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 2 9 1,379 2 4 35 4,547
Cointegration and Long-Horizon Forecasting 0 0 0 549 0 2 12 1,761
Cointegration and Long-Horizon Forecasting 0 0 0 196 0 0 34 522
Cointegration and long-horizon forecasting 0 0 0 618 0 1 9 1,586
Company Flexibility, the Value of Management and Managerial Compensation 0 0 0 151 0 0 9 797
Correlation Dynamics and International Diversification Benefits 0 0 0 92 0 1 13 156
Création de valeur, gestion de risque et options réelles 0 0 0 795 1 2 6 3,092
Dating the Turning Points of Nordic Business Cycles 0 0 0 193 0 1 7 589
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 2 13 0 0 14 109
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 1 12 0 0 11 98
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 1 423 3 6 20 990
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 0 7 305
Do Asset Prices in Transition Countries Contain Information About Future Economic Activity? 0 0 0 48 2 3 9 316
Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns? 0 0 3 177 1 17 57 666
Does Realized Skewness Predict the Cross-Section of Equity Returns? 2 2 5 155 8 25 51 481
Dynamic Diversification in Corporate Credit 0 0 0 45 1 3 11 114
Equity Portfolio Management Using Option Price Information 0 0 0 31 1 2 12 188
Estimation Risk in Financial Risk Management 0 0 1 1,140 0 0 31 3,409
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 1 178 0 2 17 487
Evaluating Value-at-Risk models with desk-level data 0 0 3 339 0 0 15 933
Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options 0 0 1 112 1 1 7 240
Factor Structure in Commodity Futures Return and Volatility 0 0 1 80 1 3 21 193
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 1 213 0 4 21 615
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 230 0 2 23 699
Financial Asset Returns, Market Timing, and Volatility Dynamics 0 0 0 576 0 1 11 1,954
Financial Risk Measurement for Financial Risk Management 0 0 0 247 0 1 18 572
Financial Risk Measurement for Financial Risk Management 0 0 0 207 2 3 39 626
Financial Risk Measurement for Financial Risk Management 0 0 1 183 1 1 40 587
Financial asset returns, direction-of-change forecasting, and volatility dynamics 0 1 1 216 0 4 18 435
Forecasting with Option Implied Information 0 0 3 175 1 9 86 467
Forward-Looking Betas 0 0 2 155 0 1 18 577
From Inflation to Growth: Eight Years of Transition 0 0 0 302 0 1 8 926
GARCH Option Valuation: Theory and Evidence 0 1 3 226 0 3 15 471
Horizon Problems and Extreme Events in Financial Risk Management 0 0 1 514 0 0 16 1,759
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 333 0 1 11 925
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 597 0 0 20 1,602
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 790 2 2 17 2,815
Illiquidity Premia in the Equity Options Market 0 0 0 47 2 4 6 181
Illiquidity Premia in the Equity Options Market 0 0 0 58 0 1 13 271
Interest Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk 0 0 0 131 0 0 10 468
Is Poland Ready for Inflation Targeting? 0 0 0 215 1 2 10 685
Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach 0 0 0 55 0 1 16 260
Is the Potential for International Diversification Disappearing? 0 0 1 5 0 1 8 35
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 1 23 478
Let's Get "Real"" about Using Economic Data" 0 0 0 168 0 2 14 911
Market Skewness Risk and the Cross-Section of Stock Returns 0 0 1 60 0 1 23 161
Martingale Tests of Value-at-Risk 0 0 0 1 1 4 19 886
Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices 0 0 0 122 1 2 11 382
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 120 0 2 19 200
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 44 0 0 14 250
Oil Volatility Risk and Expected Stock Returns 0 0 0 69 1 3 19 196
Optimal Prediction Under Asymmetric Loss 0 0 0 259 1 5 17 1,099
Optimal Prediction Under Asymmetric Loss 0 0 0 127 1 1 13 454
Optimal Prediction Under Asymmetric Loss 0 0 0 77 0 1 21 382
Optimal prediction under asymmetric loss 0 0 4 297 2 6 34 1,055
Option Anomalies and the Pricing Kernel 0 0 0 12 0 1 15 81
Option Valuation with Conditional Heteroskedasticity and Non-Normality 0 0 0 82 0 0 7 292
Option Valuation with Conditional Heteroskedasticity and Non-Normality 0 0 1 36 0 0 26 182
Option Valuation with Conditional Skewness 0 0 0 666 0 3 14 2,921
Option Valuation with Long-run and Short-run Volatility Components 0 0 1 329 0 0 13 1,021
Option Valuation with Long-run and Short-run Volatility Components 0 0 0 78 0 0 11 271
Option Valuation with Observable Volatility and Jump Dynamics 0 0 1 16 0 2 16 109
Option Valuation with Observable Volatility and Jump Dynamics 0 0 0 21 0 2 13 94
Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels 0 0 0 32 0 1 6 119
Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk 0 0 0 41 0 1 11 149
Option-Implied Measures of Equity Risk 0 0 0 166 1 4 19 358
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 569 1 1 31 1,222
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 421 0 0 27 926
Practical volatility and correlation modeling for financial market risk management 0 0 0 397 0 0 17 872
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 2 7 1,099
Testing and Comparing Value-at-Risk Measures 0 0 0 2,082 0 0 23 5,311
Testing, Comparing, and Combining Value at Risk Measures 0 0 0 622 0 3 22 1,305
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 0 0 2 101 0 0 14 416
The Factor Structure in Equity Options 0 0 1 35 2 6 31 198
The Importance of the Loss Function in Option Pricing 0 0 1 198 1 1 13 860
The Importance of the Loss Function in Option Valuation 1 1 2 268 2 4 16 1,122
The Informational Content of Over-the-Counter Currency Options 0 0 0 225 1 2 17 1,114
The Joint Dynamics of Equity Market Factors 1 1 1 85 1 4 14 225
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well 2 4 8 260 5 10 39 673
The informational content of over-the-counter currency options 0 0 0 137 0 0 12 744
Time-Varying Crash Risk: The Role of Stock Market Liquidity 0 0 0 65 0 1 18 144
Time-Varying Jump Intensities and Fat Tail Dynamics: Evidence from S&P500 Returns and Options 0 0 1 2 0 0 7 94
Value Creation through Real Options Management 0 0 0 169 0 0 8 357
Value creation, risk management, and real options 0 0 0 764 1 2 5 2,604
Volatility Components, Affine Restrictions and Non-Normal Innovations 0 0 1 70 1 1 10 246
Volatility Forecasting 0 0 1 562 1 3 34 1,036
Volatility Forecasting 1 1 2 952 1 2 33 1,310
Volatility forecasting 0 0 1 339 1 2 28 763
Which Volatility Model for Option Valuation? 0 0 1 622 0 3 18 1,590
Total Working Papers 9 13 71 24,540 57 205 1,674 75,453

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 1 7 588 2 6 33 1,676
Beta Risk in the Cross-Section of Equities 0 0 0 9 0 1 17 69
Capturing Option Anomalies with a Variance-Dependent Pricing Kernel 0 0 9 84 2 4 29 215
Cointegration and Long-Horizon Forecasting 0 0 0 0 0 0 14 471
Correlation dynamics and international diversification benefits 0 0 3 49 0 1 37 226
Does realized skewness predict the cross-section of equity returns? 5 5 10 455 22 45 128 1,409
Dynamic Dependence and Diversification in Corporate Credit* 0 0 0 0 1 2 14 17
Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options 0 0 5 152 1 1 28 451
Estimation risk in financial risk management 0 0 1 2 0 2 19 23
Evaluating Interval Forecasts 0 0 0 3 20 83 249 3,022
Evaluating Value-at-Risk Models with Desk-Level Data 2 2 3 136 3 4 32 395
Factor Structure in Commodity Futures Return and Volatility 0 0 0 12 1 3 13 75
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 2 2 54 5 13 32 320
From Inflation to Growth 0 0 0 31 2 2 10 96
Further Results on Forecasting and Model Selection under Asymmetric Loss 0 0 0 194 0 4 12 669
Horizon problems and extreme events in financial risk management 0 0 1 191 0 0 23 781
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 1 349 1 5 22 1,138
Illiquidity Premia in the Equity Options Market 0 1 3 11 5 12 33 103
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 0 0 4 100 4 6 35 353
Let's get "real" about using economic data 0 0 0 73 0 2 14 331
Market skewness risk and the cross section of stock returns 0 1 7 420 2 5 34 1,170
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 11 0 1 21 75
Oil volatility risk and expected stock returns 0 0 2 19 0 1 17 139
Optimal Prediction Under Asymmetric Loss 0 3 3 75 2 10 30 278
Option Valuation with Conditional Heteroskedasticity and Nonnormality 0 0 1 82 0 2 11 235
Option valuation with conditional skewness 0 0 2 223 1 2 20 536
Option valuation with long-run and short-run volatility components 0 0 0 284 1 2 27 957
Option valuation with observable volatility and jump dynamics 0 0 0 21 0 0 15 102
Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk 0 0 1 14 2 5 27 88
Option-Implied Measures of Equity Risk 0 1 5 83 3 4 22 242
Rare Disasters, Credit, and Option Market Puzzles 0 0 0 1 1 1 11 19
Size matters: The impact of financial liberalization on individual firms 0 0 0 33 0 2 42 183
Testing and comparing Value-at-Risk measures 0 0 1 270 0 0 15 734
The Accuracy of Density Forecasts from Foreign Exchange Options 0 0 0 58 1 2 15 182
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 0 0 2 38 0 1 11 126
The Factor Structure in Equity Options 0 0 4 18 1 3 38 106
The Joint Dynamics of Equity Market Factors 1 1 1 12 3 4 16 84
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well 1 3 8 90 4 8 36 321
The State Price Density Implied by Crude Oil Futures and Option Prices 0 0 5 21 1 1 21 58
The importance of the loss function in option valuation 0 0 2 144 6 8 32 516
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 16 221
Volatility Components, Affine Restrictions, and Nonnormal Innovations 0 0 0 32 0 1 10 137
Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices 0 0 1 72 1 1 14 252
Which GARCH Model for Option Valuation? 0 0 2 87 2 4 20 227
Total Journal Articles 10 20 96 4,649 100 264 1,323 19,892
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 5 48 1 10 52 440
Elements of Financial Risk Management 0 0 2 39 0 2 33 239
Total Books 0 2 7 87 1 12 85 679

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 4 59 400
Forecasting with Option-Implied Information 0 0 2 123 1 3 122 574
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 1 2 252 1 4 29 794
Value–at–Risk Models 0 0 0 0 0 0 5 5
Volatility and Correlation Forecasting 0 2 12 692 4 11 94 2,451
Total Chapters 0 3 18 1,129 7 22 309 4,224

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Statistics updated 2026-10-11