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 0 0 1 1,369 0 0 3 4,503
Cointegration and Long-Horizon Forecasting 0 0 0 196 0 0 2 484
Cointegration and Long-Horizon Forecasting 0 0 0 549 0 1 3 1,747
Cointegration and long-horizon forecasting 1 1 1 618 1 2 7 1,576
Company Flexibility, the Value of Management and Managerial Compensation 0 0 0 151 0 0 0 788
Correlation Dynamics and International Diversification Benefits 0 0 2 92 0 0 4 141
Création de valeur, gestion de risque et options réelles 0 0 0 795 0 3 5 3,085
Dating the Turning Points of Nordic Business Cycles 0 0 0 193 0 0 1 582
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 0 11 0 0 2 94
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 0 422 0 0 2 969
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 1 1 11 0 1 3 86
Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore 2 2 2 103 3 4 5 297
Do Asset Prices in Transition Countries Contain Information About Future Economic Activity? 0 0 0 48 0 0 0 307
Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns? 1 2 6 174 1 3 10 607
Does Realized Skewness Predict the Cross-Section of Equity Returns? 0 0 4 149 0 1 29 426
Dynamic Diversification in Corporate Credit 0 0 0 45 0 1 1 103
Equity Portfolio Management Using Option Price Information 0 0 1 31 0 0 3 176
Estimation Risk in Financial Risk Management 0 2 5 1,139 2 5 12 3,368
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 0 177 0 1 1 469
Evaluating Value-at-Risk models with desk-level data 0 1 2 336 0 2 7 915
Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options 0 0 0 111 0 1 3 232
Factor Structure in Commodity Futures Return and Volatility 0 0 0 78 0 1 2 170
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 2 211 0 2 5 591
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 1 230 0 0 3 673
Financial Asset Returns, Market Timing, and Volatility Dynamics 0 0 0 576 0 1 3 1,943
Financial Risk Measurement for Financial Risk Management 0 0 2 207 0 1 5 584
Financial Risk Measurement for Financial Risk Management 0 1 2 180 0 3 10 539
Financial Risk Measurement for Financial Risk Management 0 0 2 247 0 0 16 552
Financial asset returns, direction-of-change forecasting, and volatility dynamics 1 1 1 215 1 1 1 417
Forecasting with Option Implied Information 0 0 4 170 2 4 13 377
Forward-Looking Betas 0 0 1 152 1 2 7 556
From Inflation to Growth: Eight Years of Transition 0 0 0 302 1 1 2 917
GARCH Option Valuation: Theory and Evidence 0 0 0 222 2 4 12 452
Horizon Problems and Extreme Events in Financial Risk Management 0 0 1 513 0 0 3 1,741
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 332 0 0 0 913
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 597 0 0 1 1,581
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 790 0 0 1 2,795
Illiquidity Premia in the Equity Options Market 0 0 1 47 0 2 5 173
Illiquidity Premia in the Equity Options Market 0 0 0 58 0 2 2 257
Interest Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk 0 0 1 131 0 0 2 458
Is Poland Ready for Inflation Targeting? 0 0 0 215 0 0 1 674
Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach 0 0 1 55 0 1 14 243
Is the Potential for International Diversification Disappearing? 0 0 0 4 0 0 0 25
Let's Get "Real" About Using Economic Data 0 0 0 146 0 1 2 523
Let's Get "Real" about Using Economic Data 0 0 0 95 1 2 2 455
Let's Get "Real"" about Using Economic Data" 0 0 0 168 0 2 2 896
Market Skewness Risk and the Cross-Section of Stock Returns 0 0 2 59 0 0 6 134
Martingale Tests of Value-at-Risk 0 0 0 1 0 0 4 867
Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices 0 0 0 122 0 0 1 369
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 120 0 0 1 180
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 1 44 0 1 5 236
Oil Volatility Risk and Expected Stock Returns 0 0 1 68 0 1 4 172
Optimal Prediction Under Asymmetric Loss 0 0 0 127 1 2 4 440
Optimal Prediction Under Asymmetric Loss 0 0 0 259 0 0 0 1,082
Optimal Prediction Under Asymmetric Loss 0 0 0 77 0 0 4 357
Optimal prediction under asymmetric loss 0 0 1 293 0 0 4 1,020
Option Anomalies and the Pricing Kernel 0 0 0 11 0 0 2 65
Option Valuation with Conditional Heteroskedasticity and Non-Normality 0 0 1 33 0 1 3 153
Option Valuation with Conditional Heteroskedasticity and Non-Normality 0 0 0 82 0 0 2 285
Option Valuation with Conditional Skewness 1 1 2 666 1 1 4 2,903
Option Valuation with Long-run and Short-run Volatility Components 0 1 1 328 0 3 5 1,003
Option Valuation with Long-run and Short-run Volatility Components 0 0 0 77 0 0 2 257
Option Valuation with Observable Volatility and Jump Dynamics 0 0 0 21 0 0 0 81
Option Valuation with Observable Volatility and Jump Dynamics 0 0 0 15 0 0 0 92
Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels 0 0 0 32 0 0 1 112
Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk 0 0 0 41 0 0 3 138
Option-Implied Measures of Equity Risk 0 1 5 166 0 1 7 337
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 1 3 421 0 2 7 898
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 569 0 0 4 1,190
Practical volatility and correlation modeling for financial market risk management 2 2 2 397 2 2 4 853
Rare Disasters and Credit Market Puzzles 0 0 0 38 0 0 0 119
Size Matters: The Impact of Capital Market Liberalization on Individual Firms 0 0 0 189 0 1 1 1,088
Testing and Comparing Value-at-Risk Measures 0 0 1 2,082 1 3 8 5,287
Testing, Comparing, and Combining Value at Risk Measures 0 0 1 622 0 0 1 1,283
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 0 0 0 97 0 1 4 395
The Factor Structure in Equity Options 0 0 0 33 0 1 1 165
The Importance of the Loss Function in Option Pricing 0 0 0 197 0 1 1 846
The Importance of the Loss Function in Option Valuation 0 0 2 266 0 2 8 1,104
The Informational Content of Over-the-Counter Currency Options 0 0 0 225 1 1 1 1,097
The Joint Dynamics of Equity Market Factors 0 0 0 84 1 1 2 210
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well 0 0 0 251 0 1 3 632
The informational content of over-the-counter currency options 0 0 0 137 0 1 1 732
Time-Varying Crash Risk: The Role of Stock Market Liquidity 0 0 1 65 0 0 4 121
Time-Varying Jump Intensities and Fat Tail Dynamics: Evidence from S&P500 Returns and Options 0 0 0 1 0 0 0 87
Value Creation through Real Options Management 0 0 0 169 0 0 0 349
Value creation, risk management, and real options 0 0 0 763 0 0 1 2,597
Volatility Components, Affine Restrictions and Non-Normal Innovations 0 0 0 69 0 0 0 236
Volatility Forecasting 0 0 4 561 0 0 13 1,000
Volatility Forecasting 0 0 2 950 0 2 7 1,273
Volatility forecasting 1 1 3 338 1 2 9 735
Which Volatility Model for Option Valuation? 0 0 0 621 0 0 0 1,572
Total Working Papers 9 18 77 24,448 23 86 359 73,612

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 0 0 1 579 1 2 12 1,638
Beta Risk in the Cross-Section of Equities 0 0 1 9 0 1 4 49
Capturing Option Anomalies with a Variance-Dependent Pricing Kernel 0 1 8 74 0 2 14 185
Cointegration and Long-Horizon Forecasting 0 0 0 0 1 1 5 456
Correlation dynamics and international diversification benefits 1 1 4 46 3 8 24 184
Does realized skewness predict the cross-section of equity returns? 2 2 37 435 5 7 100 1,258
Dynamic Dependence and Diversification in Corporate Credit* 0 0 0 0 0 0 0 3
Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options 3 3 9 146 5 6 20 416
Estimation risk in financial risk management 1 1 1 1 1 3 3 3
Evaluating Interval Forecasts 0 0 0 3 4 19 84 2,744
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 3 133 2 4 15 360
Factor Structure in Commodity Futures Return and Volatility 0 0 0 11 1 1 3 59
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 1 52 1 3 7 286
From Inflation to Growth 0 0 0 31 0 0 0 85
Further Results on Forecasting and Model Selection under Asymmetric Loss 0 0 0 194 0 0 0 657
Horizon problems and extreme events in financial risk management 0 0 0 190 0 0 1 757
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 2 346 1 1 7 1,112
Illiquidity Premia in the Equity Options Market 0 0 0 7 0 1 2 69
Interest-Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk 0 0 0 0 0 0 2 1,040
Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach 0 0 1 96 3 6 12 314
Let's get "real" about using economic data 0 1 1 73 0 2 2 316
Market skewness risk and the cross section of stock returns 1 1 7 412 1 4 23 1,131
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 2 11 0 1 4 54
Oil volatility risk and expected stock returns 1 1 4 17 1 1 11 116
Optimal Prediction Under Asymmetric Loss 0 0 1 72 0 0 2 247
Option Valuation with Conditional Heteroskedasticity and Nonnormality 0 0 5 80 1 1 12 219
Option valuation with conditional skewness 1 1 3 220 1 1 4 511
Option valuation with long-run and short-run volatility components 0 1 3 283 0 2 8 928
Option valuation with observable volatility and jump dynamics 0 0 0 21 1 1 3 87
Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk 0 0 0 12 0 2 8 57
Option-Implied Measures of Equity Risk 0 0 2 78 0 1 6 214
Rare Disasters, Credit, and Option Market Puzzles 0 0 1 1 0 0 1 7
Size matters: The impact of financial liberalization on individual firms 0 0 0 33 0 1 3 141
Testing and comparing Value-at-Risk measures 0 0 6 268 0 0 10 716
The Accuracy of Density Forecasts from Foreign Exchange Options 0 1 1 58 1 2 5 167
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 0 0 1 36 2 3 5 115
The Factor Structure in Equity Options 0 0 0 13 1 2 4 62
The Joint Dynamics of Equity Market Factors 1 1 1 11 1 1 1 66
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well 0 1 2 81 2 5 11 280
The State Price Density Implied by Crude Oil Futures and Option Prices 0 1 7 16 0 1 13 36
The importance of the loss function in option valuation 0 0 8 141 0 3 20 481
Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity* 0 0 1 4 1 2 5 15
Towards a global financial architecture: capital mobility and risk management issues 0 0 0 44 0 0 0 204
Volatility Components, Affine Restrictions, and Nonnormal Innovations 0 0 0 32 0 0 1 125
Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices 0 1 5 69 1 2 12 233
Which GARCH Model for Option Valuation? 0 0 3 79 0 0 7 197
Total Journal Articles 11 18 132 4,518 42 103 496 18,400
1 registered items for which data could not be found

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Elements of Financial Risk Management 3 5 5 42 7 15 25 376
Elements of Financial Risk Management 0 2 4 36 1 7 18 201
Total Books 3 7 9 78 8 22 43 577

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Financial Risk Measurement for Financial Risk Management 0 1 3 60 3 6 31 336
Forecasting with Option-Implied Information 1 2 16 117 3 7 41 438
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 2 250 0 0 6 764
Volatility and Correlation Forecasting 1 2 12 677 4 8 40 2,343
Total Chapters 2 5 33 1,104 10 21 118 3,881

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Statistics updated 2025-05-12