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 0 2 1,371 1 10 25 4,528
Cointegration and Long-Horizon Forecasting 0 0 0 196 1 24 32 516
Cointegration and Long-Horizon Forecasting 0 0 0 549 0 4 8 1,755
Cointegration and long-horizon forecasting 0 0 1 618 1 2 5 1,580
Company Flexibility, the Value of Management and Managerial Compensation 0 0 0 151 0 5 5 793
Correlation Dynamics and International Diversification Benefits 0 0 0 92 1 6 12 153
Création de valeur, gestion de risque et options réelles 0 0 0 795 0 2 5 3,089
Dating the Turning Points of Nordic Business Cycles 0 0 0 193 1 3 4 586
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 1 1 423 1 8 10 979
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 1 11 0 8 11 96
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 0 11 0 7 9 103
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 1 6 10 304
Do Asset Prices in Transition Countries Contain Information About Future Economic Activity? 0 0 0 48 1 4 6 313
Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns? 0 1 3 176 8 18 23 628
Does Realized Skewness Predict the Cross-Section of Equity Returns? 0 1 2 151 1 8 18 443
Dynamic Diversification in Corporate Credit 0 0 0 45 0 2 3 106
Equity Portfolio Management Using Option Price Information 0 0 0 31 1 4 5 181
Estimation Risk in Financial Risk Management 0 0 1 1,139 5 17 38 3,402
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 0 177 0 4 10 479
Evaluating Value-at-Risk models with desk-level data 0 2 3 339 0 6 13 928
Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options 0 0 0 111 1 3 5 237
Factor Structure in Commodity Futures Return and Volatility 0 0 2 80 3 9 15 185
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 2 213 0 9 15 605
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 230 1 5 12 685
Financial Asset Returns, Market Timing, and Volatility Dynamics 0 0 0 576 3 5 6 1,948
Financial Risk Measurement for Financial Risk Management 0 0 0 207 1 23 32 615
Financial Risk Measurement for Financial Risk Management 0 0 3 182 3 16 33 571
Financial Risk Measurement for Financial Risk Management 0 0 0 247 0 8 17 569
Financial asset returns, direction-of-change forecasting, and volatility dynamics 0 0 1 215 2 5 11 427
Forecasting with Option Implied Information 0 0 3 173 6 54 70 445
Forward-Looking Betas 0 1 2 154 0 8 16 571
From Inflation to Growth: Eight Years of Transition 0 0 0 302 0 2 4 920
GARCH Option Valuation: Theory and Evidence 0 1 3 225 1 6 15 465
Horizon Problems and Extreme Events in Financial Risk Management 0 0 1 514 4 9 15 1,756
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 790 0 6 10 2,805
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 597 3 7 11 1,592
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 1 333 1 4 5 918
Illiquidity Premia in the Equity Options Market 0 0 0 58 0 5 10 266
Illiquidity Premia in the Equity Options Market 0 0 0 47 0 0 2 175
Interest Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk 0 0 0 131 0 6 6 464
Is Poland Ready for Inflation Targeting? 0 0 0 215 0 4 9 683
Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach 0 0 0 55 0 9 13 255
Is the Potential for International Diversification Disappearing? 0 1 1 5 0 5 8 33
Let's Get "Real" About Using Economic Data 0 0 0 146 1 6 9 532
Let's Get "Real" about Using Economic Data 0 0 0 95 5 15 19 473
Let's Get "Real"" about Using Economic Data" 0 0 0 168 1 4 6 902
Market Skewness Risk and the Cross-Section of Stock Returns 0 0 0 59 2 9 19 153
Martingale Tests of Value-at-Risk 0 0 0 1 1 10 11 878
Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices 0 0 0 122 1 4 7 376
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 44 0 10 12 247
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 120 2 6 14 194
Oil Volatility Risk and Expected Stock Returns 0 0 1 69 1 12 18 190
Optimal Prediction Under Asymmetric Loss 0 0 0 259 1 8 9 1,091
Optimal Prediction Under Asymmetric Loss 0 0 0 127 1 6 11 450
Optimal Prediction Under Asymmetric Loss 0 0 0 77 0 10 18 375
Optimal prediction under asymmetric loss 2 3 4 297 3 11 22 1,042
Option Anomalies and the Pricing Kernel 0 0 1 12 0 4 7 72
Option Valuation with Conditional Heteroskedasticity and Non-Normality 0 0 0 82 1 5 7 292
Option Valuation with Conditional Heteroskedasticity and Non-Normality 0 0 2 35 8 16 22 175
Option Valuation with Conditional Skewness 0 0 1 666 2 6 11 2,913
Option Valuation with Long-run and Short-run Volatility Components 0 0 1 78 1 8 12 269
Option Valuation with Long-run and Short-run Volatility Components 1 1 2 329 1 6 17 1,017
Option Valuation with Observable Volatility and Jump Dynamics 0 0 0 21 1 5 6 87
Option Valuation with Observable Volatility and Jump Dynamics 0 1 1 16 0 4 9 101
Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels 0 0 0 32 1 2 4 116
Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk 0 0 0 41 2 4 5 143
Option-Implied Measures of Equity Risk 0 0 0 166 0 7 11 348
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 1 421 1 8 14 911
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 569 6 11 17 1,207
Practical volatility and correlation modeling for financial market risk management 0 0 2 397 0 6 18 869
Rare Disasters and Credit Market Puzzles 0 0 0 38 3 8 9 128
Size Matters: The Impact of Capital Market Liberalization on Individual Firms 0 0 0 189 1 5 9 1,097
Testing and Comparing Value-at-Risk Measures 0 0 0 2,082 0 9 21 5,305
Testing, Comparing, and Combining Value at Risk Measures 0 0 0 622 2 9 14 1,297
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 0 0 4 101 1 5 18 413
The Factor Structure in Equity Options 0 0 1 34 2 13 17 182
The Importance of the Loss Function in Option Pricing 0 0 0 197 0 4 7 853
The Importance of the Loss Function in Option Valuation 0 0 0 266 0 4 8 1,110
The Informational Content of Over-the-Counter Currency Options 0 0 0 225 3 11 12 1,108
The Joint Dynamics of Equity Market Factors 0 0 0 84 0 3 8 217
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well 0 1 3 254 5 13 20 652
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 1 6 16 137
Time-Varying Jump Intensities and Fat Tail Dynamics: Evidence from S&P500 Returns and Options 0 0 1 2 0 4 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 3 5 7 243
Volatility Forecasting 0 0 0 950 3 10 24 1,296
Volatility Forecasting 0 0 1 562 5 16 23 1,023
Volatility forecasting 0 1 2 339 4 20 22 755
Which Volatility Model for Option Valuation? 0 0 1 622 0 7 13 1,585
Total Working Papers 3 15 65 24,499 128 725 1,200 74,766

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 6 585 3 8 26 1,663
Beta Risk in the Cross-Section of Equities 0 0 0 9 3 9 12 61
Capturing Option Anomalies with a Variance-Dependent Pricing Kernel 2 3 5 78 5 9 15 199
Cointegration and Long-Horizon Forecasting 0 0 0 0 1 5 9 464
Correlation dynamics and international diversification benefits 0 1 4 49 3 23 41 219
Does realized skewness predict the cross-section of equity returns? 1 4 16 449 9 43 89 1,342
Dynamic Dependence and Diversification in Corporate Credit* 0 0 0 0 0 4 6 9
Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options 1 2 6 149 5 10 27 437
Estimation risk in financial risk management 0 0 1 1 4 8 12 14
Evaluating Interval Forecasts 0 0 0 3 12 38 92 2,829
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 0 133 3 14 23 381
Factor Structure in Commodity Futures Return and Volatility 0 0 1 12 1 5 14 72
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 52 3 10 16 300
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 0 4 5 662
Horizon problems and extreme events in financial risk management 0 0 1 191 6 13 19 776
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 2 348 2 7 13 1,124
Illiquidity Premia in the Equity Options Market 0 0 1 8 0 5 10 78
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 0 0 0 96 3 8 21 331
Let's get "real" about using economic data 0 0 0 73 0 5 8 324
Market skewness risk and the cross section of stock returns 0 2 6 417 2 10 23 1,152
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 11 3 7 9 63
Oil volatility risk and expected stock returns 0 1 2 18 1 9 19 134
Optimal Prediction Under Asymmetric Loss 0 0 0 72 1 8 11 258
Option Valuation with Conditional Heteroskedasticity and Nonnormality 1 1 2 82 3 6 14 232
Option valuation with conditional skewness 0 1 4 223 0 6 21 531
Option valuation with long-run and short-run volatility components 0 0 1 284 5 16 23 950
Option valuation with observable volatility and jump dynamics 0 0 0 21 1 7 12 98
Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk 0 1 2 14 3 14 22 77
Option-Implied Measures of Equity Risk 1 2 2 80 1 9 17 230
Rare Disasters, Credit, and Option Market Puzzles 0 0 0 1 1 5 7 14
Size matters: The impact of financial liberalization on individual firms 0 0 0 33 7 27 28 169
Testing and comparing Value-at-Risk measures 0 1 2 270 2 10 16 732
The Accuracy of Density Forecasts from Foreign Exchange Options 0 0 1 58 2 8 12 177
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 0 0 0 36 1 4 7 120
The Factor Structure in Equity Options 0 2 3 16 10 21 30 91
The Joint Dynamics of Equity Market Factors 0 0 1 11 2 7 11 76
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well 1 2 4 84 4 6 21 297
The State Price Density Implied by Crude Oil Futures and Option Prices 0 1 3 18 4 9 15 50
The importance of the loss function in option valuation 0 0 1 142 1 7 20 499
Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity* 0 0 0 4 0 1 4 17
Towards a global financial architecture: capital mobility and risk management issues 0 0 0 44 1 10 13 217
Volatility Components, Affine Restrictions, and Nonnormal Innovations 0 0 0 32 2 3 5 130
Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices 0 1 3 72 1 6 15 247
Which GARCH Model for Option Valuation? 0 0 8 87 2 5 23 220
Total Journal Articles 8 27 88 4,591 123 452 867 19,202
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 4 19 32 229
Elements of Financial Risk Management 1 1 6 44 13 25 58 421
Total Books 1 1 7 81 17 44 90 650

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 1 2 3 62 2 32 47 378
Forecasting with Option-Implied Information 1 1 7 123 22 97 121 556
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 1 1 251 1 10 13 777
Value–at–Risk Models 0 0 0 0 1 2 2 2
Volatility and Correlation Forecasting 2 2 7 683 10 45 73 2,412
Total Chapters 4 6 18 1,119 36 186 256 4,125

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Statistics updated 2026-03-04