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Mikhail Chernov

Institution: University of California-Los Angeles (UCLA)

Primary Field: Finance (weighted toward more recent publications)

Homepage: http://sites.google.com/site/mbchernov

First Publication: 2000

Most Recent: 2024

RePEc ID: pch756 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.02: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total Percentile
Last 5 Years 0.00 13.13 0.00 0.00 13.13 98%
Last 10 Years 0.00 17.17 0.67 0.00 17.84 96%
All Time 0.00 39.37 1.68 0.00 41.05 97%

Publication Statistics

Raw Publications 28
Coauthorship-Adjusted Count 21.38

Publications (28)

Year Article Journal Tier Authors
2024 Nonstandard Errors Journal of Finance A 343
2024 The Term Structure of Covered Interest Rate Parity Violations Journal of Finance A 4
2024 Interest Rate Skewness and Biased Beliefs Journal of Finance A 2
2023 International Yield Curves and Currency Puzzles Journal of Finance A 2
2023 Pricing Currency Risks Journal of Finance A 3
2023 Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds Journal of International Economics A 3
2022 Conditional Dynamics and the Multihorizon Risk-Return Trade-Off The Review of Financial Studies A 3
2022 Monetary Policy Risk: Rules versus Discretion The Review of Financial Studies A 4
2021 Benchmark interest rates when the government is risky Journal of Financial Economics A 4
2021 The PPP View of Multihorizon Currency Risk Premiums The Review of Financial Studies A 2
2020 A Macrofinance View of U.S. Sovereign CDS Premiums Journal of Finance A 3
2018 Term structures of asset prices and returns Journal of Financial Economics A 3
2018 Crash Risk in Currency Returns Journal of Financial and Quantitative Analysis B 3
2018 Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities The Review of Financial Studies A 3
2014 Sources of Entropy in Representative Agent Models Journal of Finance A 3
2013 Monetary policy regimes and the term structure of interest rates Journal of Econometrics A 2
2013 CDS Auctions The Review of Financial Studies A 3
2012 The term structure of inflation expectations Journal of Financial Economics A 2
2011 Disasters Implied by Equity Index Options Journal of Finance A 3
2010 No-arbitrage macroeconomic determinants of the yield curve Journal of Econometrics A 2
2009 Understanding Index Option Returns The Review of Financial Studies A 3
2009 Unspanned Stochastic Volatility in Affine Models: Evidence from Eurodollar Futures and Options Management Science B 2
2007 Efficient estimation of general dynamic models with a continuum of moment conditions Journal of Econometrics A 4
2007 Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11 Journal of Finance A 3
2007 Model Specification and Risk Premia: Evidence from Futures Options Journal of Finance A 3
2003 Alternative models for stock price dynamics Journal of Econometrics A 4
2003 Empirical reverse engineering of the pricing kernel Journal of Econometrics A 1
2000 A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation Journal of Financial Economics A 2