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 1 1,369 3 6 9 4,510
Cointegration and Long-Horizon Forecasting 0 0 0 196 1 2 3 486
Cointegration and Long-Horizon Forecasting 0 0 0 549 0 2 5 1,749
Cointegration and long-horizon forecasting 0 0 1 618 0 0 4 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 1 1 5 142
Création de valeur, gestion de risque et options réelles 0 0 0 795 0 0 5 3,085
Dating the Turning Points of Nordic Business Cycles 0 0 0 193 0 0 0 582
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 0 422 1 1 3 970
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 0 11 0 0 3 95
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 1 11 0 0 3 86
Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore 0 0 2 103 0 1 6 298
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? 0 0 5 174 0 2 8 609
Does Realized Skewness Predict the Cross-Section of Equity Returns? 0 1 5 150 1 3 23 430
Dynamic Diversification in Corporate Credit 0 0 0 45 0 0 1 103
Equity Portfolio Management Using Option Price Information 0 0 0 31 0 0 2 176
Estimation Risk in Financial Risk Management 0 0 3 1,139 1 6 16 3,375
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 0 177 0 0 1 469
Evaluating Value-at-Risk models with desk-level data 0 0 2 336 0 1 7 916
Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options 0 0 0 111 0 1 4 233
Factor Structure in Commodity Futures Return and Volatility 0 1 1 79 1 2 4 172
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 1 3 212 1 3 7 594
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 1 230 1 3 6 676
Financial Asset Returns, Market Timing, and Volatility Dynamics 0 0 0 576 0 0 2 1,943
Financial Risk Measurement for Financial Risk Management 0 0 1 207 0 0 4 585
Financial Risk Measurement for Financial Risk Management 0 0 3 181 1 3 14 544
Financial Risk Measurement for Financial Risk Management 0 0 0 247 1 1 5 553
Financial asset returns, direction-of-change forecasting, and volatility dynamics 0 0 1 215 0 0 1 417
Forecasting with Option Implied Information 0 2 3 172 0 3 10 380
Forward-Looking Betas 0 1 2 153 1 3 7 559
From Inflation to Growth: Eight Years of Transition 0 0 0 302 1 1 2 918
GARCH Option Valuation: Theory and Evidence 0 1 1 223 2 4 15 456
Horizon Problems and Extreme Events in Financial Risk Management 0 0 1 513 1 1 5 1,743
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 1 333 0 0 1 914
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 597 1 1 2 1,582
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 790 2 3 4 2,798
Illiquidity Premia in the Equity Options Market 0 0 0 58 0 0 2 257
Illiquidity Premia in the Equity Options Market 0 0 0 47 1 1 4 174
Interest Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk 0 0 0 131 0 0 1 458
Is Poland Ready for Inflation Targeting? 0 0 0 215 1 1 2 675
Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach 0 0 1 55 1 1 10 244
Is the Potential for International Diversification Disappearing? 0 0 0 4 0 1 2 27
Let's Get "Real" About Using Economic Data 0 0 0 146 0 0 2 523
Let's Get "Real" about Using Economic Data 0 0 0 95 0 0 2 455
Let's Get "Real"" about Using Economic Data" 0 0 0 168 1 1 3 897
Market Skewness Risk and the Cross-Section of Stock Returns 0 0 1 59 0 4 5 138
Martingale Tests of Value-at-Risk 0 0 0 1 0 0 1 867
Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices 0 0 0 122 1 2 3 371
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 44 0 0 3 236
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 120 0 0 1 180
Oil Volatility Risk and Expected Stock Returns 1 1 2 69 2 5 8 177
Optimal Prediction Under Asymmetric Loss 0 0 0 77 0 4 7 361
Optimal Prediction Under Asymmetric Loss 0 0 0 127 0 0 5 441
Optimal Prediction Under Asymmetric Loss 0 0 0 259 0 0 0 1,082
Optimal prediction under asymmetric loss 0 0 1 293 0 1 5 1,021
Option Anomalies and the Pricing Kernel 0 0 1 12 0 0 1 66
Option Valuation with Conditional Heteroskedasticity and Non-Normality 0 0 2 35 0 0 3 155
Option Valuation with Conditional Heteroskedasticity and Non-Normality 0 0 0 82 0 0 1 285
Option Valuation with Conditional Skewness 0 0 2 666 1 1 6 2,907
Option Valuation with Long-run and Short-run Volatility Components 1 1 1 78 1 3 4 260
Option Valuation with Long-run and Short-run Volatility Components 0 0 1 328 5 5 9 1,008
Option Valuation with Observable Volatility and Jump Dynamics 0 0 0 15 0 0 0 92
Option Valuation with Observable Volatility and Jump Dynamics 0 0 0 21 0 0 0 81
Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels 0 0 0 32 0 1 1 113
Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk 0 0 0 41 0 0 1 138
Option-Implied Measures of Equity Risk 0 0 4 166 0 2 8 339
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 2 421 0 0 6 898
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 569 0 0 0 1,190
Practical volatility and correlation modeling for financial market risk management 0 0 2 397 0 0 5 854
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 4 1,091
Testing and Comparing Value-at-Risk Measures 0 0 1 2,082 0 1 7 5,288
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 2 2 99 1 5 9 400
The Factor Structure in Equity Options 0 1 1 34 0 1 2 166
The Importance of the Loss Function in Option Pricing 0 0 0 197 1 1 2 847
The Importance of the Loss Function in Option Valuation 0 0 1 266 0 1 6 1,105
The Informational Content of Over-the-Counter Currency Options 0 0 0 225 0 0 1 1,097
The Joint Dynamics of Equity Market Factors 0 0 0 84 0 1 3 211
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well 0 0 1 252 0 0 4 634
The informational content of over-the-counter currency options 0 0 0 137 0 0 1 732
Time-Varying Crash Risk: The Role of Stock Market Liquidity 0 0 1 65 0 4 8 125
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 1 764 1 1 2 2,599
Volatility Components, Affine Restrictions and Non-Normal Innovations 0 0 0 69 0 0 0 236
Volatility Forecasting 0 0 0 950 3 3 9 1,277
Volatility Forecasting 0 0 3 561 0 1 8 1,001
Volatility forecasting 0 0 3 338 0 0 6 735
Which Volatility Model for Option Valuation? 0 0 0 621 0 0 0 1,572
Total Working Papers 2 12 75 24,467 41 107 381 73,743


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 2 581 0 3 13 1,643
Beta Risk in the Cross-Section of Equities 0 0 0 9 2 3 6 52
Capturing Option Anomalies with a Variance-Dependent Pricing Kernel 0 1 4 75 0 1 6 186
Cointegration and Long-Horizon Forecasting 0 0 0 0 0 0 3 456
Correlation dynamics and international diversification benefits 0 0 2 46 2 3 23 189
Does realized skewness predict the cross-section of equity returns? 0 2 33 437 5 11 92 1,271
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 0 1 7 147 0 3 16 419
Estimation risk in financial risk management 0 0 1 1 1 1 4 4
Evaluating Interval Forecasts 0 0 0 3 3 12 83 2,761
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 2 133 1 2 11 362
Factor Structure in Commodity Futures Return and Volatility 0 1 1 12 0 1 3 60
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 1 52 1 2 8 288
From Inflation to Growth 0 0 0 31 0 1 1 86
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 1 1 2 758
How Relevant is Volatility Forecasting for Financial Risk Management? 0 1 3 347 0 3 8 1,115
Illiquidity Premia in the Equity Options Market 0 1 1 8 0 1 2 70
Interest-Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk 0 0 0 0 0 0 1 1,040
Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach 0 0 0 96 2 3 12 317
Let's get "real" about using economic data 0 0 1 73 0 1 3 317
Market skewness risk and the cross section of stock returns 0 0 4 413 0 4 21 1,136
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 2 11 0 0 3 54
Oil volatility risk and expected stock returns 0 0 4 17 2 4 13 121
Optimal Prediction Under Asymmetric Loss 0 0 1 72 0 1 3 248
Option Valuation with Conditional Heteroskedasticity and Nonnormality 0 0 6 81 0 1 15 223
Option valuation with conditional skewness 0 0 3 221 1 2 6 515
Option valuation with long-run and short-run volatility components 0 0 2 283 1 1 5 929
Option valuation with observable volatility and jump dynamics 0 0 0 21 0 0 2 87
Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk 0 1 1 13 0 2 7 60
Option-Implied Measures of Equity Risk 0 0 2 78 1 5 11 220
Rare Disasters, Credit, and Option Market Puzzles 0 0 0 1 0 0 0 7
Size matters: The impact of financial liberalization on individual firms 0 0 0 33 0 0 2 141
Testing and comparing Value-at-Risk measures 0 0 6 269 1 2 11 719
The Accuracy of Density Forecasts from Foreign Exchange Options 0 0 1 58 0 0 5 167
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 0 0 1 36 0 0 5 115
The Factor Structure in Equity Options 1 1 1 14 1 1 6 65
The Joint Dynamics of Equity Market Factors 0 0 1 11 1 1 3 68
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well 0 0 2 81 2 3 14 283
The State Price Density Implied by Crude Oil Futures and Option Prices 0 0 4 16 1 1 10 37
The importance of the loss function in option valuation 1 1 3 142 1 2 12 484
Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity* 0 0 1 4 0 0 6 16
Towards a global financial architecture: capital mobility and risk management issues 0 0 0 44 0 1 1 205
Volatility Components, Affine Restrictions, and Nonnormal Innovations 0 0 0 32 0 2 2 127
Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices 0 2 5 71 2 4 12 237
Which GARCH Model for Option Valuation? 2 4 6 84 3 6 12 205
Total Journal Articles 4 17 114 4,541 35 95 484 18,523
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 0 6 43 1 7 30 385
Elements of Financial Risk Management 0 1 5 37 0 1 15 204
Total Books 0 1 11 80 1 8 45 589


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 3 60 3 5 23 341
Forecasting with Option-Implied Information 1 2 10 120 1 7 35 448
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 1 250 0 1 3 765
Volatility and Correlation Forecasting 0 2 11 679 3 11 39 2,355
Total Chapters 1 4 25 1,109 7 24 100 3,909


Statistics updated 2025-09-05