Access Statistics for Peter F. Christoffersen

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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 2 1,363 0 2 10 4,485
Cointegration and Long-Horizon Forecasting 0 0 0 196 0 0 0 481
Cointegration and Long-Horizon Forecasting 0 0 0 548 0 1 1 1,742
Cointegration and long-horizon forecasting 0 0 0 616 0 0 2 1,564
Company Flexibility, the Value of Management and Managerial Compensation 0 0 0 151 0 0 0 787
Correlation Dynamics and International Diversification Benefits 0 1 3 90 0 1 4 136
Création de valeur, gestion de risque et options réelles 0 0 0 795 0 0 2 3,080
Dating the Turning Points of Nordic Business Cycles 1 1 2 191 1 2 11 578
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 0 11 0 0 2 91
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 0 421 1 2 4 963
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 0 9 1 1 1 81
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 0 1 1 292
Do Asset Prices in Transition Countries Contain Information About Future Economic Activity? 0 0 0 47 0 0 0 306
Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns? 2 2 7 159 3 10 23 566
Does Realized Skewness Predict the Cross-Section of Equity Returns? 0 2 10 137 2 8 33 378
Dynamic Diversification in Corporate Credit 0 0 2 45 0 0 3 100
Equity Portfolio Management Using Option Price Information 0 0 0 30 3 10 23 147
Estimation Risk in Financial Risk Management 3 4 9 1,121 5 6 14 3,339
Evaluating Value-at-Risk Models with Desk-Level Data 0 1 2 175 0 2 6 461
Evaluating Value-at-Risk models with desk-level data 0 0 1 334 1 2 9 902
Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options 0 0 1 111 0 0 4 229
Factor Structure in Commodity Futures Return and Volatility 0 0 1 77 0 1 5 164
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 206 1 1 2 580
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 1 1 228 0 1 1 667
Financial Asset Returns, Market Timing, and Volatility Dynamics 0 0 1 575 0 0 1 1,939
Financial Risk Measurement for Financial Risk Management 0 0 1 177 0 0 16 513
Financial Risk Measurement for Financial Risk Management 0 2 3 239 1 6 20 521
Financial Risk Measurement for Financial Risk Management 1 1 4 201 2 5 13 567
Financial asset returns, direction-of-change forecasting, and volatility dynamics 0 0 1 213 0 1 5 415
Forecasting with Option Implied Information 0 2 5 158 0 4 8 344
Forward-Looking Betas 0 2 9 145 1 8 36 506
From Inflation to Growth: Eight Years of Transition 0 0 1 301 1 1 6 908
GARCH Option Valuation: Theory and Evidence 1 1 4 217 2 4 13 419
Horizon Problems and Extreme Events in Financial Risk Management 0 0 0 511 0 0 3 1,734
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 1 790 0 2 5 2,791
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 1 332 1 2 5 911
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 597 0 0 2 1,575
Illiquidity Premia in the Equity Options Market 0 0 1 46 0 0 1 164
Illiquidity Premia in the Equity Options Market 0 0 1 58 7 13 28 239
Interest Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk 0 0 0 130 0 0 2 455
Is Poland Ready for Inflation Targeting? 0 0 0 215 0 0 0 673
Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach 0 0 0 53 0 0 3 224
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 0 0 521
Let's Get "Real" about Using Economic Data 0 0 0 95 0 0 0 453
Let's Get "Real"" about Using Economic Data" 0 0 0 168 0 0 1 894
Market Skewness Risk and the Cross-Section of Stock Returns 0 0 2 55 1 1 9 117
Martingale Tests of Value-at-Risk 0 0 0 1 3 3 16 856
Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices 0 0 2 120 1 3 6 361
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 1 41 0 0 3 223
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 119 0 0 1 175
Oil Volatility Risk and Expected Stock Returns 0 0 0 66 0 0 0 164
Optimal Prediction Under Asymmetric Loss 0 0 0 259 0 0 0 1,080
Optimal Prediction Under Asymmetric Loss 0 0 0 77 0 0 1 352
Optimal Prediction Under Asymmetric Loss 0 0 0 127 0 0 0 436
Optimal prediction under asymmetric loss 0 0 0 291 0 1 2 1,013
Option Anomalies and the Pricing Kernel 0 0 0 7 0 2 5 50
Option Valuation with Conditional Heteroskedasticity and Non-Normality 0 0 1 32 0 0 2 147
Option Valuation with Conditional Heteroskedasticity and Non-Normality 0 0 0 81 0 0 1 280
Option Valuation with Conditional Skewness 0 0 2 662 1 1 4 2,889
Option Valuation with Long-run and Short-run Volatility Components 0 0 0 75 0 0 2 249
Option Valuation with Long-run and Short-run Volatility Components 0 1 4 325 0 1 9 988
Option Valuation with Observable Volatility and Jump Dynamics 0 0 1 14 0 0 7 89
Option Valuation with Observable Volatility and Jump Dynamics 0 0 2 21 0 0 2 80
Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels 0 0 1 32 0 0 3 107
Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk 0 0 2 40 1 2 6 130
Option-Implied Measures of Equity Risk 0 0 2 161 0 1 7 330
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 1 418 2 3 9 877
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 1 2 569 0 2 5 1,181
Practical volatility and correlation modeling for financial market risk management 0 0 1 395 5 13 23 836
Rare Disasters and Credit Market Puzzles 0 0 1 38 0 0 3 116
Size Matters: The Impact of Capital Market Liberalization on Individual Firms 0 0 0 189 0 0 0 1,087
Testing and Comparing Value-at-Risk Measures 0 0 1 2,077 0 1 5 5,269
Testing, Comparing, and Combining Value at Risk Measures 0 0 0 620 0 1 6 1,280
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 0 0 1 95 0 0 8 382
The Factor Structure in Equity Options 0 1 1 33 1 2 9 161
The Importance of the Loss Function in Option Pricing 0 0 1 197 0 0 1 845
The Importance of the Loss Function in Option Valuation 0 1 2 263 1 2 7 1,089
The Informational Content of Over-the-Counter Currency Options 0 0 0 225 0 0 0 1,094
The Joint Dynamics of Equity Market Factors 0 0 0 84 0 0 1 206
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well 0 0 1 248 1 1 5 618
The informational content of over-the-counter currency options 0 0 0 137 0 0 1 730
Time-Varying Crash Risk: The Role of Stock Market Liquidity 0 1 3 63 0 1 7 112
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 0 761 0 1 1 2,593
Volatility Components, Affine Restrictions and Non-Normal Innovations 0 0 0 68 1 1 2 235
Volatility Forecasting 0 2 2 947 0 5 7 1,259
Volatility Forecasting 0 1 10 553 1 3 32 962
Volatility forecasting 0 1 3 332 1 3 13 701
Which Volatility Model for Option Valuation? 0 0 0 619 0 0 0 1,569
Total Working Papers 8 29 124 24,240 53 151 560 72,664


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 1 18 567 3 8 48 1,594
Beta Risk in the Cross-Section of Equities 0 0 1 8 0 1 4 35
Capturing Option Anomalies with a Variance-Dependent Pricing Kernel 1 2 6 59 2 4 14 157
Cointegration and Long-Horizon Forecasting 0 0 0 0 0 0 3 446
Correlation dynamics and international diversification benefits 0 0 3 36 1 5 12 137
Does realized skewness predict the cross-section of equity returns? 1 6 45 336 4 23 118 994
Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options 0 0 8 119 6 7 28 360
Evaluating Interval Forecasts 0 0 0 3 15 29 96 2,546
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 5 124 1 1 14 330
Factor Structure in Commodity Futures Return and Volatility 0 0 2 10 0 1 7 54
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 1 3 47 0 1 14 269
From Inflation to Growth 0 0 0 31 1 1 1 84
Further Results on Forecasting and Model Selection under Asymmetric Loss 0 0 0 193 0 0 0 656
Horizon problems and extreme events in financial risk management 0 0 0 190 1 1 1 755
How Relevant is Volatility Forecasting for Financial Risk Management? 1 2 6 343 1 3 11 1,096
Illiquidity Premia in the Equity Options Market 0 0 2 7 1 1 6 63
Interest-Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk 0 0 0 0 0 0 0 1,038
Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach 1 1 8 90 1 4 16 287
Let's get "real" about using economic data 0 0 2 71 0 0 5 311
Market skewness risk and the cross section of stock returns 1 5 24 384 4 10 53 1,043
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 8 0 1 3 47
Oil volatility risk and expected stock returns 0 0 1 12 1 2 17 97
Optimal Prediction Under Asymmetric Loss 0 0 1 69 0 0 5 240
Option Valuation with Conditional Heteroskedasticity and Nonnormality 0 1 5 73 2 4 9 196
Option valuation with conditional skewness 0 1 11 208 2 5 22 494
Option valuation with long-run and short-run volatility components 1 1 10 277 1 3 24 907
Option valuation with observable volatility and jump dynamics 0 1 1 19 0 1 1 79
Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk 0 1 4 11 1 2 12 45
Option-Implied Measures of Equity Risk 0 1 9 75 3 4 16 198
Rare Disasters, Credit, and Option Market Puzzles 0 0 0 0 0 0 1 5
Size matters: The impact of financial liberalization on individual firms 0 0 1 33 0 0 4 136
Testing and comparing Value-at-Risk measures 0 1 3 256 0 1 10 692
The Accuracy of Density Forecasts from Foreign Exchange Options 0 0 0 57 0 0 1 158
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 0 1 2 35 0 2 8 107
The Factor Structure in Equity Options 0 0 2 13 0 1 4 56
The Joint Dynamics of Equity Market Factors 0 0 0 10 0 0 1 62
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well 2 3 6 74 3 5 19 262
The importance of the loss function in option valuation 1 1 3 127 1 2 14 435
Towards a global financial architecture: capital mobility and risk management issues 0 0 0 42 0 0 0 200
Volatility Components, Affine Restrictions, and Nonnormal Innovations 0 0 0 32 0 0 0 122
Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices 1 2 7 52 2 5 17 195
Which GARCH Model for Option Valuation? 0 0 5 72 2 2 15 183
Total Journal Articles 10 32 204 4,173 59 140 654 17,171


Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Elements of Financial Risk Management 0 0 2 24 4 8 34 155
Elements of Financial Risk Management 0 0 3 25 3 4 19 319
Total Books 0 0 5 49 7 12 53 474


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 2 49 0 9 29 247
Forecasting with Option-Implied Information 0 2 8 91 4 8 27 349
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 1 246 0 1 6 746
Volatility and Correlation Forecasting 1 5 24 643 7 17 73 2,230
Total Chapters 1 8 35 1,029 11 35 135 3,572


Statistics updated 2023-03-10