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 2 5 7 1,376 5 14 38 4,542
Cointegration and Long-Horizon Forecasting 0 0 0 549 0 3 11 1,758
Cointegration and Long-Horizon Forecasting 0 0 0 196 2 5 37 521
Cointegration and long-horizon forecasting 0 0 0 618 2 4 8 1,584
Company Flexibility, the Value of Management and Managerial Compensation 0 0 0 151 1 4 9 797
Correlation Dynamics and International Diversification Benefits 0 0 0 92 0 2 14 155
Création de valeur, gestion de risque et options réelles 0 0 0 795 0 1 5 3,090
Dating the Turning Points of Nordic Business Cycles 0 0 0 193 0 1 5 587
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 1 1 12 1 2 12 98
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 1 423 0 4 14 983
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 1 2 2 13 1 6 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 1 8 305
Do Asset Prices in Transition Countries Contain Information About Future Economic Activity? 0 0 0 48 0 0 6 313
Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns? 0 1 3 177 2 17 38 645
Does Realized Skewness Predict the Cross-Section of Equity Returns? 0 2 4 153 2 10 26 453
Dynamic Diversification in Corporate Credit 0 0 0 45 0 5 8 111
Equity Portfolio Management Using Option Price Information 0 0 0 31 2 4 9 185
Estimation Risk in Financial Risk Management 0 1 1 1,140 2 6 39 3,408
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 0 177 0 4 14 483
Evaluating Value-at-Risk models with desk-level data 0 0 3 339 0 5 18 933
Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options 0 1 1 112 0 1 6 238
Factor Structure in Commodity Futures Return and Volatility 0 0 2 80 0 4 19 189
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 230 3 7 19 692
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 2 213 2 5 19 610
Financial Asset Returns, Market Timing, and Volatility Dynamics 0 0 0 576 1 3 8 1,951
Financial Risk Measurement for Financial Risk Management 0 0 0 207 1 8 38 623
Financial Risk Measurement for Financial Risk Management 0 0 0 247 0 2 19 571
Financial Risk Measurement for Financial Risk Management 0 1 2 183 2 15 45 586
Financial asset returns, direction-of-change forecasting, and volatility dynamics 0 0 0 215 1 4 14 431
Forecasting with Option Implied Information 0 1 4 174 1 11 79 456
Forward-Looking Betas 0 0 2 154 1 3 18 574
From Inflation to Growth: Eight Years of Transition 0 0 0 302 1 4 7 924
GARCH Option Valuation: Theory and Evidence 0 0 3 225 0 1 14 466
Horizon Problems and Extreme Events in Financial Risk Management 0 0 1 514 0 2 16 1,758
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 790 3 7 17 2,812
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 333 1 5 9 923
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 597 0 10 21 1,602
Illiquidity Premia in the Equity Options Market 0 0 0 58 0 2 11 268
Illiquidity Premia in the Equity Options Market 0 0 0 47 1 2 4 177
Interest Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk 0 0 0 131 1 4 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 2 3 15 258
Is the Potential for International Diversification Disappearing? 0 0 1 5 0 1 8 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 4 22 477
Let's Get "Real"" about Using Economic Data" 0 0 0 168 1 6 12 908
Market Skewness Risk and the Cross-Section of Stock Returns 0 1 1 60 0 7 26 160
Martingale Tests of Value-at-Risk 0 0 0 1 0 4 15 882
Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices 0 0 0 122 0 1 8 377
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 44 0 3 14 250
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 120 1 4 18 198
Oil Volatility Risk and Expected Stock Returns 0 0 1 69 0 2 20 192
Optimal Prediction Under Asymmetric Loss 0 0 0 127 1 2 11 452
Optimal Prediction Under Asymmetric Loss 0 0 0 259 1 2 11 1,093
Optimal Prediction Under Asymmetric Loss 0 0 0 77 0 4 22 379
Optimal prediction under asymmetric loss 0 0 4 297 0 5 27 1,047
Option Anomalies and the Pricing Kernel 0 0 0 12 1 8 14 80
Option Valuation with Conditional Heteroskedasticity and Non-Normality 1 1 1 36 3 7 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 1 4 11 2,917
Option Valuation with Long-run and Short-run Volatility Components 0 0 1 329 3 4 18 1,021
Option Valuation with Long-run and Short-run Volatility Components 0 0 1 78 0 1 13 270
Option Valuation with Observable Volatility and Jump Dynamics 0 0 0 21 0 5 11 92
Option Valuation with Observable Volatility and Jump Dynamics 0 0 1 16 2 6 15 107
Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels 0 0 0 32 1 2 6 118
Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk 0 0 0 41 1 4 9 147
Option-Implied Measures of Equity Risk 0 0 0 166 2 4 15 352
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 569 1 12 29 1,219
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 421 2 15 28 926
Practical volatility and correlation modeling for financial market risk management 0 0 0 397 1 2 17 871
Rare Disasters and Credit Market Puzzles 0 0 0 38 0 1 10 129
Size Matters: The Impact of Capital Market Liberalization on Individual Firms 0 0 0 189 0 0 7 1,097
Testing and Comparing Value-at-Risk Measures 0 0 0 2,082 0 5 23 5,310
Testing, Comparing, and Combining Value at Risk Measures 0 0 0 622 0 5 19 1,302
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 0 0 4 101 0 2 20 415
The Factor Structure in Equity Options 0 0 1 34 0 7 24 189
The Importance of the Loss Function in Option Pricing 0 1 1 198 0 6 13 859
The Importance of the Loss Function in Option Valuation 0 1 1 267 1 7 13 1,117
The Informational Content of Over-the-Counter Currency Options 0 0 0 225 1 3 14 1,111
The Joint Dynamics of Equity Market Factors 0 0 0 84 1 4 11 221
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well 0 0 2 254 2 5 23 657
The informational content of over-the-counter currency options 0 0 0 137 1 2 11 743
Time-Varying Crash Risk: The Role of Stock Market Liquidity 0 0 0 65 1 6 22 143
Time-Varying Jump Intensities and Fat Tail Dynamics: Evidence from S&P500 Returns and Options 0 0 1 2 0 2 7 94
Value Creation through Real Options Management 0 0 0 169 0 2 8 357
Value creation, risk management, and real options 0 0 0 764 0 0 4 2,602
Volatility Components, Affine Restrictions and Non-Normal Innovations 1 1 1 70 1 2 9 245
Volatility Forecasting 0 1 1 951 1 11 33 1,307
Volatility Forecasting 0 0 1 562 0 10 33 1,033
Volatility forecasting 0 0 1 339 2 5 25 760
Which Volatility Model for Option Valuation? 0 0 1 622 0 2 15 1,587
Total Working Papers 5 21 65 24,520 74 407 1,537 75,173

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 2 7 587 1 5 28 1,668
Beta Risk in the Cross-Section of Equities 0 0 0 9 0 5 17 66
Capturing Option Anomalies with a Variance-Dependent Pricing Kernel 2 6 10 84 2 11 25 210
Cointegration and Long-Horizon Forecasting 0 0 0 0 0 7 15 471
Correlation dynamics and international diversification benefits 0 0 3 49 1 6 39 225
Does realized skewness predict the cross-section of equity returns? 0 1 15 450 3 11 93 1,353
Dynamic Dependence and Diversification in Corporate Credit* 0 0 0 0 1 4 10 13
Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options 0 2 5 151 3 10 31 447
Estimation risk in financial risk management 0 1 1 2 2 7 18 21
Evaluating Interval Forecasts 0 0 0 3 33 87 167 2,916
Evaluating Value-at-Risk Models with Desk-Level Data 1 1 1 134 1 4 25 385
Factor Structure in Commodity Futures Return and Volatility 0 0 1 12 0 0 13 72
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 52 1 4 18 304
From Inflation to Growth 0 0 0 31 0 3 9 94
Further Results on Forecasting and Model Selection under Asymmetric Loss 0 0 0 194 1 2 7 664
Horizon problems and extreme events in financial risk management 0 0 1 191 2 5 24 781
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 2 348 1 7 19 1,131
Illiquidity Premia in the Equity Options Market 1 2 3 10 5 10 19 88
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 1 3 3 99 3 12 29 343
Let's get "real" about using economic data 0 0 0 73 0 3 11 327
Market skewness risk and the cross section of stock returns 1 1 5 418 1 8 28 1,160
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 11 4 11 20 74
Oil volatility risk and expected stock returns 0 0 1 18 1 3 20 137
Optimal Prediction Under Asymmetric Loss 0 0 0 72 1 5 16 263
Option Valuation with Conditional Heteroskedasticity and Nonnormality 0 0 1 82 0 0 10 232
Option valuation with conditional skewness 0 0 2 223 0 2 20 533
Option valuation with long-run and short-run volatility components 0 0 1 284 0 4 26 954
Option valuation with observable volatility and jump dynamics 0 0 0 21 1 4 15 102
Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk 0 0 2 14 0 6 25 83
Option-Implied Measures of Equity Risk 0 1 3 81 1 6 21 236
Rare Disasters, Credit, and Option Market Puzzles 0 0 0 1 0 3 10 17
Size matters: The impact of financial liberalization on individual firms 0 0 0 33 1 12 40 181
Testing and comparing Value-at-Risk measures 0 0 1 270 0 1 16 733
The Accuracy of Density Forecasts from Foreign Exchange Options 0 0 0 58 0 1 11 178
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 2 2 2 38 3 5 10 125
The Factor Structure in Equity Options 0 2 5 18 0 10 37 101
The Joint Dynamics of Equity Market Factors 0 0 0 11 2 4 13 80
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well 2 2 5 86 3 9 26 306
The State Price Density Implied by Crude Oil Futures and Option Prices 0 1 3 19 0 3 17 53
The importance of the loss function in option valuation 1 2 3 144 2 8 25 507
Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity* 0 0 0 4 0 2 3 19
Towards a global financial architecture: capital mobility and risk management issues 0 0 0 44 0 4 17 221
Volatility Components, Affine Restrictions, and Nonnormal Innovations 0 0 0 32 2 5 10 135
Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices 0 0 3 72 1 4 18 251
Which GARCH Model for Option Valuation? 0 0 7 87 0 3 24 223
Total Journal Articles 11 29 96 4,620 83 326 1,100 19,528
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 2 2 3 39 4 8 34 237
Elements of Financial Risk Management 1 1 2 45 2 7 50 428
Total Books 3 3 5 84 6 15 84 665

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 1 17 59 395
Forecasting with Option-Implied Information 0 0 5 123 1 13 128 569
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 1 251 1 12 25 789
Value–at–Risk Models 0 0 0 0 0 3 5 5
Volatility and Correlation Forecasting 2 5 11 688 5 20 88 2,432
Total Chapters 2 5 19 1,124 8 65 305 4,190

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Since October 2025, abstract view statistics are potentially heavily influenced by traffic from AI bots and tools that we could not eliminate despite our best efforts.

Statistics updated 2026-06-04