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 3 1,369 0 1 9 4,503
Cointegration and Long-Horizon Forecasting 0 0 0 196 0 0 2 484
Cointegration and Long-Horizon Forecasting 0 0 0 549 1 2 3 1,747
Cointegration and long-horizon forecasting 0 0 1 617 1 2 7 1,575
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 1 4 141
Création de valeur, gestion de risque et options réelles 0 0 0 795 2 2 4 3,084
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 2 2 94
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 1 422 0 1 3 969
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 0 10 0 1 2 85
Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore 0 0 0 101 1 1 2 294
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 6 173 1 2 13 605
Does Realized Skewness Predict the Cross-Section of Equity Returns? 0 0 5 149 0 2 29 425
Dynamic Diversification in Corporate Credit 0 0 0 45 1 1 1 103
Equity Portfolio Management Using Option Price Information 0 0 1 31 0 1 3 176
Estimation Risk in Financial Risk Management 1 2 6 1,138 1 3 12 3,364
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 1 177 1 1 2 469
Evaluating Value-at-Risk models with desk-level data 1 1 2 336 2 2 8 915
Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options 0 0 0 111 1 2 3 232
Factor Structure in Commodity Futures Return and Volatility 0 0 0 78 1 1 2 170
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 1 3 211 1 2 5 590
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 1 2 230 0 2 4 673
Financial Asset Returns, Market Timing, and Volatility Dynamics 0 0 0 576 0 1 2 1,942
Financial Risk Measurement for Financial Risk Management 0 0 2 247 0 3 18 552
Financial Risk Measurement for Financial Risk Management 0 1 3 207 0 1 7 583
Financial Risk Measurement for Financial Risk Management 0 1 1 179 2 7 11 538
Financial asset returns, direction-of-change forecasting, and volatility dynamics 0 0 0 214 0 0 0 416
Forecasting with Option Implied Information 0 0 6 170 2 3 15 375
Forward-Looking Betas 0 0 1 152 1 1 8 555
From Inflation to Growth: Eight Years of Transition 0 0 0 302 0 0 1 916
GARCH Option Valuation: Theory and Evidence 0 0 1 222 2 5 14 450
Horizon Problems and Extreme Events in Financial Risk Management 0 0 1 513 0 2 3 1,741
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 597 0 1 2 1,581
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 790 0 1 2 2,795
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 332 0 0 0 913
Illiquidity Premia in the Equity Options Market 0 0 1 47 2 2 5 173
Illiquidity Premia in the Equity Options Market 0 0 0 58 1 1 1 256
Interest Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk 0 0 1 131 0 1 3 458
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 1 1 55 0 3 14 242
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 1 2 2 523
Let's Get "Real" about Using Economic Data 0 0 0 95 1 1 1 454
Let's Get "Real"" about Using Economic Data" 0 0 0 168 2 2 2 896
Market Skewness Risk and the Cross-Section of Stock Returns 0 0 3 59 0 0 8 134
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 1 44 0 1 5 235
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 120 0 0 2 180
Oil Volatility Risk and Expected Stock Returns 0 0 1 68 1 1 4 172
Optimal Prediction Under Asymmetric Loss 0 0 0 77 0 3 4 357
Optimal Prediction Under Asymmetric Loss 0 0 0 127 1 2 3 439
Optimal Prediction Under Asymmetric Loss 0 0 0 259 0 0 0 1,082
Optimal prediction under asymmetric loss 0 1 2 293 0 2 5 1,020
Option Anomalies and the Pricing Kernel 0 0 0 11 0 0 3 65
Option Valuation with Conditional Heteroskedasticity and Non-Normality 0 0 1 33 1 1 3 153
Option Valuation with Conditional Heteroskedasticity and Non-Normality 0 0 0 82 0 0 2 285
Option Valuation with Conditional Skewness 0 0 3 665 0 0 5 2,902
Option Valuation with Long-run and Short-run Volatility Components 0 0 1 77 0 0 4 257
Option Valuation with Long-run and Short-run Volatility Components 0 0 1 327 0 1 4 1,000
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 1 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 4 138
Option-Implied Measures of Equity Risk 1 1 5 166 1 2 7 337
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 569 0 0 6 1,190
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 1 2 420 1 3 7 897
Practical volatility and correlation modeling for financial market risk management 0 0 0 395 0 2 2 851
Rare Disasters and Credit Market Puzzles 0 0 0 38 0 0 1 119
Size Matters: The Impact of Capital Market Liberalization on Individual Firms 0 0 0 189 1 1 1 1,088
Testing and Comparing Value-at-Risk Measures 0 0 2 2,082 0 2 6 5,284
Testing, Comparing, and Combining Value at Risk Measures 0 1 2 622 0 1 2 1,283
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 0 0 0 97 1 3 4 395
The Factor Structure in Equity Options 0 0 0 33 1 1 1 165
The Importance of the Loss Function in Option Pricing 0 0 0 197 1 1 1 846
The Importance of the Loss Function in Option Valuation 0 0 2 266 0 0 8 1,102
The Informational Content of Over-the-Counter Currency Options 0 0 0 225 0 0 1 1,096
The Joint Dynamics of Equity Market Factors 0 0 0 84 0 0 1 209
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well 0 0 1 251 1 1 6 632
The informational content of over-the-counter currency options 0 0 0 137 1 1 2 732
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 2 950 1 1 6 1,272
Volatility Forecasting 0 0 4 561 0 1 15 1,000
Volatility forecasting 0 0 3 337 0 1 9 733
Which Volatility Model for Option Valuation? 0 0 0 621 0 0 0 1,572
Total Working Papers 4 14 88 24,434 40 101 387 73,566

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 3 579 1 4 16 1,637
Beta Risk in the Cross-Section of Equities 0 0 1 9 1 2 6 49
Capturing Option Anomalies with a Variance-Dependent Pricing Kernel 0 1 10 73 1 2 18 184
Cointegration and Long-Horizon Forecasting 0 0 0 0 0 1 5 455
Correlation dynamics and international diversification benefits 0 1 5 45 2 7 21 178
Does realized skewness predict the cross-section of equity returns? 0 2 39 433 2 9 106 1,253
Dynamic Dependence and Diversification in Corporate Credit* 0 0 0 0 0 0 1 3
Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options 0 1 9 143 0 2 21 410
Evaluating Interval Forecasts 0 0 0 3 12 23 93 2,737
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 3 133 2 3 16 358
Factor Structure in Commodity Futures Return and Volatility 0 0 0 11 0 0 3 58
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 2 52 1 3 7 284
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 1 1 757
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 2 346 0 1 7 1,111
Illiquidity Premia in the Equity Options Market 0 0 0 7 0 0 1 68
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 2 96 2 3 11 310
Let's get "real" about using economic data 1 1 1 73 2 2 2 316
Market skewness risk and the cross section of stock returns 0 2 9 411 2 9 29 1,129
Nonlinear Kalman Filtering in Affine Term Structure Models 0 1 2 11 1 2 4 54
Oil volatility risk and expected stock returns 0 2 4 16 0 4 14 115
Optimal Prediction Under Asymmetric Loss 0 1 1 72 0 2 2 247
Option Valuation with Conditional Heteroskedasticity and Nonnormality 0 1 5 80 0 2 12 218
Option valuation with conditional skewness 0 1 6 219 0 1 8 510
Option valuation with long-run and short-run volatility components 1 2 4 283 1 3 8 927
Option valuation with observable volatility and jump dynamics 0 0 1 21 0 0 3 86
Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk 0 0 0 12 0 0 7 55
Option-Implied Measures of Equity Risk 0 1 2 78 0 3 6 213
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 1 1 3 141
Testing and comparing Value-at-Risk measures 0 2 6 268 0 3 12 716
The Accuracy of Density Forecasts from Foreign Exchange Options 0 0 0 57 0 2 5 165
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 0 1 1 36 1 2 3 113
The Factor Structure in Equity Options 0 0 0 13 1 1 3 61
The Joint Dynamics of Equity Market Factors 0 0 0 10 0 0 0 65
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well 0 1 2 80 1 3 9 276
The State Price Density Implied by Crude Oil Futures and Option Prices 0 2 8 15 0 3 15 35
The importance of the loss function in option valuation 0 1 11 141 1 3 23 479
Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity* 0 0 1 4 0 2 3 13
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 1 1 7 69 1 4 17 232
Which GARCH Model for Option Valuation? 0 0 4 79 0 2 8 197
Total Journal Articles 3 25 152 4,503 36 115 533 18,333
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 2 2 5 36 3 4 17 197
Elements of Financial Risk Management 1 1 2 38 2 5 15 363
Total Books 3 3 7 74 5 9 32 560

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 0 2 59 1 3 33 331
Forecasting with Option-Implied Information 1 3 16 116 4 14 48 435
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 2 250 0 0 9 764
Volatility and Correlation Forecasting 1 2 14 676 4 9 44 2,339
Total Chapters 2 5 34 1,101 9 26 134 3,869

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Statistics updated 2025-03-03