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 2 1,371 6 12 21 4,524
Cointegration and Long-Horizon Forecasting 0 0 0 196 12 16 20 504
Cointegration and Long-Horizon Forecasting 0 0 0 549 2 4 8 1,753
Cointegration and long-horizon forecasting 0 0 1 618 0 1 5 1,578
Company Flexibility, the Value of Management and Managerial Compensation 0 0 0 151 1 1 1 789
Correlation Dynamics and International Diversification Benefits 0 0 0 92 1 5 7 148
Création de valeur, gestion de risque et options réelles 0 0 0 795 2 3 7 3,089
Dating the Turning Points of Nordic Business Cycles 0 0 0 193 1 2 2 584
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 1 11 1 2 5 89
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 0 11 2 3 6 98
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 0 422 3 4 6 974
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 0 5 298
Do Asset Prices in Transition Countries Contain Information About Future Economic Activity? 0 0 0 48 1 3 3 310
Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns? 1 2 4 176 3 4 9 613
Does Realized Skewness Predict the Cross-Section of Equity Returns? 0 0 1 150 0 5 11 435
Dynamic Diversification in Corporate Credit 0 0 0 45 0 1 2 104
Equity Portfolio Management Using Option Price Information 0 0 0 31 1 2 3 178
Estimation Risk in Financial Risk Management 0 0 3 1,139 1 8 25 3,386
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 0 177 3 8 10 478
Evaluating Value-at-Risk models with desk-level data 2 3 4 339 4 8 13 926
Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options 0 0 0 111 1 2 5 235
Factor Structure in Commodity Futures Return and Volatility 0 1 2 80 5 9 12 181
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 230 3 7 11 683
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 1 3 213 3 5 11 599
Financial Asset Returns, Market Timing, and Volatility Dynamics 0 0 0 576 0 0 1 1,943
Financial Risk Measurement for Financial Risk Management 0 0 0 247 7 14 18 568
Financial Risk Measurement for Financial Risk Management 0 0 3 182 8 16 29 563
Financial Risk Measurement for Financial Risk Management 0 0 1 207 14 19 24 606
Financial asset returns, direction-of-change forecasting, and volatility dynamics 0 0 1 215 2 7 8 424
Forecasting with Option Implied Information 0 1 3 173 36 46 55 427
Forward-Looking Betas 0 0 1 153 2 6 11 565
From Inflation to Growth: Eight Years of Transition 0 0 0 302 0 0 2 918
GARCH Option Valuation: Theory and Evidence 0 1 2 224 0 3 12 459
Horizon Problems and Extreme Events in Financial Risk Management 0 1 1 514 3 7 10 1,750
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 597 1 4 6 1,586
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 1 333 1 1 2 915
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 790 2 3 7 2,801
Illiquidity Premia in the Equity Options Market 0 0 0 47 0 0 4 175
Illiquidity Premia in the Equity Options Market 0 0 0 58 3 6 9 264
Interest Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk 0 0 0 131 1 1 2 459
Is Poland Ready for Inflation Targeting? 0 0 0 215 1 5 6 680
Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach 0 0 1 55 4 6 9 250
Is the Potential for International Diversification Disappearing? 1 1 1 5 4 5 7 32
Let's Get "Real" About Using Economic Data 0 0 0 146 2 5 7 528
Let's Get "Real" about Using Economic Data 0 0 0 95 0 3 5 458
Let's Get "Real"" about Using Economic Data" 0 0 0 168 1 2 5 899
Market Skewness Risk and the Cross-Section of Stock Returns 0 0 0 59 1 7 11 145
Martingale Tests of Value-at-Risk 0 0 0 1 3 4 4 871
Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices 0 0 0 122 3 4 6 375
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 120 2 9 10 190
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 44 2 3 4 239
Oil Volatility Risk and Expected Stock Returns 0 0 1 69 1 2 8 179
Optimal Prediction Under Asymmetric Loss 0 0 0 259 3 4 4 1,086
Optimal Prediction Under Asymmetric Loss 0 0 0 127 5 8 12 449
Optimal Prediction Under Asymmetric Loss 0 0 0 77 4 8 15 369
Optimal prediction under asymmetric loss 1 2 2 295 4 14 16 1,035
Option Anomalies and the Pricing Kernel 0 0 1 12 2 4 5 70
Option Valuation with Conditional Heteroskedasticity and Non-Normality 0 0 2 35 0 3 7 159
Option Valuation with Conditional Heteroskedasticity and Non-Normality 0 0 0 82 1 3 3 288
Option Valuation with Conditional Skewness 0 0 1 666 1 1 6 2,908
Option Valuation with Long-run and Short-run Volatility Components 0 0 1 328 0 3 12 1,011
Option Valuation with Long-run and Short-run Volatility Components 0 0 1 78 0 1 4 261
Option Valuation with Observable Volatility and Jump Dynamics 1 1 1 16 1 5 6 98
Option Valuation with Observable Volatility and Jump Dynamics 0 0 0 21 0 1 1 82
Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels 0 0 0 32 0 1 2 114
Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk 0 0 0 41 1 2 2 140
Option-Implied Measures of Equity Risk 0 0 1 166 3 5 9 344
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 569 2 7 8 1,198
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 2 421 5 9 13 908
Practical volatility and correlation modeling for financial market risk management 0 0 2 397 2 10 15 865
Rare Disasters and Credit Market Puzzles 0 0 0 38 0 1 1 120
Size Matters: The Impact of Capital Market Liberalization on Individual Firms 0 0 0 189 0 0 5 1,092
Testing and Comparing Value-at-Risk Measures 0 0 0 2,082 3 11 16 5,299
Testing, Comparing, and Combining Value at Risk Measures 0 0 0 622 2 7 7 1,290
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 0 2 4 101 3 9 19 411
The Factor Structure in Equity Options 0 0 1 34 3 5 8 172
The Importance of the Loss Function in Option Pricing 0 0 0 197 2 4 6 851
The Importance of the Loss Function in Option Valuation 0 0 0 266 1 1 5 1,107
The Informational Content of Over-the-Counter Currency Options 0 0 0 225 2 2 3 1,099
The Joint Dynamics of Equity Market Factors 0 0 0 84 0 3 5 214
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well 0 1 2 253 3 8 11 642
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 0 65 1 6 11 132
Time-Varying Jump Intensities and Fat Tail Dynamics: Evidence from S&P500 Returns and Options 0 1 1 2 1 2 2 89
Value Creation through Real Options Management 0 0 0 169 0 2 2 351
Value creation, risk management, and real options 0 0 1 764 0 2 4 2,601
Volatility Components, Affine Restrictions and Non-Normal Innovations 0 0 0 69 1 3 3 239
Volatility Forecasting 0 0 0 950 2 11 17 1,288
Volatility Forecasting 0 1 1 562 5 10 13 1,012
Volatility forecasting 0 0 1 338 8 8 11 743
Which Volatility Model for Option Valuation? 0 1 1 622 2 8 8 1,580
Total Working Papers 6 21 65 24,490 233 495 788 74,274

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 3 5 584 1 13 22 1,656
Beta Risk in the Cross-Section of Equities 0 0 0 9 4 4 8 56
Capturing Option Anomalies with a Variance-Dependent Pricing Kernel 1 1 4 76 2 6 10 192
Cointegration and Long-Horizon Forecasting 0 0 0 0 2 4 7 461
Correlation dynamics and international diversification benefits 0 2 3 48 13 20 33 209
Does realized skewness predict the cross-section of equity returns? 1 1 14 446 26 44 78 1,325
Dynamic Dependence and Diversification in Corporate Credit* 0 0 0 0 1 3 3 6
Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options 0 0 5 147 0 4 19 427
Estimation risk in financial risk management 0 0 1 1 0 2 6 6
Evaluating Interval Forecasts 0 0 0 3 11 29 83 2,802
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 0 133 3 7 14 370
Factor Structure in Commodity Futures Return and Volatility 0 0 1 12 3 8 12 70
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 52 2 4 10 292
From Inflation to Growth 0 0 0 31 0 4 5 90
Further Results on Forecasting and Model Selection under Asymmetric Loss 0 0 0 194 3 4 4 661
Horizon problems and extreme events in financial risk management 0 1 1 191 1 6 8 764
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 2 348 1 2 8 1,118
Illiquidity Premia in the Equity Options Market 0 0 1 8 3 6 8 76
Interest-Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk 0 0 0 0 0 3 3 1,043
Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach 0 0 0 96 0 5 16 323
Let's get "real" about using economic data 0 0 1 73 1 3 6 320
Market skewness risk and the cross section of stock returns 2 4 7 417 3 9 21 1,145
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 11 0 2 3 56
Oil volatility risk and expected stock returns 1 1 3 18 3 6 15 128
Optimal Prediction Under Asymmetric Loss 0 0 0 72 2 4 5 252
Option Valuation with Conditional Heteroskedasticity and Nonnormality 0 0 1 81 0 2 9 226
Option valuation with conditional skewness 0 1 4 222 3 12 19 528
Option valuation with long-run and short-run volatility components 0 0 3 284 1 5 11 935
Option valuation with observable volatility and jump dynamics 0 0 0 21 2 6 7 93
Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk 1 1 2 14 2 4 10 65
Option-Implied Measures of Equity Risk 0 0 1 78 3 4 14 224
Rare Disasters, Credit, and Option Market Puzzles 0 0 0 1 0 1 2 9
Size matters: The impact of financial liberalization on individual firms 0 0 0 33 1 2 3 143
Testing and comparing Value-at-Risk measures 1 1 3 270 6 9 14 728
The Accuracy of Density Forecasts from Foreign Exchange Options 0 0 1 58 3 5 7 172
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 0 0 0 36 0 1 4 116
The Factor Structure in Equity Options 1 1 2 15 5 7 15 75
The Joint Dynamics of Equity Market Factors 0 0 1 11 0 1 4 69
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well 1 1 4 83 1 7 18 292
The State Price Density Implied by Crude Oil Futures and Option Prices 1 2 4 18 4 8 11 45
The importance of the loss function in option valuation 0 0 1 142 4 12 18 496
Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity* 0 0 0 4 0 0 5 16
Towards a global financial architecture: capital mobility and risk management issues 0 0 0 44 2 4 5 209
Volatility Components, Affine Restrictions, and Nonnormal Innovations 0 0 0 32 0 0 2 127
Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices 0 0 3 71 3 6 15 244
Which GARCH Model for Option Valuation? 0 2 8 87 1 9 20 216
Total Journal Articles 11 22 86 4,575 126 307 620 18,876
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 5 13 43 401
Elements of Financial Risk Management 0 0 3 37 7 11 23 217
Total Books 0 0 9 80 12 24 66 618

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 1 2 61 18 23 35 364
Forecasting with Option-Implied Information 0 1 9 122 55 62 90 514
Practical Volatility and Correlation Modeling for Financial Market Risk Management 1 1 1 251 3 5 6 770
Value–at–Risk Models 0 0 0 0 0 0 0 0
Volatility and Correlation Forecasting 0 1 6 681 19 29 54 2,386
Total Chapters 2 4 18 1,115 95 119 185 4,034

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Statistics updated 2026-01-09