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 2 9 1,379 7 11 41 4,554
Cointegration and Long-Horizon Forecasting 0 0 0 549 0 1 12 1,761
Cointegration and Long-Horizon Forecasting 0 0 0 196 4 4 38 526
Cointegration and long-horizon forecasting 0 0 0 618 1 2 10 1,587
Company Flexibility, the Value of Management and Managerial Compensation 0 0 0 151 2 2 11 799
Correlation Dynamics and International Diversification Benefits 0 0 0 92 3 4 15 159
Création de valeur, gestion de risque et options réelles 0 0 0 795 1 2 7 3,093
Dating the Turning Points of Nordic Business Cycles 0 0 0 193 0 0 6 589
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 1 12 2 2 13 100
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 2 13 2 2 16 111
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 1 423 8 14 27 998
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 2 2 9 307
Do Asset Prices in Transition Countries Contain Information About Future Economic Activity? 0 0 0 48 3 5 12 319
Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns? 0 0 2 177 3 7 59 669
Does Realized Skewness Predict the Cross-Section of Equity Returns? 0 2 5 155 7 26 57 488
Dynamic Diversification in Corporate Credit 0 0 0 45 1 4 12 115
Equity Portfolio Management Using Option Price Information 0 0 0 31 5 7 16 193
Estimation Risk in Financial Risk Management 0 0 1 1,140 2 2 33 3,411
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 1 178 3 5 19 490
Evaluating Value-at-Risk models with desk-level data 0 0 3 339 3 3 17 936
Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options 0 0 1 112 3 4 9 243
Factor Structure in Commodity Futures Return and Volatility 0 0 1 80 4 7 25 197
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 230 4 5 26 703
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 1 213 4 6 25 619
Financial Asset Returns, Market Timing, and Volatility Dynamics 0 0 0 576 3 3 14 1,957
Financial Risk Measurement for Financial Risk Management 0 0 0 247 1 2 18 573
Financial Risk Measurement for Financial Risk Management 0 0 1 183 3 4 42 590
Financial Risk Measurement for Financial Risk Management 0 0 0 207 2 5 40 628
Financial asset returns, direction-of-change forecasting, and volatility dynamics 0 0 1 216 6 8 21 441
Forecasting with Option Implied Information 0 0 2 175 2 9 81 469
Forward-Looking Betas 0 0 2 155 1 2 18 578
From Inflation to Growth: Eight Years of Transition 0 0 0 302 3 4 11 929
GARCH Option Valuation: Theory and Evidence 1 1 4 227 4 6 19 475
Horizon Problems and Extreme Events in Financial Risk Management 0 0 1 514 1 1 15 1,760
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 333 3 4 14 928
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 597 4 4 22 1,606
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 790 2 4 19 2,817
Illiquidity Premia in the Equity Options Market 0 0 0 58 0 1 12 271
Illiquidity Premia in the Equity Options Market 1 1 1 48 2 6 8 183
Interest Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk 0 0 0 131 4 4 14 472
Is Poland Ready for Inflation Targeting? 0 0 0 215 4 6 12 689
Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach 0 0 0 55 5 6 19 265
Is the Potential for International Diversification Disappearing? 0 0 1 5 1 2 9 36
Let's Get "Real" About Using Economic Data 0 0 0 146 0 0 6 532
Let's Get "Real" about Using Economic Data 0 0 0 95 1 2 24 479
Let's Get "Real"" about Using Economic Data" 0 0 0 168 1 1 14 912
Market Skewness Risk and the Cross-Section of Stock Returns 0 0 1 60 1 2 24 162
Martingale Tests of Value-at-Risk 0 0 0 1 1 4 20 887
Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices 0 0 0 122 1 3 12 383
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 44 3 3 17 253
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 120 3 5 17 203
Oil Volatility Risk and Expected Stock Returns 0 0 0 69 4 6 23 200
Optimal Prediction Under Asymmetric Loss 0 0 0 77 1 2 21 383
Optimal Prediction Under Asymmetric Loss 0 0 0 259 1 6 18 1,100
Optimal Prediction Under Asymmetric Loss 0 0 0 127 0 1 13 454
Optimal prediction under asymmetric loss 1 1 4 298 1 5 34 1,056
Option Anomalies and the Pricing Kernel 0 0 0 12 1 1 16 82
Option Valuation with Conditional Heteroskedasticity and Non-Normality 0 0 1 36 2 2 27 184
Option Valuation with Conditional Heteroskedasticity and Non-Normality 0 0 0 82 2 2 8 294
Option Valuation with Conditional Skewness 0 0 0 666 0 2 14 2,921
Option Valuation with Long-run and Short-run Volatility Components 0 0 0 78 2 2 13 273
Option Valuation with Long-run and Short-run Volatility Components 1 1 2 330 6 6 17 1,027
Option Valuation with Observable Volatility and Jump Dynamics 0 0 1 16 3 5 16 112
Option Valuation with Observable Volatility and Jump Dynamics 0 0 0 21 1 3 14 95
Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels 0 0 0 32 3 3 9 122
Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk 1 1 1 42 2 3 13 151
Option-Implied Measures of Equity Risk 0 0 0 166 2 6 20 360
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 421 3 3 29 929
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 569 5 6 34 1,227
Practical volatility and correlation modeling for financial market risk management 0 0 0 397 3 3 15 875
Rare Disasters and Credit Market Puzzles 0 0 0 38 0 1 11 130
Size Matters: The Impact of Capital Market Liberalization on Individual Firms 0 0 0 189 1 3 8 1,100
Testing and Comparing Value-at-Risk Measures 0 0 0 2,082 1 1 20 5,312
Testing, Comparing, and Combining Value at Risk Measures 0 0 0 622 1 4 20 1,306
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 0 0 0 101 3 3 11 419
The Factor Structure in Equity Options 0 0 1 35 2 7 31 200
The Importance of the Loss Function in Option Pricing 0 0 1 198 4 5 15 864
The Importance of the Loss Function in Option Valuation 0 1 2 268 3 7 19 1,125
The Informational Content of Over-the-Counter Currency Options 0 0 0 225 3 5 20 1,117
The Joint Dynamics of Equity Market Factors 0 1 1 85 1 5 13 226
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well 0 3 8 260 5 14 42 678
The informational content of over-the-counter currency options 0 0 0 137 3 3 15 747
Time-Varying Crash Risk: The Role of Stock Market Liquidity 0 0 0 65 1 1 18 145
Time-Varying Jump Intensities and Fat Tail Dynamics: Evidence from S&P500 Returns and Options 0 0 0 2 4 4 10 98
Value Creation through Real Options Management 0 0 0 169 6 6 14 363
Value creation, risk management, and real options 0 0 0 764 1 2 6 2,605
Volatility Components, Affine Restrictions and Non-Normal Innovations 0 0 1 70 5 6 15 251
Volatility Forecasting 0 0 1 562 4 6 38 1,040
Volatility Forecasting 0 1 2 952 4 6 35 1,314
Volatility forecasting 0 0 1 339 2 3 30 765
Which Volatility Model for Option Valuation? 0 0 0 622 0 2 13 1,590
Total Working Papers 5 15 69 24,545 232 389 1,815 75,685

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 2 7 589 1 4 29 1,677
Beta Risk in the Cross-Section of Equities 0 0 0 9 2 3 19 71
Capturing Option Anomalies with a Variance-Dependent Pricing Kernel 0 0 9 84 5 9 32 220
Cointegration and Long-Horizon Forecasting 0 0 0 0 3 3 16 474
Correlation dynamics and international diversification benefits 0 0 3 49 2 2 36 228
Does realized skewness predict the cross-section of equity returns? 0 5 10 455 12 45 132 1,421
Dynamic Dependence and Diversification in Corporate Credit* 1 1 1 1 4 5 17 21
Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options 0 0 5 152 3 4 27 454
Estimation risk in financial risk management 0 0 1 2 0 1 19 23
Evaluating Interval Forecasts 0 0 0 3 65 116 300 3,087
Evaluating Value-at-Risk Models with Desk-Level Data 1 3 4 137 4 8 33 399
Factor Structure in Commodity Futures Return and Volatility 0 0 0 12 3 6 15 78
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 1 3 3 55 6 16 37 326
From Inflation to Growth 0 0 0 31 3 5 13 99
Further Results on Forecasting and Model Selection under Asymmetric Loss 0 0 0 194 1 3 13 670
Horizon problems and extreme events in financial risk management 0 0 1 191 0 0 21 781
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 1 349 2 5 23 1,140
Illiquidity Premia in the Equity Options Market 0 1 3 11 12 21 42 115
Interest-Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk 0 0 0 0 3 3 7 1,048
Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach 2 2 6 102 3 8 36 356
Let's get "real" about using economic data 0 0 0 73 2 2 15 333
Market skewness risk and the cross section of stock returns 1 1 8 421 2 6 36 1,172
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 11 0 0 19 75
Oil volatility risk and expected stock returns 0 0 2 19 2 3 18 141
Optimal Prediction Under Asymmetric Loss 0 1 3 75 3 9 32 281
Option Valuation with Conditional Heteroskedasticity and Nonnormality 0 0 1 82 1 2 11 236
Option valuation with conditional skewness 0 0 2 223 2 3 15 538
Option valuation with long-run and short-run volatility components 0 0 0 284 3 5 28 960
Option valuation with observable volatility and jump dynamics 0 0 0 21 1 1 15 103
Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk 0 0 1 14 5 10 32 93
Option-Implied Measures of Equity Risk 0 1 5 83 3 7 24 245
Rare Disasters, Credit, and Option Market Puzzles 0 0 0 1 0 1 11 19
Size matters: The impact of financial liberalization on individual firms 0 0 0 33 1 1 43 184
Testing and comparing Value-at-Risk measures 0 0 1 270 3 3 17 737
The Accuracy of Density Forecasts from Foreign Exchange Options 1 1 1 59 1 3 15 183
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 0 0 2 38 4 4 15 130
The Factor Structure in Equity Options 0 0 4 18 0 1 37 106
The Joint Dynamics of Equity Market Factors 0 1 1 12 0 4 16 84
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well 0 1 8 90 4 10 36 325
The State Price Density Implied by Crude Oil Futures and Option Prices 2 2 6 23 2 3 21 60
The importance of the loss function in option valuation 0 0 2 144 4 11 30 520
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 15 221
Volatility Components, Affine Restrictions, and Nonnormal Innovations 0 0 0 32 1 1 11 138
Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices 1 1 2 73 6 7 18 258
Which GARCH Model for Option Valuation? 0 0 1 87 2 6 19 229
Total Journal Articles 11 26 104 4,660 186 370 1,419 20,078
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 4 35 241
Elements of Financial Risk Management 1 2 6 49 7 13 57 447
Total Books 1 2 8 88 9 17 92 688

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 4 8 63 404
Forecasting with Option-Implied Information 2 2 3 125 5 6 123 579
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 2 252 2 5 31 796
Value–at–Risk Models 0 0 0 0 4 4 9 9
Volatility and Correlation Forecasting 1 2 13 693 9 17 100 2,460
Total Chapters 3 4 20 1,132 24 40 326 4,248

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Statistics updated 2026-11-12