Mikhail Chernov
Anderson School of Management
University of California, Los Angeles
110 Westwood Plaza, Suite C-417
Los Angeles, CA 90095
E-Mail: 
WWW: https://sites.google.com/site/mbchernov/
NBER Program Affiliations:
AP
NBER Affiliation: Research Associate
Institutional Affiliations: University of California at Los Angeles and CEPR
Information about this author at RePEc
NBER Working Papers and Publications
| May 2020 | A No-Arbitrage Perspective on Global Arbitrage Opportunities
with Patrick Augustin, Lukas Schmid, Dongho Song: w27231
|
| November 2019 | Benchmark Interest Rates When the Government is Risky
with Patrick Augustin, Lukas Schmid, Dongho Song: w26429
|
| December 2018 | Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off
with Lars A. Lochstoer, Stig R. H. Lundeby: w25361
|
| November 2018 | International Yield Curves and Currency Puzzles
with Drew D. Creal: w25206
|
| April 2018 | Multihorizon Currency Returns and Purchasing Power Parity
with Drew D. Creal: w24563
|
| Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads
with Patrick Augustin, Dongho Song: w24506
Published: Patrick Augustin & Mikhail Chernov & Dongho Song, 2019. "Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads," Journal of Financial Economics, .
|
| April 2016 | Term Structures of Asset Prices and Returns
with David Backus, Nina Boyarchenko: w22162
Published: David Backus & Nina Boyarchenko & Mikhail Chernov, 2018. "Term structures of asset prices and returns," Journal of Financial Economics, . citation courtesy of 
|
| March 2016 | Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities
with Brett R. Dunn, Francis A. Longstaff: w22096
Published: 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, vol 31(3), pages 1132-1183. citation courtesy of
|
| August 2013 | Identifying monetary policy in macro-finance models
with David Backus, Stanley E. Zin, Irina Zviadadze: w19360
|
| July 2011 | Sources of Entropy in Representative Agent Models
with David Backus, Stanley E. Zin: w17219
Published: \Sources of entropy in representative agent models," with M. Chernov and S. Zin, 2014, Journal of Finance 69, 51-99. citation courtesy of
|
| August 2009 | Disasters implied by equity index options
with David Backus, Ian Martin: w15240
Published: 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. citation courtesy of
|
|
|
