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 0 1 1,369 1 1 4 4,504
Cointegration and Long-Horizon Forecasting 0 0 0 196 0 0 2 484
Cointegration and Long-Horizon Forecasting 0 0 0 549 0 0 3 1,747
Cointegration and long-horizon forecasting 0 1 1 618 0 1 4 1,576
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 2 92 0 0 4 141
Création de valeur, gestion de risque et options réelles 0 0 0 795 0 1 5 3,085
Dating the Turning Points of Nordic Business Cycles 0 0 0 193 0 0 1 582
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 0 11 1 1 3 95
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 1 1 11 0 1 3 86
Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence 0 0 0 422 0 0 2 969
Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore 0 2 2 103 0 3 5 297
Do Asset Prices in Transition Countries Contain Information About Future Economic Activity? 0 0 0 48 0 0 0 307
Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns? 0 1 6 174 0 2 8 607
Does Realized Skewness Predict the Cross-Section of Equity Returns? 0 0 4 149 1 2 30 427
Dynamic Diversification in Corporate Credit 0 0 0 45 0 0 1 103
Equity Portfolio Management Using Option Price Information 0 0 0 31 0 0 2 176
Estimation Risk in Financial Risk Management 0 1 5 1,139 1 5 13 3,369
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 0 177 0 0 1 469
Evaluating Value-at-Risk models with desk-level data 0 0 2 336 0 0 7 915
Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options 0 0 0 111 0 0 3 232
Factor Structure in Commodity Futures Return and Volatility 0 0 0 78 0 0 2 170
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 2 211 0 1 4 591
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 1 230 0 0 3 673
Financial Asset Returns, Market Timing, and Volatility Dynamics 0 0 0 576 0 1 3 1,943
Financial Risk Measurement for Financial Risk Management 0 0 1 247 0 0 13 552
Financial Risk Measurement for Financial Risk Management 0 0 1 207 1 2 5 585
Financial Risk Measurement for Financial Risk Management 1 2 3 181 2 3 11 541
Financial asset returns, direction-of-change forecasting, and volatility dynamics 0 1 1 215 0 1 1 417
Forecasting with Option Implied Information 0 0 2 170 0 2 10 377
Forward-Looking Betas 0 0 1 152 0 1 6 556
From Inflation to Growth: Eight Years of Transition 0 0 0 302 0 1 1 917
GARCH Option Valuation: Theory and Evidence 0 0 0 222 0 2 11 452
Horizon Problems and Extreme Events in Financial Risk Management 0 0 1 513 1 1 4 1,742
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 790 0 0 1 2,795
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 0 597 0 0 1 1,581
How Relevant is Volatility Forecasting for Financial Risk Management? 1 1 1 333 1 1 1 914
Illiquidity Premia in the Equity Options Market 0 0 0 47 0 0 4 173
Illiquidity Premia in the Equity Options Market 0 0 0 58 0 1 2 257
Interest Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk 0 0 1 131 0 0 2 458
Is Poland Ready for Inflation Targeting? 0 0 0 215 0 0 1 674
Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach 0 0 1 55 0 1 12 243
Is the Potential for International Diversification Disappearing? 0 0 0 4 1 1 1 26
Let's Get "Real" About Using Economic Data 0 0 0 146 0 0 2 523
Let's Get "Real" about Using Economic Data 0 0 0 95 0 1 2 455
Let's Get "Real"" about Using Economic Data" 0 0 0 168 0 0 2 896
Market Skewness Risk and the Cross-Section of Stock Returns 0 0 2 59 0 0 4 134
Martingale Tests of Value-at-Risk 0 0 0 1 0 0 3 867
Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices 0 0 0 122 0 0 1 369
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 44 0 1 4 236
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 0 120 0 0 1 180
Oil Volatility Risk and Expected Stock Returns 0 0 1 68 0 0 4 172
Optimal Prediction Under Asymmetric Loss 0 0 0 259 0 0 0 1,082
Optimal Prediction Under Asymmetric Loss 0 0 0 77 0 0 4 357
Optimal Prediction Under Asymmetric Loss 0 0 0 127 1 2 5 441
Optimal prediction under asymmetric loss 0 0 1 293 0 0 4 1,020
Option Anomalies and the Pricing Kernel 1 1 1 12 1 1 3 66
Option Valuation with Conditional Heteroskedasticity and Non-Normality 2 2 3 35 2 2 5 155
Option Valuation with Conditional Heteroskedasticity and Non-Normality 0 0 0 82 0 0 2 285
Option Valuation with Conditional Skewness 0 1 2 666 3 4 6 2,906
Option Valuation with Long-run and Short-run Volatility Components 0 0 0 77 0 0 1 257
Option Valuation with Long-run and Short-run Volatility Components 0 1 1 328 0 3 5 1,003
Option Valuation with Observable Volatility and Jump Dynamics 0 0 0 21 0 0 0 81
Option Valuation with Observable Volatility and Jump Dynamics 0 0 0 15 0 0 0 92
Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels 0 0 0 32 0 0 1 112
Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk 0 0 0 41 0 0 1 138
Option-Implied Measures of Equity Risk 0 0 5 166 0 0 7 337
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 1 2 421 0 1 6 898
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 0 569 0 0 3 1,190
Practical volatility and correlation modeling for financial market risk management 0 2 2 397 1 3 5 854
Rare Disasters and Credit Market Puzzles 0 0 0 38 0 0 0 119
Size Matters: The Impact of Capital Market Liberalization on Individual Firms 0 0 0 189 2 2 3 1,090
Testing and Comparing Value-at-Risk Measures 0 0 1 2,082 0 3 8 5,287
Testing, Comparing, and Combining Value at Risk Measures 0 0 1 622 0 0 1 1,283
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 0 0 0 97 0 0 4 395
The Factor Structure in Equity Options 0 0 0 33 0 0 1 165
The Importance of the Loss Function in Option Pricing 0 0 0 197 0 0 1 846
The Importance of the Loss Function in Option Valuation 0 0 2 266 0 2 7 1,104
The Informational Content of Over-the-Counter Currency Options 0 0 0 225 0 1 1 1,097
The Joint Dynamics of Equity Market Factors 0 0 0 84 0 1 2 210
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well 1 1 1 252 2 2 5 634
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 1 65 0 0 4 121
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 1 1 1 764 1 1 2 2,598
Volatility Components, Affine Restrictions and Non-Normal Innovations 0 0 0 69 0 0 0 236
Volatility Forecasting 0 0 2 950 1 2 8 1,274
Volatility Forecasting 0 0 3 561 0 0 9 1,000
Volatility forecasting 0 1 3 338 0 2 8 735
Which Volatility Model for Option Valuation? 0 0 0 621 0 0 0 1,572
Total Working Papers 7 21 75 24,455 24 70 346 73,636

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 2 580 2 3 13 1,640
Beta Risk in the Cross-Section of Equities 0 0 0 9 0 0 3 49
Capturing Option Anomalies with a Variance-Dependent Pricing Kernel 0 1 8 74 0 1 14 185
Cointegration and Long-Horizon Forecasting 0 0 0 0 0 1 4 456
Correlation dynamics and international diversification benefits 0 1 3 46 2 8 24 186
Does realized skewness predict the cross-section of equity returns? 0 2 36 435 2 7 98 1,260
Dynamic Dependence and Diversification in Corporate Credit* 0 0 0 0 0 0 0 3
Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options 0 3 6 146 0 6 16 416
Estimation risk in financial risk management 0 1 1 1 0 1 3 3
Evaluating Interval Forecasts 0 0 0 3 5 12 83 2,749
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 2 133 0 2 14 360
Factor Structure in Commodity Futures Return and Volatility 0 0 0 11 0 1 3 59
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 0 0 1 52 0 2 6 286
From Inflation to Growth 0 0 0 31 0 0 0 85
Further Results on Forecasting and Model Selection under Asymmetric Loss 0 0 0 194 0 0 0 657
Horizon problems and extreme events in financial risk management 0 0 0 190 0 0 1 757
How Relevant is Volatility Forecasting for Financial Risk Management? 0 0 2 346 0 1 6 1,112
Illiquidity Premia in the Equity Options Market 0 0 0 7 0 1 1 69
Interest-Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk 0 0 0 0 0 0 2 1,040
Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach 0 0 1 96 0 4 11 314
Let's get "real" about using economic data 0 0 1 73 0 0 2 316
Market skewness risk and the cross section of stock returns 1 2 7 413 1 3 22 1,132
Nonlinear Kalman Filtering in Affine Term Structure Models 0 0 2 11 0 0 3 54
Oil volatility risk and expected stock returns 0 1 4 17 1 2 11 117
Optimal Prediction Under Asymmetric Loss 0 0 1 72 0 0 2 247
Option Valuation with Conditional Heteroskedasticity and Nonnormality 1 1 6 81 3 4 15 222
Option valuation with conditional skewness 1 2 3 221 2 3 4 513
Option valuation with long-run and short-run volatility components 0 0 3 283 0 1 7 928
Option valuation with observable volatility and jump dynamics 0 0 0 21 0 1 3 87
Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk 0 0 0 12 1 3 7 58
Option-Implied Measures of Equity Risk 0 0 2 78 1 2 7 215
Rare Disasters, Credit, and Option Market Puzzles 0 0 1 1 0 0 1 7
Size matters: The impact of financial liberalization on individual firms 0 0 0 33 0 0 2 141
Testing and comparing Value-at-Risk measures 1 1 6 269 1 1 9 717
The Accuracy of Density Forecasts from Foreign Exchange Options 0 1 1 58 0 2 5 167
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation 0 0 1 36 0 2 5 115
The Factor Structure in Equity Options 0 0 0 13 2 3 6 64
The Joint Dynamics of Equity Market Factors 0 1 1 11 1 2 2 67
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well 0 1 2 81 0 4 11 280
The State Price Density Implied by Crude Oil Futures and Option Prices 0 1 6 16 0 1 12 36
The importance of the loss function in option valuation 0 0 5 141 1 3 18 482
Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity* 0 0 1 4 1 3 6 16
Towards a global financial architecture: capital mobility and risk management issues 0 0 0 44 0 0 0 204
Volatility Components, Affine Restrictions, and Nonnormal Innovations 0 0 0 32 0 0 1 125
Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices 0 0 5 69 0 1 12 233
Which GARCH Model for Option Valuation? 1 1 4 80 2 2 9 199
Total Journal Articles 6 21 124 4,524 28 93 484 18,428
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 1 5 6 43 2 15 27 378
Elements of Financial Risk Management 0 0 4 36 2 6 17 203
Total Books 1 5 10 79 4 21 44 581

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 3 60 0 5 26 336
Forecasting with Option-Implied Information 1 2 14 118 3 6 39 441
Practical Volatility and Correlation Modeling for Financial Market Risk Management 0 0 1 250 0 0 4 764
Volatility and Correlation Forecasting 0 1 12 677 1 5 39 2,344
Total Chapters 1 4 30 1,105 4 16 108 3,885

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Statistics updated 2025-06-06

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