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There are 21 results

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Discussion paper

DP13252 International yield curves and currency puzzles

  • Mikhail Chernov
  • Drew Creal

18 Feb 2022
  • Financial Economics
  • International Macroeconomics and Finance
  • F31
  • G12
  • G15
Discussion paper

DP16381 The real channel for nominal bond-stock puzzles

  • Mikhail Chernov
  • Lars Lochstoer
  • Dongho Song

21 Jul 2021
  • Financial Economics
  • E21
  • E31
  • E43
  • E44
  • G12
Discussion paper

DP16274 Interest Rate Skewness and Biased Beliefs

  • Michael Bauer
  • Mikhail Chernov

17 Jun 2021
  • Financial Economics
  • E43
  • E44
  • E52
  • G12
Discussion paper

DP15571 Pricing Currency Risks

  • Mikhail Chernov
  • Magnus Dahlquist
  • Lars Lochstoer

17 Dec 2020
  • Financial Economics
  • International Macroeconomics and Finance
  • F31
  • G12
  • G15
Discussion paper

DP14986 Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds

  • Mikhail Chernov
  • Drew Creal
  • Peter Hördahl

2 Jul 2020
  • Financial Economics
  • International Macroeconomics and Finance
  • F31
  • G12
  • G15
Discussion paper

DP14774 The term structure of CIP violations

  • Patrick Augustin
  • Mikhail Chernov
  • Lukas Schmid
  • Dongho Song

18 May 2020
  • Financial Economics
  • International Macroeconomics and Finance
  • C1
  • E43
  • E44
  • G12
  • H60
Discussion paper

DP14105 Benchmark interest rates when the government is risky

  • Patrick Augustin
  • Mikhail Chernov
  • Lukas Schmid
  • Dongho Song

6 Nov 2019
  • Financial Economics
  • C1
  • E43
  • E44
  • G12
  • H60
Discussion paper

DP13365 Conditional dynamics and the multi-horizon risk-return trade-off

  • Mikhail Chernov
  • Lars Lochstoer
  • Stig Lundeby

5 Dec 2018
  • Financial Economics
  • G12
  • C51
Discussion paper

DP12893 Multihorizon Currency Returns and Purchasing Power Parity

  • Mikhail Chernov
  • Drew Creal

25 Apr 2018
  • Financial Economics
  • International Macroeconomics and Finance
  • F31
  • F47
  • G12
  • G15
Discussion paper

DP12857 Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads

  • Mikhail Chernov
  • Patrick Augustin

10 Apr 2018
  • Financial Economics
  • C1
  • E43
  • E44
  • G12
  • G15
Discussion paper

DP11576 A Macrofinance View of U.S. Sovereign CDS Premiums

  • Mikhail Chernov
  • Lukas Schmid

17 Oct 2016
  • Financial Economics
  • E43
  • E44
  • E52
  • G12
  • G13
Discussion paper

DP11227 Term structures of asset prices and returns

  • Mikhail Chernov
  • David Backus
  • Nina Boyarchenko

13 Apr 2016
  • Financial Economics
  • G12
  • G13
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