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 2 11 1,351 2 11 37 4,436
Cointegration and Long-Horizon Forecasting 0 0 0 544 1 2 9 1,724
Cointegration and long-horizon forecasting 0 0 0 612 1 2 10 1,550
Company Flexibility, the Value of Management and Managerial Compensation 0 0 0 151 0 0 1 782
Correlation Dynamics and International Diversification Benefits 0 0 3 85 0 1 8 123
Création de valeur, gestion de risque et options réelles 0 0 4 793 0 1 10 3,074
Dating the Turning Points of Nordic Business Cycles 0 1 2 188 1 4 11 551
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 0 10 1 1 4 83
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 1 2 3 419 2 4 10 951
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 0 9 1 2 13 76
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 99 1 1 3 285
Do Asset Prices in Transition Countries Contain Information About Future Economic Activity? 0 0 1 3 0 1 7 137
Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns? 0 2 4 146 1 7 18 513
Does Realized Skewness Predict the Cross-Section of Equity Returns? 0 1 7 121 5 11 38 316
Dynamic Diversification in Corporate Credit 0 0 3 43 0 1 10 88
Equity Portfolio Management Using Option Price Information 0 0 1 29 0 3 8 95
Estimation Risk in Financial Risk Management 0 0 2 1,107 3 8 22 3,301
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 2 168 0 5 20 431
Evaluating Value-at-Risk models with desk-level data 0 0 0 331 0 6 24 872
Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options 0 0 4 108 0 1 13 215
Factor Structure in Commodity Futures Return and Volatility 0 0 3 73 0 2 15 142
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 0 206 1 2 10 568
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 1 1 227 1 2 15 661
Financial Asset Returns, Market Timing, and Volatility Dynamics 1 1 1 573 2 2 5 1,928
Financial Risk Measurement for Financial Risk Management 0 1 8 232 3 12 50 458
Financial Risk Measurement for Financial Risk Management 0 0 2 191 5 6 25 518
Financial Risk Measurement for Financial Risk Management 1 1 3 172 4 6 33 441
Financial asset returns, direction-of-change forecasting, and volatility dynamics 0 0 0 211 3 5 15 397
Forecasting with Option Implied Information 0 0 1 148 0 1 15 326
Forward-Looking Betas 0 1 3 125 6 11 42 400
From Inflation to Growth; Eight Years of Transition 1 2 4 34 2 5 22 179
GARCH Option Valuation: Theory and Evidence 1 3 9 197 2 10 37 361
Horizon Problems and Extreme Events in Financial Risk Management 0 0 1 510 3 6 10 1,723
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 789 1 6 16 2,778
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 330 2 5 13 897
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 1 596 1 3 12 1,565
Illiquidity Premia in the Equity Options Market 0 0 1 55 0 3 21 188
Illiquidity Premia in the Equity Options Market 0 0 0 45 0 3 11 150
Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach 0 0 8 49 4 9 51 188
Is the Potential for International Diversification Disappearing? 0 0 2 2 0 1 5 21
Let's Get "Real" About Using Economic Data 0 0 0 145 1 1 6 517
Let's Get "Real" about Using Economic Data 0 0 1 95 0 1 4 445
Let's Get "Real"" about Using Economic Data" 0 0 0 168 0 1 3 891
Market Skewness Risk and the Cross-Section of Stock Returns 1 1 10 50 2 5 27 86
Martingale Tests of Value-at-Risk 0 0 0 1 1 2 6 813
Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices 0 0 2 116 0 0 5 347
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 1 117 1 3 6 162
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 39 0 0 2 206
Oil Volatility Risk and Expected Stock Returns 0 0 2 66 0 2 13 157
Optimal Prediction Under Asymmetric Loss 0 0 0 127 2 4 9 430
Optimal Prediction Under Asymmetric Loss 0 1 1 77 2 5 8 344
Optimal Prediction Under Asymmetric Loss 0 0 0 259 2 3 8 1,077
Optimal prediction under asymmetric loss 0 1 1 290 2 5 16 1,000
Option Anomalies and the Pricing Kernel 1 1 1 5 1 5 12 35
Option Valuation with Conditional Heteroskedasticity and Non-Normality 0 0 3 79 0 5 15 259
Option Valuation with Conditional Heteroskedasticity and Non-Normality 0 0 1 30 2 2 14 139
Option Valuation with Conditional Skewness 0 0 0 658 1 1 6 2,877
Option Valuation with Long-run and Short-run Volatility Components 1 1 5 74 1 2 14 235
Option Valuation with Long-run and Short-run Volatility Components 0 0 3 319 0 2 15 966
Option Valuation with Observable Volatility and Jump Dynamics 0 0 2 19 1 3 11 75
Option Valuation with Observable Volatility and Jump Dynamics 0 0 0 13 3 4 16 62
Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels 0 0 1 30 0 1 9 97
Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk 0 0 3 35 2 3 14 109
Option-Implied Measures of Equity Risk 0 1 8 146 1 4 21 287
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 1 416 2 3 16 853
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 1 3 566 2 7 27 1,163
Practical volatility and correlation modeling for financial market risk management 0 0 1 393 3 10 28 799
Rare Disasters and Credit Market Puzzles 0 0 0 35 2 7 15 111
Size Matters: The Impact of Capital Market Liberalization on Individual Firms 0 0 0 189 0 0 1 1,085
Testing and Comparing Value-at-Risk Measures 1 1 7 2,076 1 3 11 5,253
Testing, Comparing, and Combining Value at Risk Measures 2 3 10 610 5 10 33 1,231
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 0 0 1 88 0 3 9 348
The Factor Structure in Equity Options 0 1 1 29 1 4 9 131
The Importance of the Loss Function in Option Pricing 0 0 2 192 0 3 12 831
The Importance of the Loss Function in Option Valuation 0 1 1 259 0 3 10 1,044
The Informational Content of Over-the-Counter Currency Options 0 0 0 225 0 0 8 1,090
The Joint Dynamics of Equity Market Factors 0 0 1 84 0 2 9 199
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well 1 2 3 245 3 15 30 594
The informational content of over-the-counter currency options 0 0 1 137 0 2 5 723
Time-Varying Crash Risk: The Role of Stock Market Liquidity 1 1 3 60 2 3 13 90
Time-Varying Jump Intensities and Fat Tail Dynamics: Evidence from S&P500 Returns and Options 0 0 0 1 0 0 8 85
Value Creation through Real Options Management 0 0 0 169 0 0 1 346
Value creation, risk management, and real options 0 0 1 761 0 1 9 2,581
Volatility Components, Affine Restrictions and Non-Normal Innovations 0 0 0 67 0 4 12 225
Volatility Forecasting 0 0 3 943 3 4 27 1,220
Volatility Forecasting 0 1 1 534 2 9 26 867
Volatility forecasting 0 0 0 328 3 9 28 635
Which Volatility Model for Option Valuation? 0 0 0 619 0 0 2 1,563
Total Working Papers 13 35 181 23,066 113 338 1,308 68,175


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 8 31 517 8 32 120 1,432
Capturing Option Anomalies with a Variance-Dependent Pricing Kernel 0 2 9 44 1 5 19 116
Cointegration and Long-Horizon Forecasting 0 0 0 0 1 3 15 424
Correlation dynamics and international diversification benefits 0 0 3 27 1 3 15 101
Does realized skewness predict the cross-section of equity returns? 12 26 47 219 30 66 158 673
Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options 0 1 7 95 1 7 22 289
Evaluating Interval Forecasts 0 0 0 3 19 57 238 2,201
Evaluating Value-at-Risk Models with Desk-Level Data 0 2 16 104 1 6 46 268
Factor Structure in Commodity Futures Return and Volatility 2 2 4 6 2 3 16 25
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 1 1 3 42 4 4 21 240
From Inflation to Growth 0 0 3 31 0 0 3 81
Further Results on Forecasting and Model Selection under Asymmetric Loss 0 0 4 192 1 1 8 644
Horizon problems and extreme events in financial risk management 0 0 2 189 2 5 15 744
How Relevant is Volatility Forecasting for Financial Risk Management? 1 2 6 331 4 9 49 1,048
Illiquidity Premia in the Equity Options Market 0 0 3 4 0 1 13 27
Interest-Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk 0 0 0 0 0 1 5 1,031
Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach 1 1 5 72 7 11 33 233
Let's get "real" about using economic data 0 0 0 69 0 1 5 292
Market skewness risk and the cross section of stock returns 1 4 27 330 5 17 88 912
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 1 8 0 0 7 32
Oil volatility risk and expected stock returns 0 0 4 8 0 3 21 49
Optimal Prediction Under Asymmetric Loss 0 1 3 61 3 9 25 201
Option Valuation with Conditional Heteroskedasticity and Nonnormality 1 3 6 60 1 6 15 162
Option valuation with conditional skewness 1 1 6 187 3 7 29 437
Option valuation with long-run and short-run volatility components 1 1 6 259 3 6 32 854
Option valuation with observable volatility and jump dynamics 1 1 5 16 3 6 21 65
Option-Implied Measures of Equity Risk 0 1 4 56 1 4 20 156
Size matters: The impact of financial liberalization on individual firms 0 0 1 31 1 1 2 125
Testing and comparing Value-at-Risk measures 0 0 4 250 0 3 21 668
The Accuracy of Density Forecasts from Foreign Exchange Options 0 0 0 53 1 1 4 146
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 0 0 2 31 1 2 8 93
The Factor Structure in Equity Options 0 0 3 7 0 1 9 31
The Joint Dynamics of Equity Market Factors 0 0 0 9 1 3 7 54
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well 1 3 8 50 2 6 23 192
The importance of the loss function in option valuation 0 0 4 115 0 4 15 385
Towards a global financial architecture: capital mobility and risk management issues 0 0 0 42 0 0 6 195
Volatility Components, Affine Restrictions, and Nonnormal Innovations 0 1 2 32 0 2 10 118
Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices 0 2 3 39 1 4 12 165
Which GARCH Model for Option Valuation? 1 2 8 61 2 6 31 144
Total Journal Articles 25 65 240 3,650 110 306 1,207 15,053


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 1 11 20 9 17 98 240
Elements of Financial Risk Management 0 1 7 13 1 7 29 75
Total Books 0 2 18 33 10 24 127 315


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 6 43 5 11 48 171
Forecasting with Option-Implied Information 0 0 8 70 2 7 60 267
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 7 243 3 11 41 709
Volatility and Correlation Forecasting 1 6 42 592 7 26 134 2,043
Total Chapters 1 6 63 948 17 55 283 3,190


Statistics updated 2020-11-03