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 8 1,377 2 3 35 4,545
Cointegration and Long-Horizon Forecasting 0 0 0 196 0 1 36 522
Cointegration and Long-Horizon Forecasting 0 0 0 549 1 3 12 1,761
Cointegration and long-horizon forecasting 0 0 0 618 1 2 10 1,586
Company Flexibility, the Value of Management and Managerial Compensation 0 0 0 151 0 0 9 797
Correlation Dynamics and International Diversification Benefits 0 0 0 92 1 1 14 156
Création de valeur, gestion de risque et options réelles 0 0 0 795 0 1 6 3,091
Dating the Turning Points of Nordic Business Cycles 0 0 0 193 0 2 7 589
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 1 12 0 0 12 98
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 2 13 0 0 14 109
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 1 423 3 4 17 987
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 0 1 7 314
Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns? 0 0 3 177 3 20 56 665
Does Realized Skewness Predict the Cross-Section of Equity Returns? 0 0 3 153 11 20 43 473
Dynamic Diversification in Corporate Credit 0 0 0 45 2 2 10 113
Equity Portfolio Management Using Option Price Information 0 0 0 31 1 2 11 187
Estimation Risk in Financial Risk Management 0 0 1 1,140 0 1 34 3,409
Evaluating Value-at-Risk Models with Desk-Level Data 0 1 1 178 2 4 18 487
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 2 3 20 192
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 230 1 7 23 699
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 1 213 2 5 21 615
Financial Asset Returns, Market Timing, and Volatility Dynamics 0 0 0 576 0 3 11 1,954
Financial Risk Measurement for Financial Risk Management 0 0 0 247 1 1 19 572
Financial Risk Measurement for Financial Risk Management 0 0 2 183 0 0 42 586
Financial Risk Measurement for Financial Risk Management 0 0 0 207 1 1 39 624
Financial asset returns, direction-of-change forecasting, and volatility dynamics 0 1 1 216 2 4 18 435
Forecasting with Option Implied Information 0 1 3 175 6 10 86 466
Forward-Looking Betas 0 1 2 155 1 3 18 577
From Inflation to Growth: Eight Years of Transition 0 0 0 302 1 2 8 926
GARCH Option Valuation: Theory and Evidence 0 1 3 226 2 5 15 471
Horizon Problems and Extreme Events in Financial Risk Management 0 0 1 514 0 1 16 1,759
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 790 0 1 15 2,813
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 333 1 2 11 925
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 597 0 0 20 1,602
Illiquidity Premia in the Equity Options Market 0 0 0 58 1 3 14 271
Illiquidity Premia in the Equity Options Market 0 0 0 47 2 2 5 179
Interest Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk 0 0 0 131 0 0 10 468
Is Poland Ready for Inflation Targeting? 0 0 0 215 1 1 9 684
Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach 0 0 0 55 1 2 16 260
Is the Potential for International Diversification Disappearing? 0 0 1 5 1 1 8 35
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 1 1 23 478
Let's Get "Real"" about Using Economic Data" 0 0 0 168 0 3 14 911
Market Skewness Risk and the Cross-Section of Stock Returns 0 0 1 60 1 1 23 161
Martingale Tests of Value-at-Risk 0 0 0 1 2 3 18 885
Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices 0 0 0 122 1 4 10 381
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 44 0 0 14 250
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 120 2 2 20 200
Oil Volatility Risk and Expected Stock Returns 0 0 0 69 1 3 18 195
Optimal Prediction Under Asymmetric Loss 0 0 0 77 1 3 21 382
Optimal Prediction Under Asymmetric Loss 0 0 0 127 0 1 12 453
Optimal Prediction Under Asymmetric Loss 0 0 0 259 4 5 16 1,098
Optimal prediction under asymmetric loss 0 0 4 297 2 6 32 1,053
Option Anomalies and the Pricing Kernel 0 0 0 12 0 1 15 81
Option Valuation with Conditional Heteroskedasticity and Non-Normality 0 0 1 36 0 0 27 182
Option Valuation with Conditional Heteroskedasticity and Non-Normality 0 0 0 82 0 0 7 292
Option Valuation with Conditional Skewness 0 0 0 666 2 4 14 2,921
Option Valuation with Long-run and Short-run Volatility Components 0 0 0 78 0 1 11 271
Option Valuation with Long-run and Short-run Volatility Components 0 0 1 329 0 0 13 1,021
Option Valuation with Observable Volatility and Jump Dynamics 0 0 0 21 2 2 13 94
Option Valuation with Observable Volatility and Jump Dynamics 0 0 1 16 2 2 17 109
Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels 0 0 0 32 0 1 6 119
Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk 0 0 0 41 1 2 11 149
Option-Implied Measures of Equity Risk 0 0 0 166 3 5 18 357
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 569 0 2 31 1,221
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 421 0 0 28 926
Practical volatility and correlation modeling for financial market risk management 0 0 0 397 0 1 18 872
Rare Disasters and Credit Market Puzzles 0 0 0 38 1 1 11 130
Size Matters: The Impact of Capital Market Liberalization on Individual Firms 0 0 0 189 1 1 7 1,098
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 3 3 22 1,305
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 0 0 2 101 0 1 16 416
The Factor Structure in Equity Options 0 1 1 35 3 7 30 196
The Importance of the Loss Function in Option Pricing 0 0 1 198 0 0 12 859
The Importance of the Loss Function in Option Valuation 0 0 1 267 2 3 15 1,120
The Informational Content of Over-the-Counter Currency Options 0 0 0 225 1 2 16 1,113
The Joint Dynamics of Equity Market Factors 0 0 0 84 3 3 13 224
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well 1 4 6 258 4 11 34 668
The informational content of over-the-counter currency options 0 0 0 137 0 1 12 744
Time-Varying Crash Risk: The Role of Stock Market Liquidity 0 0 0 65 0 1 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 0 1 4 2,603
Volatility Components, Affine Restrictions and Non-Normal Innovations 0 0 1 70 0 0 9 245
Volatility Forecasting 0 0 1 951 1 2 32 1,309
Volatility Forecasting 0 0 1 562 1 2 34 1,035
Volatility forecasting 0 0 1 339 0 2 27 762
Which Volatility Model for Option Valuation? 0 0 1 622 2 3 18 1,590
Total Working Papers 1 11 64 24,531 100 223 1,653 75,396

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 1 6 31 1,674
Beta Risk in the Cross-Section of Equities 0 0 0 9 1 3 17 69
Capturing Option Anomalies with a Variance-Dependent Pricing Kernel 0 0 9 84 2 3 27 213
Cointegration and Long-Horizon Forecasting 0 0 0 0 0 0 15 471
Correlation dynamics and international diversification benefits 0 0 3 49 0 1 37 226
Does realized skewness predict the cross-section of equity returns? 0 0 13 450 11 34 116 1,387
Dynamic Dependence and Diversification in Corporate Credit* 0 0 0 0 0 3 13 16
Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options 0 1 5 152 0 3 31 450
Estimation risk in financial risk management 0 0 1 2 1 2 19 23
Evaluating Interval Forecasts 0 0 0 3 31 86 241 3,002
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 1 134 1 7 30 392
Factor Structure in Commodity Futures Return and Volatility 0 0 0 12 2 2 14 74
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 2 2 2 54 5 11 27 315
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 5 12 669
Horizon problems and extreme events in financial risk management 0 0 1 191 0 0 23 781
How Relevant is Volatility Forecasting for Financial Risk Management? 0 1 2 349 2 6 22 1,137
Illiquidity Premia in the Equity Options Market 1 1 3 11 4 10 28 98
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 1 4 100 1 6 32 349
Let's get "real" about using economic data 0 0 0 73 0 4 14 331
Market skewness risk and the cross section of stock returns 0 2 7 420 2 8 32 1,168
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 11 0 1 21 75
Oil volatility risk and expected stock returns 0 1 2 19 1 2 18 139
Optimal Prediction Under Asymmetric Loss 1 3 3 75 4 13 28 276
Option Valuation with Conditional Heteroskedasticity and Nonnormality 0 0 1 82 1 3 12 235
Option valuation with conditional skewness 0 0 2 223 0 2 20 535
Option valuation with long-run and short-run volatility components 0 0 1 284 1 2 27 956
Option valuation with observable volatility and jump dynamics 0 0 0 21 0 0 15 102
Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk 0 0 1 14 3 3 26 86
Option-Implied Measures of Equity Risk 1 2 5 83 1 3 19 239
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 0 2 42 183
Testing and comparing Value-at-Risk measures 0 0 1 270 0 1 15 734
The Accuracy of Density Forecasts from Foreign Exchange Options 0 0 0 58 1 3 14 181
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 0 0 2 38 0 1 11 126
The Factor Structure in Equity Options 0 0 4 18 0 4 40 105
The Joint Dynamics of Equity Market Factors 0 0 0 11 1 1 13 81
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well 0 3 8 89 2 11 34 317
The State Price Density Implied by Crude Oil Futures and Option Prices 0 2 5 21 0 4 20 57
The importance of the loss function in option valuation 0 0 2 144 1 3 26 510
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 0 2 10 137
Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices 0 0 1 72 0 0 14 251
Which GARCH Model for Option Valuation? 0 0 3 87 2 2 20 225
Total Journal Articles 5 19 98 4,639 84 264 1,269 19,792
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 2 39 2 2 35 239
Elements of Financial Risk Management 1 3 5 48 5 11 54 439
Total Books 1 3 7 87 7 13 89 678

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 3 4 58 399
Forecasting with Option-Implied Information 0 0 3 123 0 4 125 573
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 1 2 252 2 4 28 793
Value–at–Risk Models 0 0 0 0 0 0 5 5
Volatility and Correlation Forecasting 1 4 13 692 4 15 92 2,447
Total Chapters 1 5 20 1,129 9 27 308 4,217

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Statistics updated 2026-09-10