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 1 3 1,372 2 6 27 4,530
Cointegration and Long-Horizon Forecasting 0 0 0 549 0 2 8 1,755
Cointegration and Long-Horizon Forecasting 0 0 0 196 1 13 33 517
Cointegration and long-horizon forecasting 0 0 1 618 0 2 5 1,580
Company Flexibility, the Value of Management and Managerial Compensation 0 0 0 151 0 4 5 793
Correlation Dynamics and International Diversification Benefits 0 0 0 92 0 5 12 153
Création de valeur, gestion de risque et options réelles 0 0 0 795 0 0 4 3,089
Dating the Turning Points of Nordic Business Cycles 0 0 0 193 0 2 4 586
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 1 1 1 12 1 8 11 97
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 1 1 423 3 8 13 982
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 1 1 1 12 3 8 12 106
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 6 10 304
Do Asset Prices in Transition Countries Contain Information About Future Economic Activity? 0 0 0 48 0 3 6 313
Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns? 1 1 4 177 7 22 29 635
Does Realized Skewness Predict the Cross-Section of Equity Returns? 2 3 4 153 4 12 21 447
Dynamic Diversification in Corporate Credit 0 0 0 45 2 4 5 108
Equity Portfolio Management Using Option Price Information 0 0 0 31 0 3 5 181
Estimation Risk in Financial Risk Management 1 1 1 1,140 3 19 39 3,405
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 0 177 0 1 10 479
Evaluating Value-at-Risk models with desk-level data 0 0 3 339 1 3 14 929
Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options 0 0 0 111 0 2 5 237
Factor Structure in Commodity Futures Return and Volatility 0 0 2 80 1 5 16 186
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 230 3 5 15 688
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 2 213 1 7 15 606
Financial Asset Returns, Market Timing, and Volatility Dynamics 0 0 0 576 1 6 6 1,949
Financial Risk Measurement for Financial Risk Management 0 0 0 247 1 2 18 570
Financial Risk Measurement for Financial Risk Management 0 0 0 207 1 10 32 616
Financial Risk Measurement for Financial Risk Management 1 1 3 183 4 12 36 575
Financial asset returns, direction-of-change forecasting, and volatility dynamics 0 0 1 215 0 3 11 427
Forecasting with Option Implied Information 1 1 4 174 6 24 76 451
Forward-Looking Betas 0 1 2 154 0 6 16 571
From Inflation to Growth: Eight Years of Transition 0 0 0 302 1 3 5 921
GARCH Option Valuation: Theory and Evidence 0 1 3 225 0 6 15 465
Horizon Problems and Extreme Events in Financial Risk Management 0 0 1 514 0 6 15 1,756
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 597 1 7 12 1,593
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 790 0 4 10 2,805
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 1 333 1 4 6 919
Illiquidity Premia in the Equity Options Market 0 0 0 47 0 0 2 175
Illiquidity Premia in the Equity Options Market 0 0 0 58 1 3 10 267
Interest Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk 0 0 0 131 0 5 6 464
Is Poland Ready for Inflation Targeting? 0 0 0 215 0 3 9 683
Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach 0 0 0 55 0 5 12 255
Is the Potential for International Diversification Disappearing? 0 0 1 5 0 1 8 33
Let's Get "Real" About Using Economic Data 0 0 0 146 0 4 9 532
Let's Get "Real" about Using Economic Data 0 0 0 95 3 18 22 476
Let's Get "Real"" about Using Economic Data" 0 0 0 168 0 3 6 902
Market Skewness Risk and the Cross-Section of Stock Returns 1 1 1 60 3 11 22 156
Martingale Tests of Value-at-Risk 0 0 0 1 3 10 14 881
Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices 0 0 0 122 1 2 8 377
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 120 3 7 17 197
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 44 0 8 11 247
Oil Volatility Risk and Expected Stock Returns 0 0 1 69 0 11 18 190
Optimal Prediction Under Asymmetric Loss 0 0 0 127 0 1 11 450
Optimal Prediction Under Asymmetric Loss 0 0 0 259 1 6 10 1,092
Optimal Prediction Under Asymmetric Loss 0 0 0 77 3 9 21 378
Optimal prediction under asymmetric loss 0 2 4 297 3 10 25 1,045
Option Anomalies and the Pricing Kernel 0 0 1 12 3 5 10 75
Option Valuation with Conditional Heteroskedasticity and Non-Normality 0 0 2 35 3 19 25 178
Option Valuation with Conditional Heteroskedasticity and Non-Normality 0 0 0 82 0 4 7 292
Option Valuation with Conditional Skewness 0 0 1 666 0 5 11 2,913
Option Valuation with Long-run and Short-run Volatility Components 0 1 1 329 0 6 14 1,017
Option Valuation with Long-run and Short-run Volatility Components 0 0 1 78 1 9 13 270
Option Valuation with Observable Volatility and Jump Dynamics 0 0 0 21 0 5 6 87
Option Valuation with Observable Volatility and Jump Dynamics 0 0 1 16 0 3 9 101
Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels 0 0 0 32 0 2 4 116
Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk 0 0 0 41 3 6 8 146
Option-Implied Measures of Equity Risk 0 0 0 166 0 4 11 348
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 421 2 5 15 913
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 569 0 9 17 1,207
Practical volatility and correlation modeling for financial market risk management 0 0 2 397 0 4 18 869
Rare Disasters and Credit Market Puzzles 0 0 0 38 0 8 9 128
Size Matters: The Impact of Capital Market Liberalization on Individual Firms 0 0 0 189 0 5 9 1,097
Testing and Comparing Value-at-Risk Measures 0 0 0 2,082 3 9 22 5,308
Testing, Comparing, and Combining Value at Risk Measures 0 0 0 622 1 8 15 1,298
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 0 0 4 101 1 3 19 414
The Factor Structure in Equity Options 0 0 1 34 2 12 19 184
The Importance of the Loss Function in Option Pricing 0 0 0 197 1 3 8 854
The Importance of the Loss Function in Option Valuation 0 0 0 266 2 5 8 1,112
The Informational Content of Over-the-Counter Currency Options 0 0 0 225 0 9 12 1,108
The Joint Dynamics of Equity Market Factors 0 0 0 84 1 4 9 218
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well 0 1 3 254 1 11 21 653
The informational content of over-the-counter currency options 0 0 0 137 0 9 9 741
Time-Varying Crash Risk: The Role of Stock Market Liquidity 0 0 0 65 2 7 18 139
Time-Varying Jump Intensities and Fat Tail Dynamics: Evidence from S&P500 Returns and Options 0 0 1 2 0 3 5 92
Value Creation through Real Options Management 0 0 0 169 0 4 6 355
Value creation, risk management, and real options 0 0 1 764 0 1 5 2,602
Volatility Components, Affine Restrictions and Non-Normal Innovations 0 0 0 69 1 5 8 244
Volatility Forecasting 0 0 0 950 6 14 29 1,302
Volatility Forecasting 0 0 1 562 2 13 25 1,025
Volatility forecasting 0 1 2 339 1 13 22 756
Which Volatility Model for Option Valuation? 0 0 1 622 1 6 14 1,586
Total Working Papers 10 19 70 24,509 106 598 1,283 74,872

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 2 7 586 3 10 29 1,666
Beta Risk in the Cross-Section of Equities 0 0 0 9 2 7 14 63
Capturing Option Anomalies with a Variance-Dependent Pricing Kernel 3 5 7 81 5 12 19 204
Cointegration and Long-Horizon Forecasting 0 0 0 0 4 7 13 468
Correlation dynamics and international diversification benefits 0 1 4 49 0 10 38 219
Does realized skewness predict the cross-section of equity returns? 0 3 16 449 5 22 94 1,347
Dynamic Dependence and Diversification in Corporate Credit* 0 0 0 0 2 5 8 11
Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options 2 4 8 151 3 13 29 440
Estimation risk in financial risk management 1 1 2 2 3 11 15 17
Evaluating Interval Forecasts 0 0 0 3 23 50 112 2,852
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 0 133 1 12 24 382
Factor Structure in Commodity Futures Return and Volatility 0 0 1 12 0 2 14 72
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 52 0 8 15 300
From Inflation to Growth 0 0 0 31 0 1 6 91
Further Results on Forecasting and Model Selection under Asymmetric Loss 0 0 0 194 1 2 6 663
Horizon problems and extreme events in financial risk management 0 0 1 191 0 12 19 776
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 2 348 0 6 13 1,124
Illiquidity Premia in the Equity Options Market 1 1 2 9 3 5 12 81
Interest-Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk 0 0 0 0 0 2 5 1,045
Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach 1 1 1 97 5 13 25 336
Let's get "real" about using economic data 0 0 0 73 2 6 10 326
Market skewness risk and the cross section of stock returns 0 0 6 417 5 12 27 1,157
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 11 3 10 12 66
Oil volatility risk and expected stock returns 0 0 2 18 1 7 20 135
Optimal Prediction Under Asymmetric Loss 0 0 0 72 3 9 14 261
Option Valuation with Conditional Heteroskedasticity and Nonnormality 0 1 2 82 0 6 14 232
Option valuation with conditional skewness 0 1 4 223 1 4 22 532
Option valuation with long-run and short-run volatility components 0 0 1 284 1 16 23 951
Option valuation with observable volatility and jump dynamics 0 0 0 21 1 6 13 99
Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk 0 0 2 14 4 16 24 81
Option-Implied Measures of Equity Risk 1 3 3 81 2 8 18 232
Rare Disasters, Credit, and Option Market Puzzles 0 0 0 1 2 7 9 16
Size matters: The impact of financial liberalization on individual firms 0 0 0 33 7 33 35 176
Testing and comparing Value-at-Risk measures 0 0 2 270 1 5 17 733
The Accuracy of Density Forecasts from Foreign Exchange Options 0 0 0 58 0 5 11 177
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 0 0 0 36 0 4 7 120
The Factor Structure in Equity Options 1 2 4 17 3 19 33 94
The Joint Dynamics of Equity Market Factors 0 0 1 11 1 8 12 77
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well 0 1 3 84 1 6 20 298
The State Price Density Implied by Crude Oil Futures and Option Prices 1 1 3 19 2 7 16 52
The importance of the loss function in option valuation 0 0 1 142 1 4 19 500
Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity* 0 0 0 4 0 1 3 17
Towards a global financial architecture: capital mobility and risk management issues 0 0 0 44 4 12 17 221
Volatility Components, Affine Restrictions, and Nonnormal Innovations 0 0 0 32 0 3 5 130
Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices 0 1 3 72 2 5 17 249
Which GARCH Model for Option Valuation? 0 0 8 87 3 7 26 223
Total Journal Articles 12 28 96 4,603 110 436 954 19,312
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 1 37 0 12 29 229
Elements of Financial Risk Management 0 1 5 44 1 21 53 422
Total Books 0 1 6 81 1 33 82 651

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 62 2 16 47 380
Forecasting with Option-Implied Information 0 1 7 123 7 49 128 563
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 1 251 3 10 16 780
Value–at–Risk Models 0 0 0 0 1 3 3 3
Volatility and Correlation Forecasting 1 3 8 684 7 33 80 2,419
Total Chapters 1 5 18 1,120 20 111 274 4,145

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Statistics updated 2026-04-09