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 2 1,370 2 6 11 4,512
Cointegration and Long-Horizon Forecasting 0 0 0 549 0 2 5 1,749
Cointegration and Long-Horizon Forecasting 0 0 0 196 2 3 5 488
Cointegration and long-horizon forecasting 0 0 1 618 1 1 5 1,577
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 1 92 1 2 5 143
Création de valeur, gestion de risque et options réelles 0 0 0 795 1 1 5 3,086
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 1 11 1 1 4 87
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 0 422 0 1 3 970
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 5 298
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 4 174 0 2 7 609
Does Realized Skewness Predict the Cross-Section of Equity Returns? 0 1 2 150 0 2 10 430
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 1 176
Estimation Risk in Financial Risk Management 0 0 3 1,139 3 7 19 3,378
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 0 177 1 1 2 470
Evaluating Value-at-Risk models with desk-level data 0 0 1 336 2 3 6 918
Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options 0 0 0 111 0 1 3 233
Factor Structure in Commodity Futures Return and Volatility 0 1 1 79 0 2 4 172
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 3 212 0 1 7 594
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 1 230 0 1 5 676
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 0 247 1 2 6 554
Financial Risk Measurement for Financial Risk Management 0 0 1 207 2 2 5 587
Financial Risk Measurement for Financial Risk Management 1 1 4 182 3 5 17 547
Financial asset returns, direction-of-change forecasting, and volatility dynamics 0 0 1 215 0 0 1 417
Forecasting with Option Implied Information 0 0 2 172 1 1 10 381
Forward-Looking Betas 0 0 1 153 0 2 6 559
From Inflation to Growth: Eight Years of Transition 0 0 0 302 0 1 2 918
GARCH Option Valuation: Theory and Evidence 0 0 1 223 0 3 14 456
Horizon Problems and Extreme Events in Financial Risk Management 0 0 1 513 0 1 5 1,743
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 597 0 1 2 1,582
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 0 790 0 3 4 2,798
Illiquidity Premia in the Equity Options Market 0 0 0 47 1 2 4 175
Illiquidity Premia in the Equity Options Market 0 0 0 58 1 1 3 258
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 0 1 2 675
Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach 0 0 1 55 0 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 0 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 0 1 2 371
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 120 1 1 2 181
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 44 0 0 2 236
Oil Volatility Risk and Expected Stock Returns 0 1 2 69 0 2 8 177
Optimal Prediction Under Asymmetric Loss 0 0 0 77 0 0 7 361
Optimal Prediction Under Asymmetric Loss 0 0 0 259 0 0 0 1,082
Optimal Prediction Under Asymmetric Loss 0 0 0 127 0 0 5 441
Optimal prediction under asymmetric loss 0 0 1 293 0 0 4 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 0 82 0 0 0 285
Option Valuation with Conditional Heteroskedasticity and Non-Normality 0 0 2 35 1 1 4 156
Option Valuation with Conditional Skewness 0 0 1 666 0 1 5 2,907
Option Valuation with Long-run and Short-run Volatility Components 0 1 1 78 0 3 3 260
Option Valuation with Long-run and Short-run Volatility Components 0 0 1 328 0 5 9 1,008
Option Valuation with Observable Volatility and Jump Dynamics 0 0 0 21 0 0 0 81
Option Valuation with Observable Volatility and Jump Dynamics 0 0 0 15 1 1 1 93
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 0 138
Option-Implied Measures of Equity Risk 0 0 3 166 0 1 6 339
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 2 421 1 1 6 899
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 569 1 1 1 1,191
Practical volatility and correlation modeling for financial market risk management 0 0 2 397 1 1 6 855
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 1 2 5 1,092
Testing and Comparing Value-at-Risk Measures 0 0 0 2,082 0 1 6 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 1 2 99 2 5 10 402
The Factor Structure in Equity Options 0 0 1 34 1 1 3 167
The Importance of the Loss Function in Option Pricing 0 0 0 197 0 1 2 847
The Importance of the Loss Function in Option Valuation 0 0 1 266 1 1 5 1,106
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 2 211
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well 0 0 1 252 0 0 3 634
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 1 2 6 126
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 0 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 0 3 9 1,277
Volatility Forecasting 0 0 2 561 1 2 7 1,002
Volatility forecasting 0 0 2 338 0 0 5 735
Which Volatility Model for Option Valuation? 0 0 0 621 0 0 0 1,572
Total Working Papers 2 7 64 24,469 36 110 367 73,779

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 2 581 0 1 12 1,643
Beta Risk in the Cross-Section of Equities 0 0 0 9 0 2 5 52
Capturing Option Anomalies with a Variance-Dependent Pricing Kernel 0 0 4 75 0 0 6 186
Cointegration and Long-Horizon Forecasting 0 0 0 0 1 1 4 457
Correlation dynamics and international diversification benefits 0 0 2 46 0 2 21 189
Does realized skewness predict the cross-section of equity returns? 8 8 20 445 10 16 59 1,281
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 6 147 4 6 18 423
Estimation risk in financial risk management 0 0 1 1 0 1 4 4
Evaluating Interval Forecasts 0 0 0 3 12 19 85 2,773
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 1 133 1 2 10 363
Factor Structure in Commodity Futures Return and Volatility 0 1 1 12 2 3 5 62
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 1 52 0 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 0 1 2 758
How Relevant is Volatility Forecasting for Financial Risk Management? 1 1 3 348 1 2 8 1,116
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 1 4 13 318
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 3 20 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 1 3 14 122
Optimal Prediction Under Asymmetric Loss 0 0 1 72 0 1 3 248
Option Valuation with Conditional Heteroskedasticity and Nonnormality 0 0 4 81 1 1 12 224
Option valuation with conditional skewness 0 0 3 221 1 3 7 516
Option valuation with long-run and short-run volatility components 1 1 3 284 1 2 6 930
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 0 1 13 1 2 6 61
Option-Implied Measures of Equity Risk 0 0 2 78 0 1 11 220
Rare Disasters, Credit, and Option Market Puzzles 0 0 0 1 1 1 1 8
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 0 1 10 719
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 0 1 1 14 3 4 9 68
The Joint Dynamics of Equity Market Factors 0 0 1 11 0 1 3 68
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well 1 1 3 82 2 5 16 285
The State Price Density Implied by Crude Oil Futures and Option Prices 0 0 4 16 0 1 9 37
The importance of the loss function in option valuation 0 1 2 142 0 1 11 484
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 1 2 127
Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices 0 2 5 71 1 5 13 238
Which GARCH Model for Option Valuation? 1 4 7 85 2 7 14 207
Total Journal Articles 12 22 99 4,553 46 109 458 18,569
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 4 37 2 2 16 206
Elements of Financial Risk Management 0 0 6 43 3 5 32 388
Total Books 0 0 10 80 5 7 48 594

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 0 5 19 341
Forecasting with Option-Implied Information 1 3 10 121 4 9 37 452
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 1 250 0 1 3 765
Volatility and Correlation Forecasting 1 2 9 680 2 9 36 2,357
Total Chapters 2 5 23 1,111 6 24 95 3,915

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Statistics updated 2025-10-06