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 19 108 1,187 15 50 321 3,819
Cointegration and Long-Horizon Forecasting 4 9 24 489 9 21 51 1,531
Cointegration and Long-Horizon Forecasting 0 0 0 193 1 5 14 402
Cointegration and long-horizon forecasting 8 13 37 485 13 29 80 1,179
Company Flexibility, the Value of Management and Managerial Compensation 1 3 8 146 3 9 35 708
Création de valeur, gestion de risque et options réelles 3 7 58 734 16 42 271 2,776
Dating the Turning Points of Nordic Business Cycles 2 4 13 156 3 8 33 430
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 8 21 55 239 11 34 142 518
Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore 0 1 7 64 1 5 32 170
Do Asset Prices in Transition Countries Contain Information About Future Economic Activity? 0 0 0 44 0 0 11 188
Estimation Risk in Financial Risk Management 5 18 132 956 13 45 388 2,695
Evaluating Value-at-Risk models with desk-level data 6 16 51 134 10 29 116 268
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 1 3 17 172 4 10 50 268
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 1 3 9 127 1 4 29 305
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 4 11 34 160 6 19 77 345
Financial Asset Returns, Market Timing, and Volatility Dynamics 2 5 24 531 6 17 108 1,756
Forward-Looking Betas 2 5 57 60 11 24 96 97
From Inflation to Growth - Eight Years of Transition 0 0 0 259 2 6 15 745
Horizon Problems and Extreme Events in Financial Risk Management 4 12 33 401 12 32 113 1,036
How Relevant is Volatility Forecasting for Financial Risk Management? 5 7 28 510 7 13 65 1,275
How Relevant is Volatility Forecasting for Financial Risk Management? 4 7 25 290 8 14 61 736
How Relevant is Volatility Forecasting for Financial Risk Management? 2 9 45 676 8 25 105 2,343
Interest Rate Arbitrage in Currency Baskets--Forecasting Weights and Measuring Risk 0 0 0 122 0 6 29 344
Is Poland Ready for Inflation Targeting? 0 0 0 210 1 11 25 600
Let's Get "Real" About Using Economic Data 0 1 4 123 3 7 25 393
Let's Get "Real" about Using Economic Data 1 2 6 58 2 4 18 278
Let's Get "Real" about Using Economic Data 1 1 3 153 3 8 22 828
Martingale Tests of Value-at-Risk 0 0 0 1 2 16 63 305
Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices 2 12 51 53 7 25 107 110
Optimal Prediction Under Asymmetric Loss 1 4 20 173 5 17 63 762
Optimal Prediction Under Asymmetric Loss 0 0 3 65 0 2 10 241
Optimal Prediction Under Asymmetric Loss 1 2 11 109 2 5 25 295
Optimal prediction under asymmetric loss 0 2 11 243 1 8 26 817
Option Valuation with Conditional Skewness 0 2 25 603 4 17 150 2,653
Option Valuation with Long-run and Short-run Volatility Components 0 0 18 276 1 8 92 801
Option Valuation with Long-run and Short-run Volatility Components 1 3 27 28 1 10 68 70
Practical Volatility and Correlation Modeling for Financial Market Risk Management 3 9 38 315 5 18 89 522
Practical Volatility and Correlation Modeling for Financial Market Risk Management 1 9 53 335 8 34 135 579
Size Matters: The Impact of Capital Market Liberalization on Individual Firms 0 4 21 166 13 34 149 917
Testing and Comparing Value-at-Risk Measures 0 14 88 1,884 11 41 192 4,472
Testing, Comparing, and Combining Value at Risk Measures 3 11 28 457 4 19 61 738
The Importance of the Loss Function in Option Pricing 1 5 16 169 1 12 56 692
The Importance of the Loss Function in Option Valuation 4 9 27 208 8 13 60 649
The Informational Content of Over-the-Counter Currency Options 1 3 14 194 5 23 122 922
The information content of over-the-counter currency options 0 3 12 97 3 12 46 462
Value Creation through Real Options Management 0 3 7 152 0 6 33 285
Value creation, risk management, and real options 3 9 37 699 8 31 165 2,043
Volatility Components, Affine Restrictions and Non-Normal Innovations 1 5 21 23 3 14 52 52
Volatility Forecasting 7 12 32 433 10 18 68 631
Volatility Forecasting 8 17 77 766 14 43 150 878
Volatility Forecasting 4 9 22 206 8 14 46 282
Which Volatility Model for Option Valuation? 3 11 62 515 14 41 160 1,222
Total Working Papers 116 335 1,499 16,849 307 958 4,520 47,433
1 registered items for which data could not be found

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 12 55 286 18 45 174 734
Cointegration and Long-Horizon Forecasting 0 0 0 0 3 4 19 276
Evaluating Interval Forecasts 0 0 0 3 7 29 72 864
From Inflation to Growth 1 2 4 9 1 2 5 21
Further Results on Forecasting and Model Selection under Asymmetric Loss 2 4 13 137 4 8 26 501
Horizon problems and extreme events in financial risk management 0 0 5 160 0 8 24 626
How Relevant is Volatility Forecasting for Financial Risk Management? 6 10 29 241 7 14 55 642
Interest-Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk 0 0 0 0 1 8 33 943
Is inflation targeting feasible in Poland? 1 1 10 33 2 5 29 76
Let's get "real" about using economic data 2 3 7 45 4 6 14 162
Optimal Prediction Under Asymmetric Loss 0 0 0 0 0 1 1 1
Option valuation with conditional skewness 0 2 14 63 1 8 28 135
Option valuation with long-run and short-run volatility components 3 6 14 14 12 29 55 55
Size matters: The impact of financial liberalization on individual firms 0 2 2 14 0 3 7 37
Testing and comparing Value-at-Risk measures 0 3 20 166 2 6 57 402
The Accuracy of Density Forecasts from Foreign Exchange Options 0 0 7 30 0 1 11 65
The importance of the loss function in option valuation 0 1 6 47 1 3 18 133
Towards a global financial architecture: capital mobility and risk management issues 0 1 3 39 0 2 10 138
Total Journal Articles 21 47 189 1,287 63 182 638 5,811

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 0 1 1 1 1
Volatility and Correlation Forecasting 8 24 90 145 18 61 234 373
Total Chapters 8 24 90 145 19 62 235 374

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Statistics updated 2009-07-03