Access Statistics for Peter F. Christoffersen

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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 10 1,342 1 6 25 4,402
Cointegration and Long-Horizon Forecasting 0 0 0 195 1 1 2 467
Cointegration and Long-Horizon Forecasting 0 0 0 544 1 3 5 1,718
Cointegration and long-horizon forecasting 0 0 2 612 2 3 7 1,542
Company Flexibility, the Value of Management and Managerial Compensation 0 0 0 151 0 0 0 781
Correlation Dynamics and International Diversification Benefits 0 1 3 82 0 2 14 115
Création de valeur, gestion de risque et options réelles 0 2 5 791 0 4 10 3,067
Dating the Turning Points of Nordic Business Cycles 0 0 0 186 0 1 7 540
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 2 10 0 2 6 79
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 1 9 2 3 7 66
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 1 416 1 4 9 942
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 98 0 1 7 282
Do Asset Prices in Transition Countries Contain Information About Future Economic Activity? 0 0 0 46 0 2 2 297
Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns? 0 2 9 142 3 7 18 498
Does Realized Skewness Predict the Cross-Section of Equity Returns? 1 1 2 115 3 11 32 281
Dynamic Diversification in Corporate Credit 0 1 1 40 1 5 12 80
Equity Portfolio Management Using Option Price Information 0 0 0 28 1 3 9 88
Estimation Risk in Financial Risk Management 1 2 4 1,106 3 7 23 3,283
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 3 166 1 2 10 412
Evaluating Value-at-Risk models with desk-level data 0 0 1 331 3 11 22 852
Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options 0 0 1 104 1 2 6 204
Factor Structure in Commodity Futures Return and Volatility 0 1 6 71 3 6 26 131
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 226 2 4 8 649
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 206 0 1 3 558
Financial Asset Returns, Market Timing, and Volatility Dynamics 0 0 1 572 0 2 4 1,924
Financial Risk Measurement for Financial Risk Management 1 2 3 170 3 15 31 416
Financial Risk Measurement for Financial Risk Management 1 1 2 190 1 9 18 497
Financial Risk Measurement for Financial Risk Management 0 1 2 225 2 14 32 413
Financial asset returns, direction-of-change forecasting, and volatility dynamics 0 0 1 211 0 3 3 384
Forecasting with Option Implied Information 0 1 7 147 1 6 19 313
Forward-Looking Betas 0 2 5 123 0 8 19 361
From Inflation to Growth; Eight Years of Transition 0 0 2 288 1 3 9 868
GARCH Option Valuation: Theory and Evidence 0 1 8 189 1 6 26 328
Horizon Problems and Extreme Events in Financial Risk Management 0 0 0 509 0 0 12 1,713
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 1 789 2 3 10 2,765
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 1 330 1 1 18 885
How Relevant is Volatility Forecasting for Financial Risk Management? 0 1 2 596 2 3 14 1,556
Illiquidity Premia in the Equity Options Market 0 0 0 45 1 6 10 142
Illiquidity Premia in the Equity Options Market 0 1 1 55 0 4 9 169
Interest Rate Arbitrage in Currency Baskets; Forecasting Weights and Measuring Risk 0 1 1 130 0 1 1 448
Is Poland Ready for Inflation Targeting? 0 0 0 215 0 3 7 665
Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach 3 4 4 45 7 9 20 145
Let's Get "Real" About Using Economic Data 0 0 0 145 0 3 5 511
Let's Get "Real" about Using Economic Data 0 0 1 94 0 1 5 441
Let's Get "Real"" about Using Economic Data" 0 0 0 168 0 1 2 888
Martingale Tests of Value-at-Risk 0 0 0 1 0 0 11 807
Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices 0 0 1 114 1 1 6 343
Nonlinear Kalman Filtering in Affine Term Structure Models 0 1 5 116 0 2 11 156
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 3 39 0 1 15 205
Oil Volatility Risk and Expected Stock Returns 0 1 3 65 1 8 26 147
Optimal Prediction Under Asymmetric Loss 0 0 0 127 0 3 5 421
Optimal Prediction Under Asymmetric Loss 0 0 0 76 0 2 9 336
Optimal Prediction Under Asymmetric Loss 0 0 0 259 0 3 7 1,071
Optimal prediction under asymmetric loss 0 0 1 289 1 3 7 986
Option Valuation with Conditional Heteroskedasticity and Non-Normality 1 2 2 78 1 5 7 247
Option Valuation with Conditional Heteroskedasticity and Non-Normality 0 0 2 29 2 5 26 129
Option Valuation with Conditional Skewness 0 0 5 658 0 2 11 2,872
Option Valuation with Long-run and Short-run Volatility Components 0 2 5 71 0 3 12 224
Option Valuation with Long-run and Short-run Volatility Components 0 1 2 317 0 6 10 953
Option Valuation with Observable Volatility and Jump Dynamics 1 1 2 18 3 5 15 67
Option Valuation with Observable Volatility and Jump Dynamics 0 0 2 13 0 1 8 46
Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels 0 0 2 29 1 1 11 89
Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk 0 2 3 34 2 9 32 99
Option-Implied Measures of Equity Risk 1 3 11 140 2 7 28 270
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 1 1 416 0 6 12 840
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 563 1 10 19 1,142
Practical volatility and correlation modeling for financial market risk management 0 0 1 392 0 7 11 775
Rare Disasters and Credit Market Puzzles 0 0 1 35 1 1 6 97
Size Matters: The Impact of Capital Market Liberalization on Individual Firms 0 0 0 189 0 0 2 1,084
Testing and Comparing Value-at-Risk Measures 0 0 6 2,069 0 0 8 5,242
Testing, Comparing, and Combining Value at Risk Measures 0 1 9 601 3 6 22 1,203
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 0 0 2 87 1 5 15 340
The Factor Structure in Equity Options 0 0 0 28 1 4 10 124
The Importance of the Loss Function in Option Pricing 1 1 4 191 3 4 10 823
The Importance of the Loss Function in Option Valuation 0 0 1 258 1 3 7 1,035
The Informational Content of Over-the-Counter Currency Options 0 0 0 225 1 2 4 1,083
The Joint Dynamics of Equity Market Factors 0 2 4 84 2 6 11 193
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well 0 0 6 242 2 2 21 566
The informational content of over-the-counter currency options 0 0 0 136 0 0 2 718
Time-Varying Crash Risk: The Role of Stock Market Liquidity 1 2 7 58 2 5 21 79
Value Creation through Real Options Management 0 0 0 169 0 0 1 345
Value creation, risk management, and real options 0 0 2 760 1 5 14 2,574
Volatility Components, Affine Restrictions and Non-Normal Innovations 0 0 0 67 0 0 3 213
Volatility Forecasting 0 0 1 533 3 10 18 848
Volatility Forecasting 0 1 4 941 2 8 25 1,198
Volatility forecasting 0 0 2 328 2 8 17 611
Which Volatility Model for Option Valuation? 0 0 0 619 0 3 7 1,561
Total Working Papers 12 49 193 23,717 91 354 1,067 69,328

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 8 32 492 5 23 88 1,327
Capturing Option Anomalies with a Variance-Dependent Pricing Kernel 1 1 7 36 2 3 17 99
Cointegration and Long-Horizon Forecasting 0 0 0 0 2 4 14 411
Correlation dynamics and international diversification benefits 0 0 0 24 0 1 13 86
Does realized skewness predict the cross-section of equity returns? 6 31 73 179 12 67 172 533
Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options 2 4 6 90 2 4 12 269
Evaluating Interval Forecasts 0 0 0 3 10 47 227 1,994
Evaluating Value-at-Risk Models with Desk-Level Data 2 3 17 91 5 10 46 231
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 1 1 2 40 3 7 33 222
From Inflation to Growth 0 0 0 28 0 0 2 78
Further Results on Forecasting and Model Selection under Asymmetric Loss 0 0 1 188 0 2 5 638
Horizon problems and extreme events in financial risk management 0 0 1 187 1 3 7 730
How Relevant is Volatility Forecasting for Financial Risk Management? 1 1 5 326 5 19 43 1,014
Illiquidity Premia in the Equity Options Market 0 0 1 1 1 6 17 17
Interest-Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk 0 0 0 0 0 1 2 1,026
Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach 0 2 11 69 5 16 46 210
Let's get "real" about using economic data 0 0 2 69 0 1 9 287
Market skewness risk and the cross section of stock returns 2 8 35 307 4 19 82 833
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 2 7 1 2 11 27
Oil volatility risk and expected stock returns 0 1 4 5 0 7 24 31
Optimal Prediction Under Asymmetric Loss 0 0 3 58 2 5 16 179
Option Valuation with Conditional Heteroskedasticity and Nonnormality 0 1 2 55 0 3 9 149
Option valuation with conditional skewness 0 2 7 181 0 8 25 411
Option valuation with long-run and short-run volatility components 0 1 7 254 1 9 27 827
Option valuation with observable volatility and jump dynamics 0 0 2 11 1 4 12 46
Option-Implied Measures of Equity Risk 1 1 4 53 3 7 19 141
Size matters: The impact of financial liberalization on individual firms 0 0 0 30 0 0 1 123
Testing and comparing Value-at-Risk measures 1 1 4 247 4 7 26 653
The Accuracy of Density Forecasts from Foreign Exchange Options 0 0 1 53 0 1 10 143
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 1 1 1 30 2 6 11 88
The Factor Structure in Equity Options 1 2 3 5 1 4 21 23
The Joint Dynamics of Equity Market Factors 0 0 0 9 1 3 8 48
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well 0 0 4 42 1 2 23 171
The importance of the loss function in option valuation 0 0 2 111 0 3 12 371
Towards a global financial architecture: capital mobility and risk management issues 0 0 0 42 0 1 3 189
Volatility Components, Affine Restrictions, and Nonnormal Innovations 0 0 0 30 0 0 1 108
Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices 0 0 2 36 1 2 23 155
Which GARCH Model for Option Valuation? 0 2 12 54 2 7 25 118
Total Journal Articles 20 71 253 3,443 77 314 1,142 14,006
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 8 11 10 32 90 164
Elements of Financial Risk Management 0 0 3 6 0 5 19 48
Total Books 0 2 11 17 10 37 109 212

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 4 11 40 4 21 43 134
Forecasting with Option-Implied Information 4 7 19 66 9 27 80 221
Practical Volatility and Correlation Modeling for Financial Market Risk Management 2 4 4 239 3 14 20 678
Volatility and Correlation Forecasting 6 14 38 560 10 34 151 1,935
Total Chapters 13 29 72 905 26 96 294 2,968

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Statistics updated 2020-01-03