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 1 2 2 1,371 5 8 16 4,518
Cointegration and Long-Horizon Forecasting 0 0 0 196 4 6 8 492
Cointegration and Long-Horizon Forecasting 0 0 0 549 2 2 6 1,751
Cointegration and long-horizon forecasting 0 0 1 618 1 2 5 1,578
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 0 92 3 5 7 147
Création de valeur, gestion de risque et options réelles 0 0 0 795 1 2 5 3,087
Dating the Turning Points of Nordic Business Cycles 0 0 0 193 0 1 1 583
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 0 422 0 1 3 971
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 1 11 1 2 4 88
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 0 11 1 1 4 96
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 0 0 5 298
Do Asset Prices in Transition Countries Contain Information About Future Economic Activity? 0 0 0 48 2 2 2 309
Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns? 0 1 4 175 0 1 7 610
Does Realized Skewness Predict the Cross-Section of Equity Returns? 0 0 1 150 4 5 12 435
Dynamic Diversification in Corporate Credit 0 0 0 45 1 1 2 104
Equity Portfolio Management Using Option Price Information 0 0 0 31 0 1 2 177
Estimation Risk in Financial Risk Management 0 0 3 1,139 7 10 24 3,385
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 0 177 4 6 7 475
Evaluating Value-at-Risk models with desk-level data 1 1 2 337 3 6 9 922
Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options 0 0 0 111 0 1 4 234
Factor Structure in Commodity Futures Return and Volatility 1 1 2 80 4 4 7 176
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 1 1 3 213 2 2 8 596
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 1 230 3 4 9 680
Financial Asset Returns, Market Timing, and Volatility Dynamics 0 0 0 576 0 0 2 1,943
Financial Risk Measurement for Financial Risk Management 0 0 1 207 4 7 10 592
Financial Risk Measurement for Financial Risk Management 0 1 4 182 7 11 24 555
Financial Risk Measurement for Financial Risk Management 0 0 0 247 6 8 12 561
Financial asset returns, direction-of-change forecasting, and volatility dynamics 0 0 1 215 2 5 6 422
Forecasting with Option Implied Information 0 1 3 173 3 11 19 391
Forward-Looking Betas 0 0 1 153 3 4 9 563
From Inflation to Growth: Eight Years of Transition 0 0 0 302 0 0 2 918
GARCH Option Valuation: Theory and Evidence 1 1 2 224 3 3 14 459
Horizon Problems and Extreme Events in Financial Risk Management 1 1 1 514 2 4 8 1,747
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 790 1 1 5 2,799
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 597 1 3 5 1,585
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 1 333 0 0 1 914
Illiquidity Premia in the Equity Options Market 0 0 0 47 0 1 4 175
Illiquidity Premia in the Equity Options Market 0 0 0 58 2 4 6 261
Interest Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk 0 0 0 131 0 0 1 458
Is Poland Ready for Inflation Targeting? 0 0 0 215 2 4 5 679
Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach 0 0 1 55 0 2 7 246
Is the Potential for International Diversification Disappearing? 0 0 0 4 1 1 3 28
Let's Get "Real" About Using Economic Data 0 0 0 146 0 3 5 526
Let's Get "Real" about Using Economic Data 0 0 0 95 3 3 5 458
Let's Get "Real"" about Using Economic Data" 0 0 0 168 0 1 4 898
Market Skewness Risk and the Cross-Section of Stock Returns 0 0 0 59 6 6 10 144
Martingale Tests of Value-at-Risk 0 0 0 1 1 1 1 868
Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices 0 0 0 122 1 1 3 372
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 44 1 1 3 237
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 120 2 8 8 188
Oil Volatility Risk and Expected Stock Returns 0 0 1 69 1 1 7 178
Optimal Prediction Under Asymmetric Loss 0 0 0 77 3 4 11 365
Optimal Prediction Under Asymmetric Loss 0 0 0 127 3 3 7 444
Optimal Prediction Under Asymmetric Loss 0 0 0 259 1 1 1 1,083
Optimal prediction under asymmetric loss 0 1 2 294 9 10 13 1,031
Option Anomalies and the Pricing Kernel 0 0 1 12 2 2 3 68
Option Valuation with Conditional Heteroskedasticity and Non-Normality 0 0 2 35 2 4 7 159
Option Valuation with Conditional Heteroskedasticity and Non-Normality 0 0 0 82 1 2 2 287
Option Valuation with Conditional Skewness 0 0 1 666 0 0 5 2,907
Option Valuation with Long-run and Short-run Volatility Components 0 0 1 78 1 1 4 261
Option Valuation with Long-run and Short-run Volatility Components 0 0 1 328 1 3 12 1,011
Option Valuation with Observable Volatility and Jump Dynamics 0 0 0 15 1 5 5 97
Option Valuation with Observable Volatility and Jump Dynamics 0 0 0 21 1 1 1 82
Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels 0 0 0 32 1 1 2 114
Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk 0 0 0 41 1 1 1 139
Option-Implied Measures of Equity Risk 0 0 1 166 1 2 6 341
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 569 3 6 6 1,196
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 2 421 3 5 9 903
Practical volatility and correlation modeling for financial market risk management 0 0 2 397 3 9 14 863
Rare Disasters and Credit Market Puzzles 0 0 0 38 1 1 1 120
Size Matters: The Impact of Capital Market Liberalization on Individual Firms 0 0 0 189 0 1 5 1,092
Testing and Comparing Value-at-Risk Measures 0 0 0 2,082 4 8 14 5,296
Testing, Comparing, and Combining Value at Risk Measures 0 0 1 622 2 5 6 1,288
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 0 2 4 101 0 8 16 408
The Factor Structure in Equity Options 0 0 1 34 0 3 5 169
The Importance of the Loss Function in Option Pricing 0 0 0 197 0 2 4 849
The Importance of the Loss Function in Option Valuation 0 0 0 266 0 1 4 1,106
The Informational Content of Over-the-Counter Currency Options 0 0 0 225 0 0 1 1,097
The Joint Dynamics of Equity Market Factors 0 0 0 84 1 3 5 214
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well 1 1 2 253 3 5 8 639
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 0 65 4 6 10 131
Time-Varying Jump Intensities and Fat Tail Dynamics: Evidence from S&P500 Returns and Options 0 1 1 2 0 1 1 88
Value Creation through Real Options Management 0 0 0 169 2 2 2 351
Value creation, risk management, and real options 0 0 1 764 2 2 4 2,601
Volatility Components, Affine Restrictions and Non-Normal Innovations 0 0 0 69 2 2 2 238
Volatility Forecasting 0 0 0 950 7 9 15 1,286
Volatility Forecasting 1 1 1 562 5 6 8 1,007
Volatility forecasting 0 0 1 338 0 0 3 735
Which Volatility Model for Option Valuation? 0 1 1 622 1 6 6 1,578
Total Working Papers 8 17 64 24,484 171 298 576 74,041

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 4 583 7 12 22 1,655
Beta Risk in the Cross-Section of Equities 0 0 0 9 0 0 5 52
Capturing Option Anomalies with a Variance-Dependent Pricing Kernel 0 0 3 75 2 4 8 190
Cointegration and Long-Horizon Forecasting 0 0 0 0 1 3 5 459
Correlation dynamics and international diversification benefits 2 2 4 48 4 7 25 196
Does realized skewness predict the cross-section of equity returns? 0 8 14 445 10 28 55 1,299
Dynamic Dependence and Diversification in Corporate Credit* 0 0 0 0 1 2 2 5
Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options 0 0 5 147 0 8 19 427
Estimation risk in financial risk management 0 0 1 1 2 2 6 6
Evaluating Interval Forecasts 0 0 0 3 4 30 77 2,791
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 0 133 1 5 12 367
Factor Structure in Commodity Futures Return and Volatility 0 0 1 12 4 7 9 67
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 52 1 2 9 290
From Inflation to Growth 0 0 0 31 4 4 5 90
Further Results on Forecasting and Model Selection under Asymmetric Loss 0 0 0 194 1 1 1 658
Horizon problems and extreme events in financial risk management 1 1 1 191 3 5 7 763
How Relevant is Volatility Forecasting for Financial Risk Management? 0 1 2 348 0 2 7 1,117
Illiquidity Premia in the Equity Options Market 0 0 1 8 0 3 5 73
Interest-Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk 0 0 0 0 2 3 3 1,043
Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach 0 0 0 96 3 6 16 323
Let's get "real" about using economic data 0 0 1 73 1 2 5 319
Market skewness risk and the cross section of stock returns 2 2 6 415 6 6 22 1,142
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 1 11 0 2 4 56
Oil volatility risk and expected stock returns 0 0 3 17 2 4 14 125
Optimal Prediction Under Asymmetric Loss 0 0 1 72 1 2 5 250
Option Valuation with Conditional Heteroskedasticity and Nonnormality 0 0 2 81 1 3 10 226
Option valuation with conditional skewness 1 1 4 222 2 10 16 525
Option valuation with long-run and short-run volatility components 0 1 3 284 2 5 10 934
Option valuation with observable volatility and jump dynamics 0 0 0 21 3 4 5 91
Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk 0 0 1 13 2 3 8 63
Option-Implied Measures of Equity Risk 0 0 1 78 0 1 11 221
Rare Disasters, Credit, and Option Market Puzzles 0 0 0 1 1 2 2 9
Size matters: The impact of financial liberalization on individual firms 0 0 0 33 1 1 2 142
Testing and comparing Value-at-Risk measures 0 0 3 269 2 3 9 722
The Accuracy of Density Forecasts from Foreign Exchange Options 0 0 1 58 1 2 6 169
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 0 0 1 36 1 1 5 116
The Factor Structure in Equity Options 0 0 1 14 1 5 10 70
The Joint Dynamics of Equity Market Factors 0 0 1 11 1 1 4 69
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well 0 1 3 82 2 8 18 291
The State Price Density Implied by Crude Oil Futures and Option Prices 0 1 4 17 2 4 9 41
The importance of the loss function in option valuation 0 0 2 142 2 8 16 492
Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity* 0 0 0 4 0 0 5 16
Towards a global financial architecture: capital mobility and risk management issues 0 0 0 44 1 2 3 207
Volatility Components, Affine Restrictions, and Nonnormal Innovations 0 0 0 32 0 0 2 127
Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices 0 0 3 71 1 4 13 241
Which GARCH Model for Option Valuation? 1 3 8 87 5 10 20 215
Total Journal Articles 8 23 86 4,564 91 227 532 18,750
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 6 11 38 396
Elements of Financial Risk Management 0 0 3 37 4 6 17 210
Total Books 0 0 9 80 10 17 55 606

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 60 5 5 18 346
Forecasting with Option-Implied Information 0 2 9 122 3 11 38 459
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 250 2 2 3 767
Volatility and Correlation Forecasting 1 2 7 681 7 12 37 2,367
Total Chapters 1 4 17 1,113 17 30 96 3,939

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Statistics updated 2025-12-06