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 1 2 1,371 3 14 24 4,527
Cointegration and Long-Horizon Forecasting 0 0 0 549 2 6 9 1,755
Cointegration and Long-Horizon Forecasting 0 0 0 196 11 27 31 515
Cointegration and long-horizon forecasting 0 0 1 618 1 2 5 1,579
Company Flexibility, the Value of Management and Managerial Compensation 0 0 0 151 4 5 5 793
Correlation Dynamics and International Diversification Benefits 0 0 0 92 4 8 11 152
Création de valeur, gestion de risque et options réelles 0 0 0 795 0 3 7 3,089
Dating the Turning Points of Nordic Business Cycles 0 0 0 193 1 2 3 585
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 0 11 5 8 9 103
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 1 11 7 9 11 96
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 1 1 1 423 4 7 9 978
Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore 0 0 2 103 5 5 10 303
Do Asset Prices in Transition Countries Contain Information About Future Economic Activity? 0 0 0 48 2 5 5 312
Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns? 0 1 4 176 7 10 16 620
Does Realized Skewness Predict the Cross-Section of Equity Returns? 1 1 2 151 7 11 17 442
Dynamic Diversification in Corporate Credit 0 0 0 45 2 3 4 106
Equity Portfolio Management Using Option Price Information 0 0 0 31 2 3 4 180
Estimation Risk in Financial Risk Management 0 0 2 1,139 11 19 34 3,397
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 0 177 1 8 11 479
Evaluating Value-at-Risk models with desk-level data 0 3 4 339 2 9 15 928
Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options 0 0 0 111 1 2 5 236
Factor Structure in Commodity Futures Return and Volatility 0 1 2 80 1 10 13 182
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 230 1 7 11 684
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 1 2 213 6 11 16 605
Financial Asset Returns, Market Timing, and Volatility Dynamics 0 0 0 576 2 2 3 1,945
Financial Risk Measurement for Financial Risk Management 0 0 3 182 5 20 32 568
Financial Risk Measurement for Financial Risk Management 0 0 0 247 1 14 17 569
Financial Risk Measurement for Financial Risk Management 0 0 0 207 8 26 31 614
Financial asset returns, direction-of-change forecasting, and volatility dynamics 0 0 1 215 1 5 9 425
Forecasting with Option Implied Information 0 0 3 173 12 51 66 439
Forward-Looking Betas 1 1 2 154 6 11 17 571
From Inflation to Growth: Eight Years of Transition 0 0 0 302 2 2 4 920
GARCH Option Valuation: Theory and Evidence 1 2 3 225 5 8 16 464
Horizon Problems and Extreme Events in Financial Risk Management 0 1 1 514 2 7 11 1,752
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 790 4 7 10 2,805
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 597 3 5 8 1,589
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 1 333 2 3 4 917
Illiquidity Premia in the Equity Options Market 0 0 0 47 0 0 4 175
Illiquidity Premia in the Equity Options Market 0 0 0 58 2 7 11 266
Interest Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk 0 0 0 131 5 6 6 464
Is Poland Ready for Inflation Targeting? 0 0 0 215 3 6 9 683
Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach 0 0 0 55 5 9 13 255
Is the Potential for International Diversification Disappearing? 0 1 1 5 1 6 8 33
Let's Get "Real" About Using Economic Data 0 0 0 146 3 5 9 531
Let's Get "Real" about Using Economic Data 0 0 0 95 10 13 15 468
Let's Get "Real"" about Using Economic Data" 0 0 0 168 2 3 7 901
Market Skewness Risk and the Cross-Section of Stock Returns 0 0 0 59 6 13 17 151
Martingale Tests of Value-at-Risk 0 0 0 1 6 10 10 877
Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices 0 0 0 122 0 4 6 375
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 44 8 11 12 247
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 120 2 6 12 192
Oil Volatility Risk and Expected Stock Returns 0 0 1 69 10 12 18 189
Optimal Prediction Under Asymmetric Loss 0 0 0 259 4 8 8 1,090
Optimal Prediction Under Asymmetric Loss 0 0 0 127 0 8 11 449
Optimal Prediction Under Asymmetric Loss 0 0 0 77 6 13 18 375
Optimal prediction under asymmetric loss 0 1 2 295 4 17 19 1,039
Option Anomalies and the Pricing Kernel 0 0 1 12 2 6 7 72
Option Valuation with Conditional Heteroskedasticity and Non-Normality 0 0 2 35 8 10 15 167
Option Valuation with Conditional Heteroskedasticity and Non-Normality 0 0 0 82 3 5 6 291
Option Valuation with Conditional Skewness 0 0 1 666 3 4 9 2,911
Option Valuation with Long-run and Short-run Volatility Components 0 0 1 78 7 8 11 268
Option Valuation with Long-run and Short-run Volatility Components 0 0 1 328 5 6 16 1,016
Option Valuation with Observable Volatility and Jump Dynamics 0 0 0 21 4 5 5 86
Option Valuation with Observable Volatility and Jump Dynamics 0 1 1 16 3 5 9 101
Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels 0 0 0 32 1 2 3 115
Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk 0 0 0 41 1 3 3 141
Option-Implied Measures of Equity Risk 0 0 1 166 4 8 12 348
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 569 3 8 11 1,201
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 1 421 2 10 14 910
Practical volatility and correlation modeling for financial market risk management 0 0 2 397 4 9 18 869
Rare Disasters and Credit Market Puzzles 0 0 0 38 5 6 6 125
Size Matters: The Impact of Capital Market Liberalization on Individual Firms 0 0 0 189 4 4 9 1,096
Testing and Comparing Value-at-Risk Measures 0 0 0 2,082 6 13 21 5,305
Testing, Comparing, and Combining Value at Risk Measures 0 0 0 622 5 9 12 1,295
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 0 0 4 101 1 4 18 412
The Factor Structure in Equity Options 0 0 1 34 8 11 16 180
The Importance of the Loss Function in Option Pricing 0 0 0 197 2 4 8 853
The Importance of the Loss Function in Option Valuation 0 0 0 266 3 4 8 1,110
The Informational Content of Over-the-Counter Currency Options 0 0 0 225 6 8 9 1,105
The Joint Dynamics of Equity Market Factors 0 0 0 84 3 4 8 217
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well 1 2 3 254 5 11 16 647
The informational content of over-the-counter currency options 0 0 0 137 9 9 10 741
Time-Varying Crash Risk: The Role of Stock Market Liquidity 0 0 0 65 4 9 15 136
Time-Varying Jump Intensities and Fat Tail Dynamics: Evidence from S&P500 Returns and Options 0 0 1 2 3 4 5 92
Value Creation through Real Options Management 0 0 0 169 4 6 6 355
Value creation, risk management, and real options 0 0 1 764 1 3 5 2,602
Volatility Components, Affine Restrictions and Non-Normal Innovations 0 0 0 69 1 4 4 240
Volatility Forecasting 0 0 0 950 5 14 22 1,293
Volatility Forecasting 0 1 1 562 6 16 18 1,018
Volatility forecasting 1 1 2 339 8 16 18 751
Which Volatility Model for Option Valuation? 0 0 1 622 5 8 13 1,585
Total Working Papers 6 20 66 24,496 364 768 1,112 74,638

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 0 2 5 584 4 12 24 1,660
Beta Risk in the Cross-Section of Equities 0 0 0 9 2 6 10 58
Capturing Option Anomalies with a Variance-Dependent Pricing Kernel 0 1 3 76 2 6 11 194
Cointegration and Long-Horizon Forecasting 0 0 0 0 2 5 8 463
Correlation dynamics and international diversification benefits 1 3 4 49 7 24 40 216
Does realized skewness predict the cross-section of equity returns? 2 3 15 448 8 44 82 1,333
Dynamic Dependence and Diversification in Corporate Credit* 0 0 0 0 3 5 6 9
Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options 1 1 5 148 5 5 22 432
Estimation risk in financial risk management 0 0 1 1 4 6 10 10
Evaluating Interval Forecasts 0 0 0 3 15 30 92 2,817
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 0 133 8 12 22 378
Factor Structure in Commodity Futures Return and Volatility 0 0 1 12 1 8 13 71
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 52 5 8 14 297
From Inflation to Growth 0 0 0 31 1 5 6 91
Further Results on Forecasting and Model Selection under Asymmetric Loss 0 0 0 194 1 5 5 662
Horizon problems and extreme events in financial risk management 0 1 1 191 6 10 13 770
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 2 348 4 5 11 1,122
Illiquidity Premia in the Equity Options Market 0 0 1 8 2 5 10 78
Interest-Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk 0 0 0 0 2 4 5 1,045
Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach 0 0 0 96 5 8 20 328
Let's get "real" about using economic data 0 0 1 73 4 6 10 324
Market skewness risk and the cross section of stock returns 0 4 6 417 5 14 23 1,150
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 11 4 4 7 60
Oil volatility risk and expected stock returns 0 1 2 18 5 10 18 133
Optimal Prediction Under Asymmetric Loss 0 0 0 72 5 8 10 257
Option Valuation with Conditional Heteroskedasticity and Nonnormality 0 0 1 81 3 4 11 229
Option valuation with conditional skewness 1 2 4 223 3 8 21 531
Option valuation with long-run and short-run volatility components 0 0 2 284 10 13 19 945
Option valuation with observable volatility and jump dynamics 0 0 0 21 4 9 11 97
Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk 0 1 2 14 9 13 19 74
Option-Implied Measures of Equity Risk 1 1 1 79 5 8 16 229
Rare Disasters, Credit, and Option Market Puzzles 0 0 0 1 4 5 6 13
Size matters: The impact of financial liberalization on individual firms 0 0 0 33 19 21 22 162
Testing and comparing Value-at-Risk measures 0 1 2 270 2 10 14 730
The Accuracy of Density Forecasts from Foreign Exchange Options 0 0 1 58 3 7 10 175
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 0 0 0 36 3 4 7 119
The Factor Structure in Equity Options 1 2 3 16 6 12 21 81
The Joint Dynamics of Equity Market Factors 0 0 1 11 5 6 9 74
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well 0 1 3 83 1 4 18 293
The State Price Density Implied by Crude Oil Futures and Option Prices 0 1 3 18 1 7 11 46
The importance of the loss function in option valuation 0 0 1 142 2 8 20 498
Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity* 0 0 0 4 1 1 4 17
Towards a global financial architecture: capital mobility and risk management issues 0 0 0 44 7 10 12 216
Volatility Components, Affine Restrictions, and Nonnormal Innovations 0 0 0 32 1 1 3 128
Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices 1 1 4 72 2 6 15 246
Which GARCH Model for Option Valuation? 0 1 8 87 2 8 21 218
Total Journal Articles 8 27 83 4,583 203 420 782 19,079
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 6 43 7 18 47 408
Elements of Financial Risk Management 0 0 3 37 8 19 31 225
Total Books 0 0 9 80 15 37 78 633

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 61 12 35 46 376
Forecasting with Option-Implied Information 0 0 7 122 20 78 103 534
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 1 1 251 6 11 12 776
Value–at–Risk Models 0 0 0 0 1 1 1 1
Volatility and Correlation Forecasting 0 1 6 681 16 42 67 2,402
Total Chapters 0 3 16 1,115 55 167 229 4,089

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Statistics updated 2026-02-12