Access Statistics for Peter F. Christoffersen

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Backtesting Value-at-Risk: A Duration-Based Approach 8 26 120 1,105 31 90 433 3,588
Cointegration and Long-Horizon Forecasting 1 3 17 468 1 5 42 1,485
Cointegration and Long-Horizon Forecasting 0 0 0 193 3 4 13 392
Cointegration and long-horizon forecasting 7 12 37 460 10 23 76 1,122
Company Flexibility, the Value of Management and Managerial Compensation 0 1 10 139 2 6 59 679
Création de valeur, gestion de risque et options réelles 3 18 74 694 21 68 365 2,573
Dating the Turning Points of Nordic Business Cycles 0 4 10 147 1 7 35 404
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 4 8 58 192 19 44 186 420
Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore 0 2 22 59 0 7 39 145
Do Asset Prices in Transition Countries Contain Information About Future Economic Activity? 0 0 0 44 0 2 16 179
Estimation Risk in Financial Risk Management 14 46 151 870 37 118 487 2,425
Evaluating Value-at-Risk models with desk-level data 5 15 57 98 10 32 117 184
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 2 4 22 159 7 15 49 233
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 2 2 11 120 4 9 47 285
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 3 12 37 138 5 25 97 293
Financial Asset Returns, Market Timing, and Volatility Dynamics 3 6 24 513 12 36 116 1,684
Forward-Looking Betas 6 29 32 32 9 24 25 25
From Inflation to Growth - Eight Years of Transition 0 0 0 259 0 4 22 734
Horizon Problems and Extreme Events in Financial Risk Management 1 4 25 372 8 25 92 948
How Relevant is Volatility Forecasting for Financial Risk Management? 0 6 48 488 2 17 94 1,227
How Relevant is Volatility Forecasting for Financial Risk Management? 2 5 36 270 5 22 98 697
How Relevant is Volatility Forecasting for Financial Risk Management? 3 11 58 642 6 27 120 2,265
Interest Rate Arbitrage in Currency Baskets--Forecasting Weights and Measuring Risk 0 0 0 122 0 8 24 323
Is Poland Ready for Inflation Targeting? 0 0 1 210 1 6 26 581
Let's Get "Real" About Using Economic Data 0 0 2 119 2 6 25 374
Let's Get "Real" about Using Economic Data 0 1 3 53 0 6 14 266
Let's Get "Real" about Using Economic Data 0 0 6 150 1 4 37 810
Martingale Tests of Value-at-Risk 0 0 0 1 4 14 49 256
Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices 5 19 21 21 9 22 25 25
Optimal Prediction Under Asymmetric Loss 0 4 21 157 0 9 65 708
Optimal Prediction Under Asymmetric Loss 0 1 5 63 0 5 13 236
Optimal Prediction Under Asymmetric Loss 0 3 12 101 0 5 30 275
Optimal prediction under asymmetric loss 1 3 15 235 1 7 31 798
Option Valuation with Conditional Skewness 2 9 63 587 16 50 328 2,553
Option Valuation with Long-run and Short-run Volatility Components 3 10 43 268 12 41 153 750
Option Valuation with Long-run and Short-run Volatility Components 0 16 17 17 7 20 22 22
Practical Volatility and Correlation Modeling for Financial Market Risk Management 9 14 46 291 16 29 98 462
Practical Volatility and Correlation Modeling for Financial Market Risk Management 2 2 45 417 9 19 115 716
Practical Volatility and Correlation Modeling for Financial Market Risk Management 3 8 44 290 9 26 111 470
Size Matters: The Impact of Capital Market Liberalization on Individual Firms 2 5 24 150 10 28 136 796
Testing and Comparing Value-at-Risk Measures 8 26 109 1,822 18 54 254 4,334
Testing, Comparing, and Combining Value at Risk Measures 2 4 20 433 5 12 42 689
The Importance of the Loss Function in Option Pricing 1 3 18 156 3 9 88 645
The Importance of the Loss Function in Option Valuation 3 7 22 188 6 20 88 609
The Informational Content of Over-the-Counter Currency Options 2 3 23 183 8 35 164 835
The information content of over-the-counter currency options 1 4 25 89 5 16 104 432
Value Creation through Real Options Management 0 1 7 146 3 7 20 259
Value creation, risk management, and real options 4 11 65 673 21 44 226 1,922
Volatility Components, Affine Restrictions and Non-Normal Innovations 0 3 5 5 0 7 7 7
Volatility Forecasting 5 7 44 408 14 24 87 587
Volatility Forecasting 10 24 96 713 14 46 157 774
Volatility Forecasting 2 4 28 188 4 12 62 248
Which Volatility Model for Option Valuation? 3 15 52 468 8 43 175 1,105
Total Working Papers 132 421 1,731 16,186 399 1,244 5,404 44,854

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Backtesting Value-at-Risk: A Duration-Based Approach 6 14 62 245 14 40 156 600
Cointegration and Long-Horizon Forecasting 0 0 0 0 0 4 21 261
Evaluating Interval Forecasts 0 0 0 3 6 12 57 804
From Inflation to Growth 1 2 6 7 1 2 12 18
Further Results on Forecasting and Model Selection under Asymmetric Loss 2 3 12 127 2 7 27 482
Horizon problems and extreme events in financial risk management 0 1 12 156 2 4 36 606
How Relevant is Volatility Forecasting for Financial Risk Management? 0 2 27 214 1 5 56 592
Interest-Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk 0 0 0 0 2 14 78 924
Is inflation targeting feasible in Poland? 1 4 15 27 1 6 30 53
Let's get "real" about using economic data 0 0 5 38 0 1 26 149
Option valuation with conditional skewness 2 4 14 53 2 7 33 114
Size matters: The impact of financial liberalization on individual firms 0 0 4 12 0 1 11 31
Testing and comparing Value-at-Risk measures 2 6 21 152 5 21 71 366
The Accuracy of Density Forecasts from Foreign Exchange Options 1 3 8 26 1 4 17 58
The importance of the loss function in option valuation 1 3 10 44 2 7 22 122
Towards a global financial architecture: capital mobility and risk management issues 0 1 3 37 1 6 26 134
Total Journal Articles 16 43 199 1,141 40 141 679 5,314

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Volatility and Correlation Forecasting 6 27 82 82 19 61 200 200
Total Chapters 6 27 82 82 19 61 200 200

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Statistics updated 2008-10-02