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~isPartOf:"SIFR Research Report Series"
~isPartOf:"The review of financial studies"
~person:"Chernov, Mikhail"
~person:"Jacobs, Kris"
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Chernov, Mikhail
Jacobs, Kris
Longstaff, Francis A.
6
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5
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5
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The review of financial studies
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ECONIS (ZBW)
6
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1
Macroeconomic-driven prepayment
risk
and the valuation of mortgage-backed securities
Chernov, Mikhail
;
Dunn, Brett R.
;
Longstaff, Francis A.
- In:
The review of financial studies
31
(
2018
)
3
,
pp. 1132-1183
Persistent link: https://www.econbiz.de/10011925304
Saved in:
2
Conditional dynamics and the multihorizon
risk
-return trade-off
Chernov, Mikhail
;
Lochstoer, Lars A.
;
Lundeby, Stig R. H.
- In:
The review of financial studies
35
(
2022
)
3
,
pp. 1310-1347
Persistent link: https://www.econbiz.de/10012878991
Saved in:
3
The factor structure in equity options
Christoffersen, Peter F.
;
Fournier, Mathieu
;
Jacobs, Kris
- In:
The review of financial studies
31
(
2018
)
2
,
pp. 595-637
Persistent link: https://www.econbiz.de/10011925246
Saved in:
4
Illiquidity premia in the equity options market
Christoffersen, Peter F.
;
Goyenko, Ruslan
;
Jacobs, Kris
; …
- In:
The review of financial studies
31
(
2018
)
3
,
pp. 811-851
Persistent link: https://www.econbiz.de/10011925271
Saved in:
5
Pricing credit default swaps with observable covariates
Doshi, Hitesh
;
Ericsson, Jan
;
Jacobs, Kris
;
Turnball, …
- In:
The review of financial studies
26
(
2013
)
8
,
pp. 2048-2094
Persistent link: https://www.econbiz.de/10010207289
Saved in:
6
Understanding index option returns
Broadie, Marc
;
Chernov, Mikhail
;
Johannes, Michael
- In:
The review of financial studies
22
(
2009
)
11
,
pp. 4493-4529
Persistent link: https://www.econbiz.de/10003896324
Saved in:
7
The Determinants of Credit Default Swap Premia
Ericsson, Jan
;
Jacobs, Kris
;
Oviedo-Helfenberger, Rodolfo
-
Institute for Financial Research (SIFR)
-
2004
theoretical determinants of default
risk
and actual market premia using linear regression. These theoretical determinants are firm …
Persistent link: https://www.econbiz.de/10005651562
Saved in:
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