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 1 5 8 1,377 1 13 37 4,543
Cointegration and Long-Horizon Forecasting 0 0 0 196 1 5 37 522
Cointegration and Long-Horizon Forecasting 0 0 0 549 1 4 12 1,759
Cointegration and long-horizon forecasting 0 0 0 618 1 5 9 1,585
Company Flexibility, the Value of Management and Managerial Compensation 0 0 0 151 0 4 9 797
Correlation Dynamics and International Diversification Benefits 0 0 0 92 0 2 14 155
Création de valeur, gestion de risque et options réelles 0 0 0 795 0 1 5 3,090
Dating the Turning Points of Nordic Business Cycles 0 0 0 193 1 2 6 588
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 1 2 13 0 3 14 109
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 1 12 0 1 12 98
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 1 423 1 2 15 984
Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore 0 0 0 103 0 1 8 305
Do Asset Prices in Transition Countries Contain Information About Future Economic Activity? 0 0 0 48 0 0 6 313
Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns? 0 0 3 177 4 14 42 649
Does Realized Skewness Predict the Cross-Section of Equity Returns? 0 0 4 153 3 9 28 456
Dynamic Diversification in Corporate Credit 0 0 0 45 0 3 8 111
Equity Portfolio Management Using Option Price Information 0 0 0 31 1 5 10 186
Estimation Risk in Financial Risk Management 0 0 1 1,140 1 4 38 3,409
Evaluating Value-at-Risk Models with Desk-Level Data 1 1 1 178 2 6 16 485
Evaluating Value-at-Risk models with desk-level data 0 0 3 339 0 4 18 933
Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options 0 1 1 112 1 2 7 239
Factor Structure in Commodity Futures Return and Volatility 0 0 2 80 1 4 20 190
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 230 5 9 22 697
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 1 213 1 5 18 611
Financial Asset Returns, Market Timing, and Volatility Dynamics 0 0 0 576 2 4 10 1,953
Financial Risk Measurement for Financial Risk Management 0 0 2 183 0 11 44 586
Financial Risk Measurement for Financial Risk Management 0 0 0 247 0 1 19 571
Financial Risk Measurement for Financial Risk Management 0 0 0 207 0 7 38 623
Financial asset returns, direction-of-change forecasting, and volatility dynamics 0 0 0 215 0 4 14 431
Forecasting with Option Implied Information 1 1 3 175 2 7 78 458
Forward-Looking Betas 1 1 2 155 2 5 19 576
From Inflation to Growth: Eight Years of Transition 0 0 0 302 1 4 8 925
GARCH Option Valuation: Theory and Evidence 0 0 2 225 2 3 15 468
Horizon Problems and Extreme Events in Financial Risk Management 0 0 1 514 1 3 17 1,759
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 597 0 9 21 1,602
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 790 1 8 18 2,813
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 333 1 5 10 924
Illiquidity Premia in the Equity Options Market 0 0 0 47 0 2 4 177
Illiquidity Premia in the Equity Options Market 0 0 0 58 2 3 13 270
Interest Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk 0 0 0 131 0 4 10 468
Is Poland Ready for Inflation Targeting? 0 0 0 215 0 0 9 683
Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach 0 0 0 55 1 4 16 259
Is the Potential for International Diversification Disappearing? 0 0 1 5 0 1 8 34
Let's Get "Real" About Using Economic Data 0 0 0 146 0 0 9 532
Let's Get "Real" about Using Economic Data 0 0 0 95 0 1 22 477
Let's Get "Real"" about Using Economic Data" 0 0 0 168 1 7 13 909
Market Skewness Risk and the Cross-Section of Stock Returns 0 0 1 60 0 4 26 160
Martingale Tests of Value-at-Risk 0 0 0 1 0 1 15 882
Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices 0 0 0 122 3 3 10 380
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 44 0 3 14 250
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 120 0 1 18 198
Oil Volatility Risk and Expected Stock Returns 0 0 1 69 1 3 18 193
Optimal Prediction Under Asymmetric Loss 0 0 0 127 1 3 12 453
Optimal Prediction Under Asymmetric Loss 0 0 0 259 1 2 12 1,094
Optimal Prediction Under Asymmetric Loss 0 0 0 77 2 3 20 381
Optimal prediction under asymmetric loss 0 0 4 297 2 4 28 1,049
Option Anomalies and the Pricing Kernel 0 0 0 12 0 5 14 80
Option Valuation with Conditional Heteroskedasticity and Non-Normality 0 1 1 36 0 4 27 182
Option Valuation with Conditional Heteroskedasticity and Non-Normality 0 0 0 82 0 0 7 292
Option Valuation with Conditional Skewness 0 0 0 666 1 5 12 2,918
Option Valuation with Long-run and Short-run Volatility Components 0 0 1 78 1 1 14 271
Option Valuation with Long-run and Short-run Volatility Components 0 0 1 329 0 4 18 1,021
Option Valuation with Observable Volatility and Jump Dynamics 0 0 1 16 0 6 15 107
Option Valuation with Observable Volatility and Jump Dynamics 0 0 0 21 0 5 11 92
Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels 0 0 0 32 0 2 6 118
Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk 0 0 0 41 1 2 10 148
Option-Implied Measures of Equity Risk 0 0 0 166 2 6 16 354
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 421 0 13 28 926
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 569 2 14 31 1,221
Practical volatility and correlation modeling for financial market risk management 0 0 0 397 1 3 18 872
Rare Disasters and Credit Market Puzzles 0 0 0 38 0 1 10 129
Size Matters: The Impact of Capital Market Liberalization on Individual Firms 0 0 0 189 0 0 7 1,097
Testing and Comparing Value-at-Risk Measures 0 0 0 2,082 1 3 24 5,311
Testing, Comparing, and Combining Value at Risk Measures 0 0 0 622 0 4 19 1,302
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 0 0 3 101 1 2 19 416
The Factor Structure in Equity Options 1 1 1 35 3 8 26 192
The Importance of the Loss Function in Option Pricing 0 1 1 198 0 5 13 859
The Importance of the Loss Function in Option Valuation 0 1 1 267 1 6 13 1,118
The Informational Content of Over-the-Counter Currency Options 0 0 0 225 1 4 15 1,112
The Joint Dynamics of Equity Market Factors 0 0 0 84 0 3 11 221
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well 2 2 4 256 6 10 29 663
The informational content of over-the-counter currency options 0 0 0 137 1 3 12 744
Time-Varying Crash Risk: The Role of Stock Market Liquidity 0 0 0 65 0 4 19 143
Time-Varying Jump Intensities and Fat Tail Dynamics: Evidence from S&P500 Returns and Options 0 0 1 2 0 2 7 94
Value Creation through Real Options Management 0 0 0 169 0 2 8 357
Value creation, risk management, and real options 0 0 0 764 0 0 4 2,602
Volatility Components, Affine Restrictions and Non-Normal Innovations 0 1 1 70 0 1 9 245
Volatility Forecasting 0 0 1 562 0 8 33 1,033
Volatility Forecasting 0 1 1 951 1 6 34 1,308
Volatility forecasting 0 0 1 339 1 5 26 761
Which Volatility Model for Option Valuation? 0 0 1 622 0 1 15 1,587
Total Working Papers 7 18 65 24,527 75 376 1,579 75,248

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 6 587 2 4 28 1,670
Beta Risk in the Cross-Section of Equities 0 0 0 9 2 5 18 68
Capturing Option Anomalies with a Variance-Dependent Pricing Kernel 0 3 9 84 1 7 25 211
Cointegration and Long-Horizon Forecasting 0 0 0 0 0 3 15 471
Correlation dynamics and international diversification benefits 0 0 3 49 0 6 38 225
Does realized skewness predict the cross-section of equity returns? 0 1 13 450 11 17 99 1,364
Dynamic Dependence and Diversification in Corporate Credit* 0 0 0 0 2 4 12 15
Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options 1 1 6 152 3 10 33 450
Estimation risk in financial risk management 0 0 1 2 0 4 18 21
Evaluating Interval Forecasts 0 0 0 3 23 87 185 2,939
Evaluating Value-at-Risk Models with Desk-Level Data 0 1 1 134 6 9 30 391
Factor Structure in Commodity Futures Return and Volatility 0 0 1 12 0 0 13 72
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 52 3 7 21 307
From Inflation to Growth 0 0 0 31 0 3 9 94
Further Results on Forecasting and Model Selection under Asymmetric Loss 0 0 0 194 1 2 8 665
Horizon problems and extreme events in financial risk management 0 0 1 191 0 5 24 781
How Relevant is Volatility Forecasting for Financial Risk Management? 1 1 2 349 2 9 19 1,133
Illiquidity Premia in the Equity Options Market 0 1 3 10 3 10 22 91
Interest-Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk 0 0 0 0 0 0 5 1,045
Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach 1 3 4 100 4 11 33 347
Let's get "real" about using economic data 0 0 0 73 2 3 13 329
Market skewness risk and the cross section of stock returns 1 2 6 419 5 8 32 1,165
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 11 0 8 20 74
Oil volatility risk and expected stock returns 1 1 2 19 1 3 19 138
Optimal Prediction Under Asymmetric Loss 0 0 0 72 5 7 21 268
Option Valuation with Conditional Heteroskedasticity and Nonnormality 0 0 1 82 1 1 10 233
Option valuation with conditional skewness 0 0 2 223 1 2 21 534
Option valuation with long-run and short-run volatility components 0 0 1 284 1 4 27 955
Option valuation with observable volatility and jump dynamics 0 0 0 21 0 3 15 102
Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk 0 0 1 14 0 2 24 83
Option-Implied Measures of Equity Risk 1 1 4 82 2 6 19 238
Rare Disasters, Credit, and Option Market Puzzles 0 0 0 1 1 2 11 18
Size matters: The impact of financial liberalization on individual firms 0 0 0 33 0 5 40 181
Testing and comparing Value-at-Risk measures 0 0 1 270 1 1 16 734
The Accuracy of Density Forecasts from Foreign Exchange Options 0 0 0 58 2 3 13 180
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 0 2 2 38 0 5 10 125
The Factor Structure in Equity Options 0 1 5 18 2 9 39 103
The Joint Dynamics of Equity Market Factors 0 0 0 11 0 3 13 80
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well 1 3 6 87 7 15 33 313
The State Price Density Implied by Crude Oil Futures and Option Prices 2 2 5 21 4 5 21 57
The importance of the loss function in option valuation 0 2 3 144 1 8 25 508
Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity* 0 0 0 4 0 2 3 19
Towards a global financial architecture: capital mobility and risk management issues 0 0 0 44 0 0 17 221
Volatility Components, Affine Restrictions, and Nonnormal Innovations 0 0 0 32 1 6 10 136
Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices 0 0 3 72 0 2 18 251
Which GARCH Model for Option Valuation? 0 0 6 87 0 0 23 223
Total Journal Articles 9 26 98 4,629 100 316 1,168 19,628
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 2 2 39 0 8 33 237
Elements of Financial Risk Management 1 2 3 46 2 8 47 430
Total Books 1 4 5 85 2 16 80 667

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 62 1 16 60 396
Forecasting with Option-Implied Information 0 0 5 123 2 8 128 571
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 1 251 1 10 26 790
Value–at–Risk Models 0 0 0 0 0 2 5 5
Volatility and Correlation Forecasting 2 6 12 690 8 21 92 2,440
Total Chapters 2 6 20 1,126 12 57 311 4,202

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Statistics updated 2026-07-10