NBER

Mikhail Chernov

Anderson School of Management
University of California, Los Angeles
110 Westwood Plaza, Suite C-417
Los Angeles, CA 90095

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
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NBER Program Affiliations: AP
NBER Affiliation: Research Associate
Institutional Affiliations: University of California at Los Angeles and CEPR

NBER Working Papers and Publications

July 2020Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds
with Drew D. Creal, Peter Hördahl: w27500
May 2020A No-Arbitrage Perspective on Global Arbitrage Opportunities
with Patrick Augustin, Lukas Schmid, Dongho Song: w27231
November 2019Benchmark Interest Rates When the Government is Risky
with Patrick Augustin, Lukas Schmid, Dongho Song: w26429
December 2018Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off
with Lars A. Lochstoer, Stig R. H. Lundeby: w25361
November 2018International Yield Curves and Currency Puzzles
with Drew D. Creal: w25206
April 2018Multihorizon 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 2016Term 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 2016Macroeconomic-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 2013Identifying monetary policy in macro-finance models
with David Backus, Stanley E. Zin, Irina Zviadadze: w19360
July 2011Sources 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 2009Disasters 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

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