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 1 12 1,339 0 3 28 4,394
Cointegration and Long-Horizon Forecasting 0 0 0 195 1 1 3 466
Cointegration and Long-Horizon Forecasting 0 0 0 544 0 0 6 1,715
Cointegration and long-horizon forecasting 0 0 1 611 0 1 5 1,538
Company Flexibility, the Value of Management and Managerial Compensation 0 0 0 151 0 0 0 781
Correlation Dynamics and International Diversification Benefits 0 0 2 79 2 4 9 108
Création de valeur, gestion de risque et options réelles 0 0 2 788 0 1 6 3,062
Dating the Turning Points of Nordic Business Cycles 0 0 0 186 0 0 9 539
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 1 1 3 10 1 1 8 77
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 1 2 9 0 1 5 62
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 1 416 1 1 7 937
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 98 1 4 5 280
Do Asset Prices in Transition Countries Contain Information About Future Economic Activity? 0 0 0 46 0 0 0 295
Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns? 0 3 6 139 0 4 13 490
Does Realized Skewness Predict the Cross-Section of Equity Returns? 0 0 2 113 2 5 30 266
Dynamic Diversification in Corporate Credit 0 0 0 39 0 1 4 71
Equity Portfolio Management Using Option Price Information 0 0 0 28 1 4 6 84
Estimation Risk in Financial Risk Management 0 0 2 1,104 5 10 15 3,273
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 7 166 1 1 18 410
Evaluating Value-at-Risk models with desk-level data 0 1 1 331 2 8 13 839
Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options 0 0 1 104 0 1 7 201
Factor Structure in Commodity Futures Return and Volatility 0 2 5 68 2 7 25 123
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 226 0 0 6 643
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 206 0 0 3 556
Financial Asset Returns, Market Timing, and Volatility Dynamics 0 0 1 572 0 0 4 1,922
Financial Risk Measurement for Financial Risk Management 1 1 3 168 1 4 24 399
Financial Risk Measurement for Financial Risk Management 0 0 1 224 0 7 22 396
Financial Risk Measurement for Financial Risk Management 0 0 3 189 0 1 11 487
Financial asset returns, direction-of-change forecasting, and volatility dynamics 0 0 3 211 0 0 0 381
Forecasting with Option Implied Information 0 2 10 146 2 5 19 307
Forward-Looking Betas 0 0 6 121 0 3 13 352
From Inflation to Growth; Eight Years of Transition 0 0 2 288 2 4 9 865
GARCH Option Valuation: Theory and Evidence 0 1 12 186 3 5 24 318
Horizon Problems and Extreme Events in Financial Risk Management 0 0 0 509 0 3 14 1,713
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 1 789 0 1 9 2,760
How Relevant is Volatility Forecasting for Financial Risk Management? 0 1 1 595 2 4 10 1,552
How Relevant is Volatility Forecasting for Financial Risk Management? 0 1 1 330 1 3 17 882
Illiquidity Premia in the Equity Options Market 0 0 0 54 1 2 5 164
Illiquidity Premia in the Equity Options Market 0 0 0 45 0 0 4 134
Interest Rate Arbitrage in Currency Baskets; Forecasting Weights and Measuring Risk 0 0 0 129 0 0 0 447
Is Poland Ready for Inflation Targeting? 0 0 1 215 1 2 5 662
Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach 0 0 3 41 2 5 18 135
Let's Get "Real" About Using Economic Data 0 0 0 145 0 1 5 508
Let's Get "Real" about Using Economic Data 0 0 1 94 1 1 3 439
Let's Get "Real"" about Using Economic Data" 0 0 0 168 1 1 1 887
Martingale Tests of Value-at-Risk 0 0 0 1 2 5 14 807
Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices 0 0 1 114 0 4 5 342
Nonlinear Kalman Filtering in Affine Term Structure Models 0 2 3 39 0 8 15 204
Nonlinear Kalman Filtering in Affine Term Structure Models 0 1 4 115 0 3 11 154
Oil Volatility Risk and Expected Stock Returns 0 0 4 64 2 5 22 137
Optimal Prediction Under Asymmetric Loss 0 0 1 259 0 1 7 1,068
Optimal Prediction Under Asymmetric Loss 0 0 0 127 2 2 3 418
Optimal Prediction Under Asymmetric Loss 0 0 1 76 1 1 8 333
Optimal prediction under asymmetric loss 0 1 1 289 0 3 5 983
Option Valuation with Conditional Heteroskedasticity and Non-Normality 0 0 0 76 2 2 3 242
Option Valuation with Conditional Heteroskedasticity and Non-Normality 0 1 2 29 4 19 21 124
Option Valuation with Conditional Skewness 1 2 5 657 2 4 8 2,868
Option Valuation with Long-run and Short-run Volatility Components 0 1 4 69 0 2 12 221
Option Valuation with Long-run and Short-run Volatility Components 0 0 2 316 0 1 7 947
Option Valuation with Observable Volatility and Jump Dynamics 0 0 2 13 0 2 7 43
Option Valuation with Observable Volatility and Jump Dynamics 0 0 1 17 2 6 12 62
Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels 0 0 3 29 1 2 12 88
Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk 0 0 3 32 0 12 27 88
Option-Implied Measures of Equity Risk 2 2 9 137 3 5 22 260
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 415 1 2 8 834
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 563 2 3 9 1,132
Practical volatility and correlation modeling for financial market risk management 0 0 2 392 1 1 5 768
Rare Disasters and Credit Market Puzzles 0 0 0 34 1 3 5 95
Size Matters: The Impact of Capital Market Liberalization on Individual Firms 0 0 0 189 0 0 3 1,083
Testing and Comparing Value-at-Risk Measures 0 1 7 2,069 0 1 10 5,242
Testing, Comparing, and Combining Value at Risk Measures 1 2 8 599 1 5 19 1,194
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 0 1 3 87 3 6 11 334
The Factor Structure in Equity Options 0 0 0 28 0 1 7 119
The Importance of the Loss Function in Option Pricing 1 1 3 190 2 2 4 817
The Importance of the Loss Function in Option Valuation 0 0 2 258 0 2 6 1,032
The Informational Content of Over-the-Counter Currency Options 0 0 0 225 0 0 1 1,080
The Joint Dynamics of Equity Market Factors 1 1 2 82 2 2 6 187
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well 1 1 7 242 4 9 22 563
The informational content of over-the-counter currency options 0 0 0 136 0 0 4 718
Time-Varying Crash Risk: The Role of Stock Market Liquidity 0 1 6 56 1 5 19 74
Value Creation through Real Options Management 0 0 0 169 0 0 2 344
Value creation, risk management, and real options 0 1 3 760 2 4 10 2,569
Volatility Components, Affine Restrictions and Non-Normal Innovations 0 0 0 67 1 1 4 213
Volatility Forecasting 0 2 6 940 5 8 25 1,188
Volatility Forecasting 0 0 2 533 0 1 10 838
Volatility forecasting 0 0 4 328 1 3 9 601
Which Volatility Model for Option Valuation? 0 0 1 619 0 3 6 1,557
Total Working Papers 9 36 198 23,655 84 259 874 68,891

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 1 7 30 481 8 25 89 1,298
Capturing Option Anomalies with a Variance-Dependent Pricing Kernel 1 2 9 34 1 2 17 94
Cointegration and Long-Horizon Forecasting 0 0 0 0 0 5 11 404
Correlation dynamics and international diversification benefits 0 0 0 24 2 5 15 84
Does realized skewness predict the cross-section of equity returns? 4 11 71 136 8 32 209 438
Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options 0 1 5 85 0 2 17 262
Evaluating Interval Forecasts 0 0 0 3 20 61 235 1,931
Evaluating Value-at-Risk Models with Desk-Level Data 0 5 16 86 6 15 46 219
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 2 39 5 11 30 210
From Inflation to Growth 0 0 0 28 0 0 2 78
Further Results on Forecasting and Model Selection under Asymmetric Loss 0 0 2 188 2 2 6 636
Horizon problems and extreme events in financial risk management 0 1 1 187 0 1 7 726
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 6 325 1 5 31 991
Illiquidity Premia in the Equity Options Market 0 0 0 0 1 4 9 9
Interest-Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk 0 0 0 0 0 1 1 1,025
Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach 1 2 11 67 3 13 42 193
Let's get "real" about using economic data 0 1 2 69 1 4 8 285
Market skewness risk and the cross section of stock returns 2 10 30 297 5 22 74 806
Nonlinear Kalman Filtering in Affine Term Structure Models 0 1 2 7 0 2 9 23
Oil volatility risk and expected stock returns 1 1 3 3 3 5 20 20
Optimal Prediction Under Asymmetric Loss 0 1 4 58 0 3 17 174
Option Valuation with Conditional Heteroskedasticity and Nonnormality 0 0 2 54 0 1 11 146
Option valuation with conditional skewness 1 2 6 178 3 8 16 400
Option valuation with long-run and short-run volatility components 1 2 7 251 4 9 25 815
Option valuation with observable volatility and jump dynamics 0 1 3 11 0 4 10 42
Option-Implied Measures of Equity Risk 0 0 3 52 2 5 14 133
Size matters: The impact of financial liberalization on individual firms 0 0 1 30 0 1 4 123
Testing and comparing Value-at-Risk measures 0 0 6 246 2 5 26 646
The Accuracy of Density Forecasts from Foreign Exchange Options 0 0 1 52 3 3 8 140
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 0 0 0 29 0 4 7 82
The Factor Structure in Equity Options 0 0 3 3 2 5 17 17
The Joint Dynamics of Equity Market Factors 0 0 1 9 2 4 7 45
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well 1 2 4 42 6 11 22 168
The importance of the loss function in option valuation 0 0 2 111 1 3 11 368
Towards a global financial architecture: capital mobility and risk management issues 0 0 0 42 0 0 2 188
Volatility Components, Affine Restrictions, and Nonnormal Innovations 0 0 0 30 0 0 3 108
Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices 0 0 4 36 4 16 24 153
Which GARCH Model for Option Valuation? 3 4 13 51 4 6 25 109
Total Journal Articles 16 54 250 3,344 99 305 1,127 13,589
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 0 4 6 9 4 19 91 126
Elements of Financial Risk Management 1 1 3 6 2 2 17 39
Total Books 1 5 9 15 6 21 108 165

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 2 2 7 35 2 7 30 111
Forecasting with Option-Implied Information 0 2 14 56 7 19 63 186
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 235 2 2 7 664
Volatility and Correlation Forecasting 3 7 36 545 9 39 134 1,893
Total Chapters 5 11 57 871 20 67 234 2,854

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Statistics updated 2019-09-09