Access Statistics for Peter F. Christoffersen

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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 5 1,363 0 2 20 4,482
Cointegration and Long-Horizon Forecasting 0 0 0 196 0 0 3 481
Cointegration and Long-Horizon Forecasting 0 0 1 548 0 0 8 1,741
Cointegration and long-horizon forecasting 0 0 1 616 1 1 6 1,563
Company Flexibility, the Value of Management and Managerial Compensation 0 0 0 151 0 0 3 787
Correlation Dynamics and International Diversification Benefits 0 0 2 88 0 0 5 133
Création de valeur, gestion de risque et options réelles 0 0 2 795 0 0 4 3,079
Dating the Turning Points of Nordic Business Cycles 0 1 1 190 1 4 13 575
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 1 11 0 1 7 91
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 0 421 0 1 5 961
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 0 9 0 0 1 80
Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore 0 0 1 101 0 0 3 291
Do Asset Prices in Transition Countries Contain Information About Future Economic Activity? 0 0 0 47 0 0 3 306
Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns? 0 1 3 154 1 3 9 547
Does Realized Skewness Predict the Cross-Section of Equity Returns? 0 2 6 130 2 6 24 353
Dynamic Diversification in Corporate Credit 0 0 1 44 0 1 8 99
Equity Portfolio Management Using Option Price Information 0 0 0 30 0 1 27 128
Estimation Risk in Financial Risk Management 0 4 6 1,117 0 4 14 3,331
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 3 174 0 0 11 457
Evaluating Value-at-Risk models with desk-level data 0 0 2 333 0 3 10 898
Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options 0 1 2 111 0 2 7 228
Factor Structure in Commodity Futures Return and Volatility 0 0 3 77 1 3 14 163
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 206 0 0 5 579
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 227 0 0 1 666
Financial Asset Returns, Market Timing, and Volatility Dynamics 0 1 1 575 0 1 5 1,939
Financial Risk Measurement for Financial Risk Management 0 0 2 237 1 2 25 510
Financial Risk Measurement for Financial Risk Management 0 0 4 198 1 2 14 559
Financial Risk Measurement for Financial Risk Management 0 0 1 176 2 5 36 506
Financial asset returns, direction-of-change forecasting, and volatility dynamics 1 1 2 213 1 3 8 413
Forecasting with Option Implied Information 0 1 4 155 1 2 8 339
Forward-Looking Betas 1 3 11 140 2 7 58 488
From Inflation to Growth: Eight Years of Transition 0 0 5 301 1 2 11 906
GARCH Option Valuation: Theory and Evidence 0 0 9 215 0 1 19 411
Horizon Problems and Extreme Events in Financial Risk Management 0 0 0 511 0 1 8 1,734
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 331 1 1 5 907
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 597 1 1 7 1,575
How Relevant is Volatility Forecasting for Financial Risk Management? 0 1 1 790 0 2 6 2,788
Illiquidity Premia in the Equity Options Market 0 0 2 58 2 3 16 218
Illiquidity Premia in the Equity Options Market 0 0 1 46 0 0 5 164
Interest Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk 0 0 0 130 0 0 0 453
Is Poland Ready for Inflation Targeting? 0 0 0 215 0 0 3 673
Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach 0 0 0 53 0 2 19 223
Is the Potential for International Diversification Disappearing? 0 0 0 4 0 0 2 25
Let's Get "Real" About Using Economic Data 0 0 0 146 0 0 0 521
Let's Get "Real" about Using Economic Data 0 0 0 95 0 0 2 453
Let's Get "Real"" about Using Economic Data" 0 0 0 168 0 0 1 893
Market Skewness Risk and the Cross-Section of Stock Returns 0 0 2 54 0 2 11 113
Martingale Tests of Value-at-Risk 0 0 0 1 0 3 19 844
Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices 0 0 1 119 0 0 4 356
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 40 1 1 7 221
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 2 119 0 0 7 175
Oil Volatility Risk and Expected Stock Returns 0 0 0 66 0 0 1 164
Optimal Prediction Under Asymmetric Loss 0 0 0 127 0 0 3 436
Optimal Prediction Under Asymmetric Loss 0 0 0 259 0 0 2 1,080
Optimal Prediction Under Asymmetric Loss 0 0 0 77 0 0 4 352
Optimal prediction under asymmetric loss 0 0 1 291 1 1 6 1,012
Option Anomalies and the Pricing Kernel 0 0 2 7 1 2 5 48
Option Valuation with Conditional Heteroskedasticity and Non-Normality 0 1 2 32 0 2 6 147
Option Valuation with Conditional Heteroskedasticity and Non-Normality 0 0 1 81 0 1 11 280
Option Valuation with Conditional Skewness 0 0 1 661 0 0 3 2,886
Option Valuation with Long-run and Short-run Volatility Components 0 0 1 75 0 0 9 249
Option Valuation with Long-run and Short-run Volatility Components 0 0 3 322 0 1 13 982
Option Valuation with Observable Volatility and Jump Dynamics 0 1 1 20 0 1 2 79
Option Valuation with Observable Volatility and Jump Dynamics 0 1 1 14 1 3 12 86
Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels 0 1 1 32 0 1 5 107
Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk 0 1 2 39 0 1 5 125
Option-Implied Measures of Equity Risk 0 1 8 161 1 3 19 329
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 1 1 568 1 2 5 1,178
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 417 2 2 9 872
Practical volatility and correlation modeling for financial market risk management 0 0 0 394 1 2 8 816
Rare Disasters and Credit Market Puzzles 0 0 1 38 0 0 1 114
Size Matters: The Impact of Capital Market Liberalization on Individual Firms 0 0 0 189 0 0 0 1,087
Testing and Comparing Value-at-Risk Measures 0 0 1 2,077 1 1 6 5,266
Testing, Comparing, and Combining Value at Risk Measures 0 0 2 620 0 1 8 1,277
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 0 1 2 95 0 2 11 378
The Factor Structure in Equity Options 0 0 1 32 1 1 14 157
The Importance of the Loss Function in Option Pricing 0 0 3 197 0 0 8 845
The Importance of the Loss Function in Option Valuation 0 1 1 262 0 3 28 1,086
The Informational Content of Over-the-Counter Currency Options 0 0 0 225 0 0 3 1,094
The Joint Dynamics of Equity Market Factors 0 0 0 84 0 1 4 206
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well 1 1 2 248 1 2 8 615
The informational content of over-the-counter currency options 0 0 0 137 0 0 1 729
Time-Varying Crash Risk: The Role of Stock Market Liquidity 1 2 2 62 1 3 6 110
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 0 0 761 0 0 5 2,592
Volatility Components, Affine Restrictions and Non-Normal Innovations 0 0 1 68 1 1 5 234
Volatility Forecasting 0 0 0 945 1 1 15 1,254
Volatility Forecasting 2 4 9 547 4 7 45 943
Volatility forecasting 0 1 1 330 0 4 26 695
Which Volatility Model for Option Valuation? 0 0 0 619 0 0 5 1,569
Total Working Papers 6 34 139 24,175 38 122 844 72,341


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 7 18 562 3 17 65 1,577
Beta Risk in the Cross-Section of Equities 1 1 5 8 1 3 14 34
Capturing Option Anomalies with a Variance-Dependent Pricing Kernel 0 1 5 56 1 5 16 151
Cointegration and Long-Horizon Forecasting 0 0 0 0 0 0 8 444
Correlation dynamics and international diversification benefits 0 0 1 33 0 0 12 126
Does realized skewness predict the cross-section of equity returns? 2 8 54 307 5 25 151 916
Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options 1 1 11 115 3 6 32 344
Evaluating Interval Forecasts 0 0 0 3 3 28 130 2,492
Evaluating Value-at-Risk Models with Desk-Level Data 1 1 6 121 1 4 22 323
Factor Structure in Commodity Futures Return and Volatility 0 1 3 9 1 2 14 50
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 1 2 45 1 6 11 263
From Inflation to Growth 0 0 0 31 0 0 0 83
Further Results on Forecasting and Model Selection under Asymmetric Loss 0 0 1 193 0 0 6 656
Horizon problems and extreme events in financial risk management 0 0 1 190 0 0 4 754
How Relevant is Volatility Forecasting for Financial Risk Management? 1 1 7 341 1 1 21 1,090
Illiquidity Premia in the Equity Options Market 0 1 2 6 0 3 12 60
Interest-Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk 0 0 0 0 0 0 1 1,038
Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach 2 3 9 88 2 3 22 280
Let's get "real" about using economic data 1 2 2 71 2 4 12 310
Market skewness risk and the cross section of stock returns 2 8 27 373 4 18 55 1,019
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 8 0 0 5 45
Oil volatility risk and expected stock returns 0 0 1 11 0 1 22 89
Optimal Prediction Under Asymmetric Loss 0 0 5 68 0 0 12 236
Option Valuation with Conditional Heteroskedasticity and Nonnormality 0 1 7 71 0 1 18 190
Option valuation with conditional skewness 0 4 15 206 0 7 26 485
Option valuation with long-run and short-run volatility components 0 3 10 275 1 9 31 900
Option valuation with observable volatility and jump dynamics 0 0 0 18 0 0 2 78
Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk 0 1 3 8 1 3 17 37
Option-Implied Measures of Equity Risk 0 3 10 73 0 5 17 191
Rare Disasters, Credit, and Option Market Puzzles 0 0 0 0 0 0 0 4
Size matters: The impact of financial liberalization on individual firms 0 0 0 32 0 1 4 133
Testing and comparing Value-at-Risk measures 0 1 1 254 0 4 9 688
The Accuracy of Density Forecasts from Foreign Exchange Options 0 0 1 57 0 1 6 158
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 0 0 1 33 0 1 5 100
The Factor Structure in Equity Options 0 0 3 13 0 0 8 54
The Joint Dynamics of Equity Market Factors 0 0 0 10 0 0 4 61
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well 0 0 4 70 0 3 24 251
The importance of the loss function in option valuation 0 0 3 124 1 4 20 428
Towards a global financial architecture: capital mobility and risk management issues 0 0 0 42 0 0 2 200
Volatility Components, Affine Restrictions, and Nonnormal Innovations 0 0 0 32 0 0 2 122
Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices 0 2 6 48 2 5 12 184
Which GARCH Model for Option Valuation? 0 2 3 70 1 4 18 176
Total Journal Articles 11 53 227 4,075 34 174 872 16,820


Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Elements of Financial Risk Management 1 1 4 25 2 4 41 309
Elements of Financial Risk Management 0 0 5 22 2 9 39 135
Total Books 1 1 9 47 4 13 80 444


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 1 47 4 8 36 230
Forecasting with Option-Implied Information 2 4 10 88 5 11 35 336
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 1 1 246 0 2 19 743
Volatility and Correlation Forecasting 2 5 19 628 6 18 70 2,184
Total Chapters 4 10 31 1,009 15 39 160 3,493


Statistics updated 2022-08-04