Chernov, 2024. "Interest Rate Skewness and Biased Beliefs," Journal of Finance, American Finance Association, vol. 79(1), pages 173-217, February.
    13. Backwell, Alex, 2021. "Unspanned stochastic volatility from an empirical and practical perspective," Journal of Banking & Finance, Elsevier, vol. 122(C).
    14. Gómez-Cram, Roberto & Grotteria, Marco, 2022. "Real-time price discovery via verbal communication: Method and application to Fedspeak," Journal of Financial Economics, Elsevier, vol. 143(3), pages 993-1025.
    15. Michael D. Bauer & Glenn D. Rudebusch, 2015. "Resolving the spanning puzzle in macro-finance term structure models," Working Paper Series 2015-1, Federal Reserve Bank of San Francisco.
    16. Ho, Hsiao-Wei & Huang, Henry H. & Yildirim, Yildiray, 2014. "Affine model of inflation-indexed derivatives and inflation risk premium," European Journal of Operational Research, Elsevier, vol. 235(1), pages 159-169.
    17. Yuecai Han & Fengtong Zhang, 2024. "Pricing fixed income derivatives under a three-factor CIR model with unspanned stochastic volatility," Review of Derivatives Research, Springer, vol. 27(1), pages 37-53, April.
    18. Stefano Giglio & Bryan Kelly, 2016. "Excess Volatility: Beyond Discount Rates," NBER Working Papers 22045, National Bureau of Economic Research, Inc.
    19. Bakshi, Gurdip & Crosby, John & Gao, Xiaohui & Hansen, Jorge W., 2023. "Treasury option returns and models with unspanned risks," Journal of Financial Economics, Elsevier, vol. 150(3).
    20. Scott Joslin & Anh Le, 2021. "Interest Rate Volatility and No-Arbitrage Affine Term Structure Models," Management Science, INFORMS, vol. 67(12), pages 7391-7416, December.
    21. Park, Yang-Ho, 2016. "The effects of asymmetric volatility and jumps on the pricing of VIX derivatives," Journal of Econometrics, Elsevier, vol. 192(1), pages 313-328.

  24. 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, June.

    Cited by:

    1. Jiwook Yoo, 2025. "Joint calibration of the volatility surface and variance term structure," Papers 2509.08096, arXiv.org.
    2. Bibinger, Markus & Neely, Christopher & Winkelmann, Lars, 2018. "Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book," IRTG 1792 Discussion Papers 2018-055, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    3. Peixuan Yuan, 2022. "Time-Varying Skew in VIX Derivatives Pricing," Management Science, INFORMS, vol. 68(10), pages 7761-7791, October.
    4. Audrino, Francesco & Fengler, Matthias, 2013. "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Economics Working Paper Series 1311, University of St. Gallen, School of Economics and Political Science.
    5. Foschi, Paolo & Pascucci, Andrea, 2009. "Calibration of a path-dependent volatility model: Empirical tests," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2219-2235, April.
    6. Ornthanalai, Chayawat, 2014. "Lévy jump risk: Evidence from options and returns," Journal of Financial Economics, Elsevier, vol. 112(1), pages 69-90.
    7. Paola Zerilli, 2005. "Option pricing and spikes in volatility: theoretical and empirical analysis," Money Macro and Finance (MMF) Research Group Conference 2005 76, Money Macro and Finance Research Group.
    8. Fousseni Chabi-Yo & Johnathan A. Loudis, 2024. "A Decomposition of Conditional Risk Premia and Implications for Representative Agent Models," Management Science, INFORMS, vol. 70(10), pages 6804-6834, October.
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    1. Pierre Chaussé, 2011. "Generalized empirical likelihood for a continuum of moment conditions," Working Papers 1104, University of Waterloo, Department of Economics, revised Oct 2011.
    2. Nikolay Gospodinov & Masayuki Hirukawa, 2008. "Time Series Nonparametric Regression Using Asymmetric Kernels with an Application to Estimation of Scalar Diffusion Processes," CIRJE F-Series CIRJE-F-573, CIRJE, Faculty of Economics, University of Tokyo.
    3. Marine Carrasco & Rachidi Kotchoni, 2013. "Efficient estimation using the Characteristic Function," CIRANO Working Papers 2013s-22, CIRANO.
    4. Xiaohong Chen & Oliver Linton & Stefan Schneeberger & Yanping Yi, 2016. "Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model," CeMMAP working papers 12/16, Institute for Fiscal Studies.
    5. Da Fonseca José & Grasselli Martino & Ielpo Florian, 2014. "Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(3), pages 253-289, May.
    6. Yogo Purwono & Irwan Adi Ekaputra & Zaäfri Ananto Husodo, 2018. "Estimation of Dynamic Mixed Hitting Time Model Using Characteristic Function Based Moments," Computational Economics, Springer;Society for Computational Economics, vol. 51(2), pages 295-321, February.
    7. Chen, Songxi & Peng, Liang & Yu, Cindy, 2013. "Parameter Estimation and Model Testing for Markov Processes via Conditional Characteristic Functions," MPRA Paper 46273, University Library of Munich, Germany.
    8. Corradi, Valentina & Swanson, Norman R., 2011. "Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models," Journal of Econometrics, Elsevier, vol. 161(2), pages 304-324, April.
    9. Forneron, Jean-Jacques & Ng, Serena, 2018. "The ABC of simulation estimation with auxiliary statistics," Journal of Econometrics, Elsevier, vol. 205(1), pages 112-139.
    10. Chen, Bin & Hong, Yongmiao, 2011. "Generalized spectral testing for multivariate continuous-time models," Journal of Econometrics, Elsevier, vol. 164(2), pages 268-293, October.
    11. Kristensen, Dennis & Shin, Yongseok, 2012. "Estimation of dynamic models with nonparametric simulated maximum likelihood," Journal of Econometrics, Elsevier, vol. 167(1), pages 76-94.
    12. Michael Creel, 2016. "Neural Nets for Indirect Inference," Working Papers 942, Barcelona School of Economics.
    13. Todorov, Viktor & Tauchen, George & Grynkiv, Iaryna, 2014. "Volatility activity: Specification and estimation," Journal of Econometrics, Elsevier, vol. 178(P1), pages 180-193.
    14. Carrasco, Marine, 2012. "A regularization approach to the many instruments problem," Journal of Econometrics, Elsevier, vol. 170(2), pages 383-398.
    15. Gach, Florian & Pötscher, Benedikt M., 2010. "Non-Parametric Maximum Likelihood Density Estimation and Simulation-Based Minimum Distance Estimators," MPRA Paper 27512, University Library of Munich, Germany.
    16. Boswijk, H. Peter & Laeven, Roger J.A. & Vladimirov, Evgenii, 2024. "Estimating option pricing models using a characteristic function-based linear state space representation," Journal of Econometrics, Elsevier, vol. 244(1).
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    18. Han, Hyojin & Khrapov, Stanislav & Renault, Eric, 2020. "The leverage effect puzzle revisited: Identification in discrete time," Journal of Econometrics, Elsevier, vol. 217(2), pages 230-258.
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    24. Bertille Antoine and Richmond Tetteh, 2026. "Specification testing with many auxiliary statistics," Discussion Papers dp26-10, Department of Economics, Simon Fraser University.
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    33. Li, Junye & Favero, Carlo & Ortu, Fulvio, 2012. "A spectral estimation of tempered stable stochastic volatility models and option pricing," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3645-3658.
    34. Kotchoni, Rachidi, 2012. "Applications of the characteristic function-based continuum GMM in finance," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3599-3622.
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    36. Malefane Molibeli & Gary van Vuuren, 2025. "South African Government Bond Yields and the Specifications of Affine Term Structure Models," JRFM, MDPI, vol. 18(4), pages 1-28, April.
    37. Jean-Jacques Forneron, 2019. "A Sieve-SMM Estimator for Dynamic Models," Papers 1902.01456, arXiv.org, revised Jan 2023.
    38. Chen, Xiaohong & Linton, Oliver & Schneeberger, Stefan & Yi, Yanping, 2019. "Semiparametric estimation of the bid–ask spread in extended roll models," Journal of Econometrics, Elsevier, vol. 208(1), pages 160-178.
    39. Han, Hyojin, 2020. "On the identification of models with conditional characteristic functions," Economics Letters, Elsevier, vol. 186(C).
    40. Antoine, Bertille & Sun, Wenqian, 2025. "Simulation-based estimation with many auxiliary statistics applied to long-run dynamic analysis," Journal of Econometrics, Elsevier, vol. 248(C).
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    43. Serge Darolles & Patrick Gagliardini & Christian Gouriéroux, 2012. "Survival of Hedge Funds : Frailty vs Contagion," Working Papers 2012-36, Center for Research in Economics and Statistics.
    44. Yangyang Zhuang & Pan Tang, 2023. "Pricing of American Parisian option as executive option based on the least‐squares Monte Carlo approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(10), pages 1469-1496, October.
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  27. 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.

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    1. Viktor Todorov & Yang Zhang, 2022. "Information gains from using short‐dated options for measuring and forecasting volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 368-391, March.
    2. Aleksandar Mijatovic & Paul Schneider, 2009. "Empirical asset pricing with nonlinear risk premia," Papers 0911.0928, arXiv.org.
    3. Turan G. Bali & Armen Hovakimian, 2009. "Volatility Spreads and Expected Stock Returns," Management Science, INFORMS, vol. 55(11), pages 1797-1812, November.
    4. Oikonomou, Ioannis & Stancu, Andrei & Symeonidis, Lazaros & Wese Simen, Chardin, 2019. "The information content of short-term options," Journal of Financial Markets, Elsevier, vol. 46(C).
    5. Becker, Ralf & Clements, Adam E. & McClelland, Andrew, 2009. "The jump component of S&P 500 volatility and the VIX index," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1033-1038, June.
    6. Nikolay Gospodinov & Ibrahim Jamali, 2014. "The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks," FRB Atlanta Working Paper 2014-14, Federal Reserve Bank of Atlanta.
    7. Jeremy Graveline & Irina Zviadadze & Mikhail Chernov, 2012. "Crash Risk in Currency Returns," 2012 Meeting Papers 753, Society for Economic Dynamics.
    8. Leschinski, Christian & Voges, Michelle & Sibbertsen, Philipp, 2018. "Integration and Disintegration of EMU Government Bond Markets," Hannover Economic Papers (HEP) dp-625, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    9. Christoffersen, Peter & Jacobs, Kris & Chang, Bo Young, 2013. "Forecasting with Option-Implied Information," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 581-656, Elsevier.
    10. Peter Carr & Liuren Wu, 2004. "Variance Risk Premia," Finance 0409015, University Library of Munich, Germany.
    11. Kruse, Robinson & Leschinski, Christian & Will, Michael, 2016. "Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting," Hannover Economic Papers (HEP) dp-571, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    12. Stefan Nagel, 2011. "Evaporating Liquidity," NBER Working Papers 17653, National Bureau of Economic Research, Inc.
    13. Caporale, Guglielmo Maria & Gil-Alana, Luis & Plastun, Alex, 2018. "Is market fear persistent? A long-memory analysis," Finance Research Letters, Elsevier, vol. 27(C), pages 140-147.
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    15. Maciej Augustyniak & Mathieu Boudreault, 2017. "Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness under Model Risk," North American Actuarial Journal, Taylor & Francis Journals, vol. 21(4), pages 502-525, October.
    16. Prokopczuk, Marcel & Wese Simen, Chardin, 2014. "The importance of the volatility risk premium for volatility forecasting," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 303-320.
    17. Andersen, Torben G. & Varneskov, Rasmus T., 2022. "Testing for parameter instability and structural change in persistent predictive regressions," Journal of Econometrics, Elsevier, vol. 231(2), pages 361-386.
    18. Bollerslev, Tim & Osterrieder, Daniela & Sizova, Natalia & Tauchen, George, 2013. "Risk and return: Long-run relations, fractional cointegration, and return predictability," Journal of Financial Economics, Elsevier, vol. 108(2), pages 409-424.
    19. Timothy Sharp & Steven Li & David Allen, 2010. "Empirical performance of affine option pricing models: evidence from the Australian index options market," Applied Financial Economics, Taylor & Francis Journals, vol. 20(6), pages 501-514.
    20. Haukvik, Nicole & Cheraghali, Hamid & Molnár, Peter, 2024. "The role of investors’ fear in crude oil volatility forecasting," Research in International Business and Finance, Elsevier, vol. 70(PB).
    21. Bekaert, Geert & Hoerova, Marie, 2014. "The VIX, the variance premium and stock market volatility," Journal of Econometrics, Elsevier, vol. 183(2), pages 181-192.
    22. Byeong-Je An & Andrew Ang & Turan G. Bali & Nusret Cakici, 2013. "The Joint Cross Section of Stocks and Options," NBER Working Papers 19590, National Bureau of Economic Research, Inc.
    23. Christoffersen, Peter & Heston, Steven & Jacobs, Kris, 2010. "Option Anomalies and the Pricing Kernel," Working Papers 11-17, University of Pennsylvania, Wharton School, Weiss Center.
    24. Markellos, Raphael N. & Psychoyios, Dimitris, 2018. "Interest rate volatility and risk management: Evidence from CBOE Treasury options," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 190-202.
    25. Uppal, Raman & DeMiguel, Victor & Plyakha, Yuliya & Vilkov, Grigory, 2010. "Improving Portfolio Selection Using Option-Implied Volatility and Skewness," CEPR Discussion Papers 7686, Centre for Economic Policy Research.
    26. Proelss, Juliane & Schweizer, Denis & Seiler, Volker, 2020. "The economic importance of rare earth elements volatility forecasts," International Review of Financial Analysis, Elsevier, vol. 71(C).
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    28. Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun, 2023. "The effect of uncertainty on stock market volatility and correlation," Journal of Banking & Finance, Elsevier, vol. 154(C).
    29. Wu, Liuren, 2011. "Variance dynamics: Joint evidence from options and high-frequency returns," Journal of Econometrics, Elsevier, vol. 160(1), pages 280-287, January.
    30. Hui Guo & Christopher J. Neely & Jason Higbee, 2008. "Foreign Exchange Volatility Is Priced in Equities," Financial Management, Financial Management Association International, vol. 37(4), pages 769-790, December.
    31. Daniel Jubinski & Amy F. Lipton, 2012. "Equity volatility, bond yields, and yield spreads," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(5), pages 480-503, May.
    32. Chen, Sipeng & Li, Gang, 2023. "Why does option-implied volatility forecast realized volatility? Evidence from news events," Journal of Banking & Finance, Elsevier, vol. 156(C).
    33. Carlo Confalonieri & Paola De Vincentiis, 2026. "Forecasting the worst: is implied volatility forward-looking enough?," Journal of Banking Regulation, Palgrave Macmillan, vol. 27(1), pages 1-20, March.
    34. Daniel Borup & Bent Jesper Christensen & Yunus Emre Ergemen, 2019. "Assessing predictive accuracy in panel data models with long-range dependence," CREATES Research Papers 2019-04, Department of Economics and Business Economics, Aarhus University.
    35. Papantonis, Ioannis, 2016. "Volatility risk premium implications of GARCH option pricing models," Economic Modelling, Elsevier, vol. 58(C), pages 104-115.
    36. Zhiyuan Pan & Yudong Wang & Li Liu & Qing Wang, 2019. "Improving volatility prediction and option valuation using VIX information: A volatility spillover GARCH model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(6), pages 744-776, June.
    37. Neely, Christopher J., 2009. "Forecasting foreign exchange volatility: Why is implied volatility biased and inefficient? And does it matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 188-205, February.
    38. Kellard, Neil & Dunis, Christian & Sarantis, Nicholas, 2010. "Foreign exchange, fractional cointegration and the implied-realized volatility relation," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 882-891, April.
    39. Haugom, Erik & Langeland, Henrik & Molnár, Peter & Westgaard, Sjur, 2014. "Forecasting volatility of the U.S. oil market," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 1-14.
    40. Alexandridis, Antonios K. & Panopoulou, Ekaterini & Souropanis, Ioannis, 2024. "Forecasting exchange rate volatility: An amalgamation approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 97(C).
    41. Cao, Charles & Yu, Fan & Zhong, Zhaodong, 2010. "The information content of option-implied volatility for credit default swap valuation," Journal of Financial Markets, Elsevier, vol. 13(3), pages 321-343, August.
    42. Chevallier, Julien, 2013. "Variance risk-premia in CO2 markets," Economic Modelling, Elsevier, vol. 31(C), pages 598-605.
    43. Bams, Dennis & Blanchard, Gildas & Lehnert, Thorsten, 2017. "Volatility measures and Value-at-Risk," International Journal of Forecasting, Elsevier, vol. 33(4), pages 848-863.
    44. Gospodinov, Nikolay & Jamali, Ibrahim, 2012. "The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 497-510.
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    Cited by:

    1. Yoo, Eun Gyu & Yoon, Sun-Joong, 2020. "CBOE VIX and Jump-GARCH option pricing models," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 839-859.
    2. Pintor, Gabor, 2016. "The macroeconomic shock with the highest price of risk," LSE Research Online Documents on Economics 86225, London School of Economics and Political Science, LSE Library.
    3. Cadogan, Godfrey, 2010. "Canonical Representation Of Option Prices and Greeks with Implications for Market Timing," MPRA Paper 23426, University Library of Munich, Germany.
    4. Christoffersen, Peter & Heston, Steven & Jacobs, Kris, 2010. "Option Anomalies and the Pricing Kernel," Working Papers 11-17, University of Pennsylvania, Wharton School, Weiss Center.
    5. Byun, Suk Joon & Jeon, Byoung Hyun & Min, Byungsun & Yoon, Sun-Joong, 2015. "The role of the variance premium in Jump-GARCH option pricing models," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 38-56.
    6. Glasserman, Paul & Kim, Kyoung-Kuk, 2009. "Saddlepoint approximations for affine jump-diffusion models," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 15-36, January.
    7. Ghysels, Eric, 2014. "Factor Analysis with Large Panels of Volatility Proxies," CEPR Discussion Papers 10034, Centre for Economic Policy Research.
    8. Tzang, Shyh-Weir & Wang, Chou-Wen & Yu, Min-Teh, 2016. "Systematic risk and volatility skew," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 72-87.
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    10. Detlefsen, Kai & Härdle, Wolfgang Karl & Moro, Rouslan A., 2007. "Empirical pricing kernels and investor preferences," SFB 649 Discussion Papers 2007-017, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
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    13. Xinyu WU & Senchun REN & Hailin ZHOU, 2017. "Empirical Pricing Kernels: Evidence from the Hong Kong Stock Market," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 51(4), pages 263-278.
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