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Sovereign credit and exchange rate risks : evidence from Asia-Pacific local currency bonds
Chernov, Mikhail; Creal, Drew; Hördahl, Peter - 2020
Persistent link: https://www.econbiz.de/10012262532
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International yield curves and currency puzzles
Chernov, Mikhail; Creal, Drew - 2018
Persistent link: https://www.econbiz.de/10011948779
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Multihorizon currency returns and purchasing power parity
Chernov, Mikhail; Creal, Drew - 2018
Persistent link: https://www.econbiz.de/10011862726
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Estimation of affine term structure models with spanned or unspanned stochastic volatility
Creal, Drew; Wu, Jing Cynthia - 2014
Persistent link: https://www.econbiz.de/10010360896
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Interest rate uncertainty and economic fluctuations
Creal, Drew; Wu, Jing Cynthia - 2014
Persistent link: https://www.econbiz.de/10010431316
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Bond risk premia in consumption-based models
Creal, Drew; Wu, Jing Cynthia - 2016
Persistent link: https://www.econbiz.de/10011476470
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Disasters implied by equity index options
Backus, David; Chernov, Mikhail; Martin, Ian - 2009
Persistent link: https://www.econbiz.de/10003872484
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Macroeconomic-driven prepayment risk and the valuation of mortgage-backed securities
Chernov, Mikhail; Dunn, Brett R.; Longstaff, Francis A. - 2016
Persistent link: https://www.econbiz.de/10011457153
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Sources of entropy in representative agent models
Backus, David; Chernov, Mikhail; Zin, Stanley E. - 2011
Persistent link: https://www.econbiz.de/10009237633
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Term structures of asset prices and returns
Backus, David; Boyarchenko, Nina; Chernov, Mikhail - 2016
Persistent link: https://www.econbiz.de/10011474685