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 3 5 1,374 7 10 34 4,537
Cointegration and Long-Horizon Forecasting 0 0 0 549 3 3 11 1,758
Cointegration and Long-Horizon Forecasting 0 0 0 196 2 4 35 519
Cointegration and long-horizon forecasting 0 0 0 618 2 3 6 1,582
Company Flexibility, the Value of Management and Managerial Compensation 0 0 0 151 3 3 8 796
Correlation Dynamics and International Diversification Benefits 0 0 0 92 2 3 14 155
Création de valeur, gestion de risque et options réelles 0 0 0 795 1 1 5 3,090
Dating the Turning Points of Nordic Business Cycles 0 0 0 193 1 2 5 587
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 1 1 12 0 1 11 97
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 1 1 12 2 5 14 108
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 1 423 1 5 14 983
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 1 2 8 305
Do Asset Prices in Transition Countries Contain Information About Future Economic Activity? 0 0 0 48 0 1 6 313
Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns? 0 1 3 177 8 23 36 643
Does Realized Skewness Predict the Cross-Section of Equity Returns? 0 2 4 153 4 9 25 451
Dynamic Diversification in Corporate Credit 0 0 0 45 3 5 8 111
Equity Portfolio Management Using Option Price Information 0 0 0 31 2 3 7 183
Estimation Risk in Financial Risk Management 0 1 1 1,140 1 9 38 3,406
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 0 177 4 4 14 483
Evaluating Value-at-Risk models with desk-level data 0 0 3 339 4 5 18 933
Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options 1 1 1 112 1 2 6 238
Factor Structure in Commodity Futures Return and Volatility 0 0 2 80 3 7 19 189
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 230 1 5 16 689
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 2 213 2 3 17 608
Financial Asset Returns, Market Timing, and Volatility Dynamics 0 0 0 576 1 5 7 1,950
Financial Risk Measurement for Financial Risk Management 0 0 0 247 1 2 19 571
Financial Risk Measurement for Financial Risk Management 0 0 0 207 6 8 38 622
Financial Risk Measurement for Financial Risk Management 0 1 3 183 9 16 45 584
Financial asset returns, direction-of-change forecasting, and volatility dynamics 0 0 0 215 3 5 13 430
Forecasting with Option Implied Information 0 1 4 174 4 16 78 455
Forward-Looking Betas 0 0 2 154 2 2 17 573
From Inflation to Growth: Eight Years of Transition 0 0 0 302 2 3 6 923
GARCH Option Valuation: Theory and Evidence 0 0 3 225 1 2 14 466
Horizon Problems and Extreme Events in Financial Risk Management 0 0 1 514 2 6 17 1,758
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 597 9 13 21 1,602
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 1 333 3 5 9 922
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 790 4 4 14 2,809
Illiquidity Premia in the Equity Options Market 0 0 0 47 1 1 3 176
Illiquidity Premia in the Equity Options Market 0 0 0 58 1 2 11 268
Interest Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk 0 0 0 131 3 3 9 467
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 1 1 13 256
Is the Potential for International Diversification Disappearing? 0 0 1 5 1 1 9 34
Let's Get "Real" About Using Economic Data 0 0 0 146 0 1 9 532
Let's Get "Real" about Using Economic Data 0 0 0 95 1 9 22 477
Let's Get "Real"" about Using Economic Data" 0 0 0 168 5 6 11 907
Market Skewness Risk and the Cross-Section of Stock Returns 0 1 1 60 4 9 26 160
Martingale Tests of Value-at-Risk 0 0 0 1 1 5 15 882
Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices 0 0 0 122 0 2 8 377
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 120 0 5 17 197
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 44 3 3 14 250
Oil Volatility Risk and Expected Stock Returns 0 0 1 69 2 3 20 192
Optimal Prediction Under Asymmetric Loss 0 0 0 127 1 2 11 451
Optimal Prediction Under Asymmetric Loss 0 0 0 259 0 2 10 1,092
Optimal Prediction Under Asymmetric Loss 0 0 0 77 1 4 22 379
Optimal prediction under asymmetric loss 0 2 4 297 2 8 27 1,047
Option Anomalies and the Pricing Kernel 0 0 1 12 4 7 14 79
Option Valuation with Conditional Heteroskedasticity and Non-Normality 0 0 2 35 1 12 26 179
Option Valuation with Conditional Heteroskedasticity and Non-Normality 0 0 0 82 0 1 7 292
Option Valuation with Conditional Skewness 0 0 0 666 3 5 13 2,916
Option Valuation with Long-run and Short-run Volatility Components 0 0 1 78 0 2 13 270
Option Valuation with Long-run and Short-run Volatility Components 0 1 1 329 1 2 15 1,018
Option Valuation with Observable Volatility and Jump Dynamics 0 0 0 21 5 6 11 92
Option Valuation with Observable Volatility and Jump Dynamics 0 0 1 16 4 4 13 105
Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels 0 0 0 32 1 2 5 117
Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk 0 0 0 41 0 5 8 146
Option-Implied Measures of Equity Risk 0 0 0 166 2 2 13 350
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 421 11 14 26 924
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 569 11 17 28 1,218
Practical volatility and correlation modeling for financial market risk management 0 0 0 397 1 1 17 870
Rare Disasters and Credit Market Puzzles 0 0 0 38 1 4 10 129
Size Matters: The Impact of Capital Market Liberalization on Individual Firms 0 0 0 189 0 1 9 1,097
Testing and Comparing Value-at-Risk Measures 0 0 0 2,082 2 5 23 5,310
Testing, Comparing, and Combining Value at Risk Measures 0 0 0 622 4 7 19 1,302
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 0 0 4 101 1 3 20 415
The Factor Structure in Equity Options 0 0 1 34 5 9 24 189
The Importance of the Loss Function in Option Pricing 1 1 1 198 5 6 13 859
The Importance of the Loss Function in Option Valuation 1 1 1 267 4 6 12 1,116
The Informational Content of Over-the-Counter Currency Options 0 0 0 225 2 5 13 1,110
The Joint Dynamics of Equity Market Factors 0 0 0 84 2 3 10 220
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well 0 0 3 254 2 8 23 655
The informational content of over-the-counter currency options 0 0 0 137 1 1 10 742
Time-Varying Crash Risk: The Role of Stock Market Liquidity 0 0 0 65 3 6 21 142
Time-Varying Jump Intensities and Fat Tail Dynamics: Evidence from S&P500 Returns and Options 0 0 1 2 2 2 7 94
Value Creation through Real Options Management 0 0 0 169 2 2 8 357
Value creation, risk management, and real options 0 0 1 764 0 0 5 2,602
Volatility Components, Affine Restrictions and Non-Normal Innovations 0 0 0 69 0 4 8 244
Volatility Forecasting 1 1 1 951 4 13 33 1,306
Volatility Forecasting 0 0 1 562 8 15 33 1,033
Volatility forecasting 0 0 1 339 2 7 23 758
Which Volatility Model for Option Valuation? 0 0 1 622 1 2 15 1,587
Total Working Papers 6 19 67 24,515 227 461 1,487 75,099

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 3 8 587 1 7 29 1,667
Beta Risk in the Cross-Section of Equities 0 0 0 9 3 8 17 66
Capturing Option Anomalies with a Variance-Dependent Pricing Kernel 1 6 8 82 4 14 23 208
Cointegration and Long-Horizon Forecasting 0 0 0 0 3 8 15 471
Correlation dynamics and international diversification benefits 0 0 3 49 5 8 40 224
Does realized skewness predict the cross-section of equity returns? 1 2 15 450 3 17 92 1,350
Dynamic Dependence and Diversification in Corporate Credit* 0 0 0 0 1 3 9 12
Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options 0 3 5 151 4 12 28 444
Estimation risk in financial risk management 0 1 1 2 2 9 16 19
Evaluating Interval Forecasts 0 0 0 3 31 66 139 2,883
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 0 133 2 6 24 384
Factor Structure in Commodity Futures Return and Volatility 0 0 1 12 0 1 13 72
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 52 3 6 17 303
From Inflation to Growth 0 0 0 31 3 3 9 94
Further Results on Forecasting and Model Selection under Asymmetric Loss 0 0 0 194 0 1 6 663
Horizon problems and extreme events in financial risk management 0 0 1 191 3 9 22 779
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 2 348 6 8 18 1,130
Illiquidity Premia in the Equity Options Market 0 1 2 9 2 5 14 83
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 2 2 98 4 12 26 340
Let's get "real" about using economic data 0 0 0 73 1 3 11 327
Market skewness risk and the cross section of stock returns 0 0 5 417 2 9 28 1,159
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 11 4 10 16 70
Oil volatility risk and expected stock returns 0 0 1 18 1 3 20 136
Optimal Prediction Under Asymmetric Loss 0 0 0 72 1 5 15 262
Option Valuation with Conditional Heteroskedasticity and Nonnormality 0 1 2 82 0 3 13 232
Option valuation with conditional skewness 0 0 3 223 1 2 22 533
Option valuation with long-run and short-run volatility components 0 0 1 284 3 9 26 954
Option valuation with observable volatility and jump dynamics 0 0 0 21 2 4 14 101
Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk 0 0 2 14 2 9 26 83
Option-Implied Measures of Equity Risk 0 2 3 81 3 6 21 235
Rare Disasters, Credit, and Option Market Puzzles 0 0 0 1 1 4 10 17
Size matters: The impact of financial liberalization on individual firms 0 0 0 33 4 18 39 180
Testing and comparing Value-at-Risk measures 0 0 2 270 0 3 17 733
The Accuracy of Density Forecasts from Foreign Exchange Options 0 0 0 58 1 3 11 178
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 0 0 0 36 2 3 7 122
The Factor Structure in Equity Options 1 2 5 18 7 20 39 101
The Joint Dynamics of Equity Market Factors 0 0 0 11 1 4 12 78
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well 0 1 3 84 5 10 23 303
The State Price Density Implied by Crude Oil Futures and Option Prices 0 1 3 19 1 7 17 53
The importance of the loss function in option valuation 1 1 2 143 5 7 24 505
Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity* 0 0 0 4 2 2 4 19
Towards a global financial architecture: capital mobility and risk management issues 0 0 0 44 0 5 17 221
Volatility Components, Affine Restrictions, and Nonnormal Innovations 0 0 0 32 3 5 8 133
Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices 0 0 3 72 1 4 17 250
Which GARCH Model for Option Valuation? 0 0 8 87 0 5 26 223
Total Journal Articles 6 26 91 4,609 133 366 1,045 19,445
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 1 2 44 4 18 50 426
Elements of Financial Risk Management 0 0 1 37 4 8 32 233
Total Books 0 1 3 81 8 26 82 659

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 1 2 62 14 18 58 394
Forecasting with Option-Implied Information 0 1 6 123 5 34 130 568
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 1 251 8 12 24 788
Value–at–Risk Models 0 0 0 0 2 4 5 5
Volatility and Correlation Forecasting 2 5 9 686 8 25 84 2,427
Total Chapters 2 7 18 1,122 37 93 301 4,182

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Statistics updated 2026-05-06