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 0 1 1,369 2 3 5 4,506
Cointegration and Long-Horizon Forecasting 0 0 0 549 0 0 3 1,747
Cointegration and Long-Horizon Forecasting 0 0 0 196 1 1 2 485
Cointegration and long-horizon forecasting 0 1 1 618 0 1 4 1,576
Company Flexibility, the Value of Management and Managerial Compensation 0 0 0 151 0 0 0 788
Correlation Dynamics and International Diversification Benefits 0 0 2 92 0 0 4 141
Création de valeur, gestion de risque et options réelles 0 0 0 795 0 0 5 3,085
Dating the Turning Points of Nordic Business Cycles 0 0 0 193 0 0 1 582
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 1 11 0 0 3 86
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 0 11 0 1 3 95
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 0 422 0 0 2 969
Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore 0 2 2 103 0 3 5 297
Do Asset Prices in Transition Countries Contain Information About Future Economic Activity? 0 0 0 48 0 0 0 307
Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns? 0 1 5 174 0 1 7 607
Does Realized Skewness Predict the Cross-Section of Equity Returns? 0 0 4 149 1 2 28 428
Dynamic Diversification in Corporate Credit 0 0 0 45 0 0 1 103
Equity Portfolio Management Using Option Price Information 0 0 0 31 0 0 2 176
Estimation Risk in Financial Risk Management 0 0 3 1,139 2 5 13 3,371
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 0 177 0 0 1 469
Evaluating Value-at-Risk models with desk-level data 0 0 2 336 0 0 7 915
Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options 0 0 0 111 0 0 3 232
Factor Structure in Commodity Futures Return and Volatility 0 0 0 78 0 0 2 170
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 1 230 2 2 5 675
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 1 1 3 212 2 2 6 593
Financial Asset Returns, Market Timing, and Volatility Dynamics 0 0 0 576 0 0 3 1,943
Financial Risk Measurement for Financial Risk Management 0 0 1 207 0 1 4 585
Financial Risk Measurement for Financial Risk Management 0 1 3 181 1 3 12 542
Financial Risk Measurement for Financial Risk Management 0 0 0 247 0 0 8 552
Financial asset returns, direction-of-change forecasting, and volatility dynamics 0 1 1 215 0 1 1 417
Forecasting with Option Implied Information 2 2 3 172 3 5 11 380
Forward-Looking Betas 1 1 2 153 1 2 6 557
From Inflation to Growth: Eight Years of Transition 0 0 0 302 0 1 1 917
GARCH Option Valuation: Theory and Evidence 1 1 1 223 1 3 12 453
Horizon Problems and Extreme Events in Financial Risk Management 0 0 1 513 0 1 4 1,742
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 597 0 0 1 1,581
How Relevant is Volatility Forecasting for Financial Risk Management? 0 1 1 333 0 1 1 914
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 790 0 0 1 2,795
Illiquidity Premia in the Equity Options Market 0 0 0 58 0 0 2 257
Illiquidity Premia in the Equity Options Market 0 0 0 47 0 0 4 173
Interest Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk 0 0 1 131 0 0 2 458
Is Poland Ready for Inflation Targeting? 0 0 0 215 0 0 1 674
Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach 0 0 1 55 0 0 10 243
Is the Potential for International Diversification Disappearing? 0 0 0 4 0 1 1 26
Let's Get "Real" About Using Economic Data 0 0 0 146 0 0 2 523
Let's Get "Real" about Using Economic Data 0 0 0 95 0 1 2 455
Let's Get "Real"" about Using Economic Data" 0 0 0 168 0 0 2 896
Market Skewness Risk and the Cross-Section of Stock Returns 0 0 1 59 0 0 2 134
Martingale Tests of Value-at-Risk 0 0 0 1 0 0 3 867
Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices 0 0 0 122 1 1 2 370
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 120 0 0 1 180
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 44 0 0 4 236
Oil Volatility Risk and Expected Stock Returns 0 0 1 68 3 3 6 175
Optimal Prediction Under Asymmetric Loss 0 0 0 259 0 0 0 1,082
Optimal Prediction Under Asymmetric Loss 0 0 0 127 0 2 5 441
Optimal Prediction Under Asymmetric Loss 0 0 0 77 4 4 7 361
Optimal prediction under asymmetric loss 0 0 1 293 1 1 5 1,021
Option Anomalies and the Pricing Kernel 0 1 1 12 0 1 2 66
Option Valuation with Conditional Heteroskedasticity and Non-Normality 0 0 0 82 0 0 1 285
Option Valuation with Conditional Heteroskedasticity and Non-Normality 0 2 3 35 0 2 4 155
Option Valuation with Conditional Skewness 0 1 2 666 0 4 6 2,906
Option Valuation with Long-run and Short-run Volatility Components 0 0 1 328 0 0 4 1,003
Option Valuation with Long-run and Short-run Volatility Components 0 0 0 77 0 0 1 257
Option Valuation with Observable Volatility and Jump Dynamics 0 0 0 21 0 0 0 81
Option Valuation with Observable Volatility and Jump Dynamics 0 0 0 15 0 0 0 92
Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels 0 0 0 32 0 0 1 112
Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk 0 0 0 41 0 0 1 138
Option-Implied Measures of Equity Risk 0 0 5 166 1 1 8 338
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 2 421 0 0 6 898
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 569 0 0 3 1,190
Practical volatility and correlation modeling for financial market risk management 0 2 2 397 0 3 5 854
Rare Disasters and Credit Market Puzzles 0 0 0 38 0 0 0 119
Size Matters: The Impact of Capital Market Liberalization on Individual Firms 0 0 0 189 0 2 3 1,090
Testing and Comparing Value-at-Risk Measures 0 0 1 2,082 0 1 8 5,287
Testing, Comparing, and Combining Value at Risk Measures 0 0 1 622 0 0 1 1,283
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 1 1 1 98 2 2 6 397
The Factor Structure in Equity Options 1 1 1 34 1 1 2 166
The Importance of the Loss Function in Option Pricing 0 0 0 197 0 0 1 846
The Importance of the Loss Function in Option Valuation 0 0 2 266 1 1 7 1,105
The Informational Content of Over-the-Counter Currency Options 0 0 0 225 0 1 1 1,097
The Joint Dynamics of Equity Market Factors 0 0 0 84 0 1 2 210
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well 0 1 1 252 0 2 4 634
The informational content of over-the-counter currency options 0 0 0 137 0 0 1 732
Time-Varying Crash Risk: The Role of Stock Market Liquidity 0 0 1 65 3 3 7 124
Time-Varying Jump Intensities and Fat Tail Dynamics: Evidence from S&P500 Returns and Options 0 0 0 1 0 0 0 87
Value Creation through Real Options Management 0 0 0 169 0 0 0 349
Value creation, risk management, and real options 0 1 1 764 0 1 2 2,598
Volatility Components, Affine Restrictions and Non-Normal Innovations 0 0 0 69 0 0 0 236
Volatility Forecasting 0 0 2 950 0 1 8 1,274
Volatility Forecasting 0 0 3 561 0 0 8 1,000
Volatility forecasting 0 1 3 338 0 1 7 735
Which Volatility Model for Option Valuation? 0 0 0 621 0 0 0 1,572
Total Working Papers 7 23 76 24,462 33 80 348 73,669

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 3 581 2 5 15 1,642
Beta Risk in the Cross-Section of Equities 0 0 0 9 1 1 4 50
Capturing Option Anomalies with a Variance-Dependent Pricing Kernel 1 1 7 75 1 1 12 186
Cointegration and Long-Horizon Forecasting 0 0 0 0 0 1 3 456
Correlation dynamics and international diversification benefits 0 1 3 46 1 6 25 187
Does realized skewness predict the cross-section of equity returns? 2 4 38 437 5 12 98 1,265
Dynamic Dependence and Diversification in Corporate Credit* 0 0 0 0 0 0 0 3
Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options 0 3 6 146 1 6 15 417
Estimation risk in financial risk management 0 1 1 1 0 1 3 3
Evaluating Interval Forecasts 0 0 0 3 5 14 85 2,754
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 2 133 1 3 12 361
Factor Structure in Commodity Futures Return and Volatility 0 0 0 11 0 1 3 59
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 1 52 0 1 6 286
From Inflation to Growth 0 0 0 31 0 0 0 85
Further Results on Forecasting and Model Selection under Asymmetric Loss 0 0 0 194 0 0 0 657
Horizon problems and extreme events in financial risk management 0 0 0 190 0 0 1 757
How Relevant is Volatility Forecasting for Financial Risk Management? 1 1 3 347 2 3 8 1,114
Illiquidity Premia in the Equity Options Market 0 0 0 7 0 0 1 69
Interest-Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk 0 0 0 0 0 0 2 1,040
Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach 0 0 1 96 0 3 11 314
Let's get "real" about using economic data 0 0 1 73 0 0 2 316
Market skewness risk and the cross section of stock returns 0 2 6 413 1 3 20 1,133
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 2 11 0 0 3 54
Oil volatility risk and expected stock returns 0 1 4 17 2 4 12 119
Optimal Prediction Under Asymmetric Loss 0 0 1 72 0 0 2 247
Option Valuation with Conditional Heteroskedasticity and Nonnormality 0 1 6 81 1 5 16 223
Option valuation with conditional skewness 0 2 3 221 0 3 4 513
Option valuation with long-run and short-run volatility components 0 0 2 283 0 0 5 928
Option valuation with observable volatility and jump dynamics 0 0 0 21 0 1 2 87
Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk 1 1 1 13 1 2 7 59
Option-Implied Measures of Equity Risk 0 0 2 78 4 5 11 219
Rare Disasters, Credit, and Option Market Puzzles 0 0 0 1 0 0 0 7
Size matters: The impact of financial liberalization on individual firms 0 0 0 33 0 0 2 141
Testing and comparing Value-at-Risk measures 0 1 6 269 1 2 10 718
The Accuracy of Density Forecasts from Foreign Exchange Options 0 0 1 58 0 1 5 167
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 0 0 1 36 0 2 5 115
The Factor Structure in Equity Options 0 0 0 13 0 3 6 64
The Joint Dynamics of Equity Market Factors 0 1 1 11 0 2 2 67
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well 0 0 2 81 0 2 11 280
The State Price Density Implied by Crude Oil Futures and Option Prices 0 0 5 16 0 0 11 36
The importance of the loss function in option valuation 0 0 3 141 1 2 15 483
Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity* 0 0 1 4 0 2 6 16
Towards a global financial architecture: capital mobility and risk management issues 0 0 0 44 0 0 0 204
Volatility Components, Affine Restrictions, and Nonnormal Innovations 0 0 0 32 1 1 2 126
Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices 0 0 5 69 0 1 11 233
Which GARCH Model for Option Valuation? 1 2 3 81 1 3 8 200
Total Journal Articles 7 24 121 4,531 32 102 482 18,460
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 4 6 43 5 14 32 383
Elements of Financial Risk Management 1 1 5 37 1 4 15 204
Total Books 1 5 11 80 6 18 47 587

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 3 60 0 3 23 336
Forecasting with Option-Implied Information 0 2 13 118 2 8 36 443
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 1 250 0 0 4 764
Volatility and Correlation Forecasting 1 2 12 678 4 9 39 2,348
Total Chapters 1 4 29 1,106 6 20 102 3,891

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Statistics updated 2025-07-04