Mikhail Chernov, Ph.D.
Affiliations: | 2000 | Pennsylvania State University, State College, PA, United States |
Area:
Finance, StatisticsGoogle:
"Mikhail Chernov"Parents
Sign in to add mentor| Eric Ghysels | grad student | 2000 | Penn State | |
| (Essays in financial econometrics.) | ||||
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Publications
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| Chernov M, Creal DD, Hördahl P. (2020) Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds National Bureau of Economic Research |
| Augustin P, Chernov M, Schmid L, et al. (2020) A No-Arbitrage Perspective on Global Arbitrage Opportunities National Bureau of Economic Research |
| Chernov M, Schmid L, Schneider A. (2020) A Macrofinance View of U.S. Sovereign CDS Premiums Journal of Finance. 75: 2809-2844 |
| Augustin P, Chernov M, Song D. (2020) Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads Journal of Financial Economics. 137: 129-151 |
| Augustin P, Chernov M, Schmid L, et al. (2019) Benchmark Interest Rates When the Government is Risky National Bureau of Economic Research |
| Chernov M, Lochstoer LA, Lundeby SRH. (2018) Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off National Bureau of Economic Research |
| Chernov M, Creal DD. (2018) International Yield Curves and Currency Puzzles National Bureau of Economic Research |
| Chernov M, Creal DD. (2018) Multihorizon Currency Returns and Purchasing Power Parity National Bureau of Economic Research |
| Chernov M, Graveline JJ, Zviadadze I. (2018) Crash Risk in Currency Returns Journal of Financial and Quantitative Analysis. 53: 137-170 |
| Chernov M, Dunn BR, Longstaff FA. (2018) Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities Review of Financial Studies. 31: 1132-1183 |