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 3 8 1,377 0 6 36 4,543
Cointegration and Long-Horizon Forecasting 0 0 0 549 1 2 11 1,760
Cointegration and Long-Horizon Forecasting 0 0 0 196 0 3 37 522
Cointegration and long-horizon forecasting 0 0 0 618 0 3 9 1,585
Company Flexibility, the Value of Management and Managerial Compensation 0 0 0 151 0 1 9 797
Correlation Dynamics and International Diversification Benefits 0 0 0 92 0 0 14 155
Création de valeur, gestion de risque et options réelles 0 0 0 795 1 1 6 3,091
Dating the Turning Points of Nordic Business Cycles 0 0 0 193 1 2 7 589
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 0 1 15 984
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 1 2 13 0 1 14 109
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 0 7 305
Do Asset Prices in Transition Countries Contain Information About Future Economic Activity? 0 0 0 48 1 1 7 314
Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns? 0 0 3 177 13 19 53 662
Does Realized Skewness Predict the Cross-Section of Equity Returns? 0 0 3 153 6 11 33 462
Dynamic Diversification in Corporate Credit 0 0 0 45 0 0 8 111
Equity Portfolio Management Using Option Price Information 0 0 0 31 0 3 10 186
Estimation Risk in Financial Risk Management 0 0 1 1,140 0 3 35 3,409
Evaluating Value-at-Risk Models with Desk-Level Data 0 1 1 178 0 2 16 485
Evaluating Value-at-Risk models with desk-level data 0 0 3 339 0 0 17 933
Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options 0 0 1 112 0 1 6 239
Factor Structure in Commodity Futures Return and Volatility 0 0 1 80 0 1 19 190
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 230 1 9 23 698
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 1 213 2 5 20 613
Financial Asset Returns, Market Timing, and Volatility Dynamics 0 0 0 576 1 4 11 1,954
Financial Risk Measurement for Financial Risk Management 0 0 2 183 0 2 43 586
Financial Risk Measurement for Financial Risk Management 0 0 0 247 0 0 19 571
Financial Risk Measurement for Financial Risk Management 0 0 0 207 0 1 38 623
Financial asset returns, direction-of-change forecasting, and volatility dynamics 1 1 1 216 2 3 16 433
Forecasting with Option Implied Information 0 1 3 175 2 5 80 460
Forward-Looking Betas 0 1 2 155 0 3 18 576
From Inflation to Growth: Eight Years of Transition 0 0 0 302 0 2 8 925
GARCH Option Valuation: Theory and Evidence 1 1 3 226 1 3 15 469
Horizon Problems and Extreme Events in Financial Risk Management 0 0 1 514 0 1 17 1,759
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 333 0 2 10 924
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 790 0 4 17 2,813
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 597 0 0 21 1,602
Illiquidity Premia in the Equity Options Market 0 0 0 47 0 1 4 177
Illiquidity Premia in the Equity Options Market 0 0 0 58 0 2 13 270
Interest Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk 0 0 0 131 0 1 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 0 3 16 259
Is the Potential for International Diversification Disappearing? 0 0 1 5 0 0 7 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 0 22 477
Let's Get "Real"" about Using Economic Data" 0 0 0 168 2 4 15 911
Market Skewness Risk and the Cross-Section of Stock Returns 0 0 1 60 0 0 22 160
Martingale Tests of Value-at-Risk 0 0 0 1 1 1 16 883
Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices 0 0 0 122 0 3 10 380
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 120 0 1 18 198
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 44 0 0 14 250
Oil Volatility Risk and Expected Stock Returns 0 0 1 69 1 2 19 194
Optimal Prediction Under Asymmetric Loss 0 0 0 77 0 2 20 381
Optimal Prediction Under Asymmetric Loss 0 0 0 259 0 2 12 1,094
Optimal Prediction Under Asymmetric Loss 0 0 0 127 0 2 12 453
Optimal prediction under asymmetric loss 0 0 4 297 2 4 30 1,051
Option Anomalies and the Pricing Kernel 0 0 0 12 1 2 15 81
Option Valuation with Conditional Heteroskedasticity and Non-Normality 0 0 0 82 0 0 7 292
Option Valuation with Conditional Heteroskedasticity and Non-Normality 0 1 1 36 0 3 27 182
Option Valuation with Conditional Skewness 0 0 0 666 1 3 13 2,919
Option Valuation with Long-run and Short-run Volatility Components 0 0 1 329 0 3 18 1,021
Option Valuation with Long-run and Short-run Volatility Components 0 0 1 78 0 1 12 271
Option Valuation with Observable Volatility and Jump Dynamics 0 0 1 16 0 2 15 107
Option Valuation with Observable Volatility and Jump Dynamics 0 0 0 21 0 0 11 92
Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels 0 0 0 32 1 2 6 119
Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk 0 0 0 41 0 2 10 148
Option-Implied Measures of Equity Risk 0 0 0 166 0 4 15 354
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 569 0 3 31 1,221
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 421 0 2 28 926
Practical volatility and correlation modeling for financial market risk management 0 0 0 397 0 2 18 872
Rare Disasters and Credit Market Puzzles 0 0 0 38 0 0 10 129
Size Matters: The Impact of Capital Market Liberalization on Individual Firms 0 0 0 189 0 0 6 1,097
Testing and Comparing Value-at-Risk Measures 0 0 0 2,082 0 1 23 5,311
Testing, Comparing, and Combining Value at Risk Measures 0 0 0 622 0 0 19 1,302
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 0 0 2 101 0 1 17 416
The Factor Structure in Equity Options 0 1 1 35 1 4 27 193
The Importance of the Loss Function in Option Pricing 0 0 1 198 0 0 13 859
The Importance of the Loss Function in Option Valuation 0 0 1 267 0 2 13 1,118
The Informational Content of Over-the-Counter Currency Options 0 0 0 225 0 2 15 1,112
The Joint Dynamics of Equity Market Factors 0 0 0 84 0 1 10 221
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well 1 3 5 257 1 9 30 664
The informational content of over-the-counter currency options 0 0 0 137 0 2 12 744
Time-Varying Crash Risk: The Role of Stock Market Liquidity 0 0 0 65 1 2 19 144
Time-Varying Jump Intensities and Fat Tail Dynamics: Evidence from S&P500 Returns and Options 0 0 1 2 0 0 7 94
Value Creation through Real Options Management 0 0 0 169 0 0 8 357
Value creation, risk management, and real options 0 0 0 764 1 1 5 2,603
Volatility Components, Affine Restrictions and Non-Normal Innovations 0 1 1 70 0 1 9 245
Volatility Forecasting 0 0 1 562 1 1 33 1,034
Volatility Forecasting 0 0 1 951 0 2 34 1,308
Volatility forecasting 0 0 1 339 1 4 27 762
Which Volatility Model for Option Valuation? 0 0 1 622 1 1 16 1,588
Total Working Papers 3 15 65 24,530 48 197 1,594 75,296

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 0 6 587 3 6 30 1,673
Beta Risk in the Cross-Section of Equities 0 0 0 9 0 2 18 68
Capturing Option Anomalies with a Variance-Dependent Pricing Kernel 0 2 9 84 0 3 25 211
Cointegration and Long-Horizon Forecasting 0 0 0 0 0 0 15 471
Correlation dynamics and international diversification benefits 0 0 3 49 1 2 39 226
Does realized skewness predict the cross-section of equity returns? 0 0 13 450 12 26 110 1,376
Dynamic Dependence and Diversification in Corporate Credit* 0 0 0 0 1 4 13 16
Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options 0 1 5 152 0 6 31 450
Estimation risk in financial risk management 0 0 1 2 1 3 19 22
Evaluating Interval Forecasts 0 0 0 3 32 88 213 2,971
Evaluating Value-at-Risk Models with Desk-Level Data 0 1 1 134 0 7 30 391
Factor Structure in Commodity Futures Return and Volatility 0 0 0 12 0 0 12 72
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 52 3 7 23 310
From Inflation to Growth 0 0 0 31 0 0 8 94
Further Results on Forecasting and Model Selection under Asymmetric Loss 0 0 0 194 2 4 10 667
Horizon problems and extreme events in financial risk management 0 0 1 191 0 2 24 781
How Relevant is Volatility Forecasting for Financial Risk Management? 0 1 2 349 2 5 20 1,135
Illiquidity Premia in the Equity Options Market 0 1 2 10 3 11 24 94
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 0 2 4 100 1 8 33 348
Let's get "real" about using economic data 0 0 0 73 2 4 14 331
Market skewness risk and the cross section of stock returns 1 3 7 420 1 7 30 1,166
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 11 1 5 21 75
Oil volatility risk and expected stock returns 0 1 2 19 0 2 19 138
Optimal Prediction Under Asymmetric Loss 2 2 2 74 4 10 24 272
Option Valuation with Conditional Heteroskedasticity and Nonnormality 0 0 1 82 1 2 11 234
Option valuation with conditional skewness 0 0 2 223 1 2 21 535
Option valuation with long-run and short-run volatility components 0 0 1 284 0 1 27 955
Option valuation with observable volatility and jump dynamics 0 0 0 21 0 1 15 102
Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk 0 0 1 14 0 0 23 83
Option-Implied Measures of Equity Risk 0 1 4 82 0 3 19 238
Rare Disasters, Credit, and Option Market Puzzles 0 0 0 1 0 1 11 18
Size matters: The impact of financial liberalization on individual firms 0 0 0 33 2 3 42 183
Testing and comparing Value-at-Risk measures 0 0 1 270 0 1 16 734
The Accuracy of Density Forecasts from Foreign Exchange Options 0 0 0 58 0 2 13 180
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 0 2 2 38 1 4 11 126
The Factor Structure in Equity Options 0 0 5 18 2 4 41 105
The Joint Dynamics of Equity Market Factors 0 0 0 11 0 2 13 80
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well 2 5 8 89 2 12 34 315
The State Price Density Implied by Crude Oil Futures and Option Prices 0 2 5 21 0 4 21 57
The importance of the loss function in option valuation 0 1 3 144 1 4 26 509
Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity* 0 0 0 4 0 0 3 19
Towards a global financial architecture: capital mobility and risk management issues 0 0 0 44 0 0 16 221
Volatility Components, Affine Restrictions, and Nonnormal Innovations 0 0 0 32 1 4 10 137
Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices 0 0 1 72 0 1 16 251
Which GARCH Model for Option Valuation? 0 0 5 87 0 0 21 223
Total Journal Articles 5 25 97 4,634 80 263 1,220 19,708
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 4 33 237
Elements of Financial Risk Management 1 3 4 47 4 8 50 434
Total Books 1 5 6 86 4 12 83 671

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 0 2 58 396
Forecasting with Option-Implied Information 0 0 4 123 2 5 126 573
Practical Volatility and Correlation Modeling for Financial Market Risk Management 1 1 2 252 1 3 26 791
Value–at–Risk Models 0 0 0 0 0 0 5 5
Volatility and Correlation Forecasting 1 5 12 691 3 16 91 2,443
Total Chapters 2 6 20 1,128 6 26 306 4,208

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Statistics updated 2026-08-07