Details about Peter F. Christoffersen

Access statistics for papers by Peter F. Christoffersen.

Last updated 2009-03-09. Update your information in the RePEc Author Service.

Short-id: pch343

Working Papers

2008

1. Option Valuation with Long-run and Short-run Volatility Components
   CREATES Research Papers, School of Economics and Management, University of Aarhus View citations
   Also in CIRANO Working Papers, CIRANO (2004)
   See also Journal Article in Journal of Financial Economics (2008)
2. Volatility Components, Affine Restrictions and Non-Normal Innovations
   CREATES Research Papers, School of Economics and Management, University of Aarhus View citations

2007

3. Forward-Looking Betas
   CREATES Research Papers, School of Economics and Management, University of Aarhus
4. Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices
   CREATES Research Papers, School of Economics and Management, University of Aarhus

2006

5. Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence
   PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations
6. Evaluating Value-at-Risk models with desk-level data
   Working Paper Series, North Carolina State University, Department of Economics View citations

2005

7. Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore
   Working Papers, Singapore Management University, School of Economics
8. Practical Volatility and Correlation Modeling for Financial Market Risk Management
   CFS Working Paper Series, Center for Financial Studies View citations
   Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005) View citations
   NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations
   See also Chapter (2007)
9. Volatility Forecasting
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
   Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005) View citations
   CFS Working Paper Series, Center for Financial Studies (2005) View citations

2004

10. Estimation Risk in Financial Risk Management
    CIRANO Working Papers, CIRANO View citations
11. Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics
    CFS Working Paper Series, Center for Financial Studies View citations
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2003) View citations
12. Martingale Tests of Value-at-Risk
    Econometric Society 2004 North American Winter Meetings, Econometric Society
13. The Informational Content of Over-the-Counter Currency Options
    CIRANO Working Papers, CIRANO View citations
    Also in Working Paper Series, European Central Bank (2004)

2003

14. Backtesting Value-at-Risk: A Duration-Based Approach
    CIRANO Working Papers, CIRANO View citations
    See also Journal Article in Journal of Financial Econometrics (2004)
15. Company Flexibility, the Value of Management and Managerial Compensation
    CIRANO Working Papers, CIRANO
16. Création de valeur, gestion de risque et options réelles
    CIRANO Burgundy Reports, CIRANO
17. Option Valuation with Conditional Skewness
    CIRANO Working Papers, CIRANO View citations
    See also Journal Article in Journal of Econometrics (2006)
18. Size Matters: The Impact of Capital Market Liberalization on Individual Firms
    CIRANO Working Papers, CIRANO View citations
19. The Importance of the Loss Function in Option Valuation
    CIRANO Working Papers, CIRANO View citations
    See also Journal Article in Journal of Financial Economics (2004)
20. Value creation, risk management, and real options
    CIRANO Burgundy Reports, CIRANO

2002

21. Financial Asset Returns, Market Timing, and Volatility Dynamics
    CIRANO Working Papers, CIRANO View citations
22. Which Volatility Model for Option Valuation?
    CIRANO Working Papers, CIRANO View citations

2001

23. Let's Get "Real" about Using Economic Data
    CIRANO Working Papers, CIRANO
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000)
    EPRU Working Paper Series, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics
    See also Journal Article in Journal of Empirical Finance (2002)
24. Testing and Comparing Value-at-Risk Measures
    CIRANO Working Papers, CIRANO View citations
    See also Journal Article in Journal of Empirical Finance (2001)
25. The Importance of the Loss Function in Option Pricing
    CIRANO Working Papers, CIRANO View citations
26. Value Creation through Real Options Management
    CIRANO Project Reports, CIRANO

2000

27. Do Asset Prices in Transition Countries Contain Information About Future Economic Activity?
    IMF Working Papers, International Monetary Fund View citations

1999

28. Interest Rate Arbitrage in Currency Baskets--Forecasting Weights and Measuring Risk
    IMF Working Papers, International Monetary Fund View citations
    See also Journal Article in Journal of Business & Economic Statistics (2000)
29. Is Poland Ready for Inflation Targeting?
    IMF Working Papers, International Monetary Fund View citations
30. Testing, Comparing, and Combining Value at Risk Measures
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations

1998

31. From Inflation to Growth - Eight Years of Transition
    IMF Working Papers, International Monetary Fund View citations
32. Horizon Problems and Extreme Events in Financial Risk Management
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations
    See also Journal Article in Economic Policy Review (1998)
33. How Relevant is Volatility Forecasting for Financial Risk Management?
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1997) View citations
    NBER Working Papers, National Bureau of Economic Research, Inc (1998) View citations
    See also Journal Article in The Review of Economics and Statistics (2000)

1997

34. Cointegration and Long-Horizon Forecasting
    IMF Working Papers, International Monetary Fund View citations
    Also in Working Papers, Federal Reserve Bank of Philadelphia (1997) View citations
    NBER Technical Working Papers, National Bureau of Economic Research, Inc (1997) View citations
    See also Journal Article in Journal of Business & Economic Statistics (1998)
35. Optimal prediction under asymmetric loss
    Working Papers, Federal Reserve Bank of Philadelphia View citations
    Also in Home Pages, University of Pennsylvania
    CARESS Working Papres, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences View citations
    NBER Technical Working Papers, National Bureau of Economic Research, Inc (1994) View citations
    See also Journal Article in Econometric Theory (1997)

Undated

36. Dating the Turning Points of Nordic Business Cycles
    EPRU Working Paper Series, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics View citations

Journal Articles

2008

1. Option valuation with long-run and short-run volatility components
   Journal of Financial Economics, 2008, 90, (3), 272-297 View citations
   See also Working Paper (2008)

2006

2. Option valuation with conditional skewness
   Journal of Econometrics, 2006, 131, (1-2), 253-284 View citations
   See also Working Paper (2003)
3. Size matters: The impact of financial liberalization on individual firms
   Journal of International Money and Finance, 2006, 25, (8), 1296-1318

2005

4. The Accuracy of Density Forecasts from Foreign Exchange Options
   Journal of Financial Econometrics, 2005, 3, (4), 578-605

2004

5. Backtesting Value-at-Risk: A Duration-Based Approach
   Journal of Financial Econometrics, 2004, 2, (1), 84-108 View citations
   See also Working Paper (2003)
6. The importance of the loss function in option valuation
   Journal of Financial Economics, 2004, 72, (2), 291-318 View citations
   See also Working Paper (2003)

2002

7. Let's get "real" about using economic data
   Journal of Empirical Finance, 2002, 9, (3), 343-360 View citations
   See also Working Paper (2001)

2001

8. Is inflation targeting feasible in Poland?
   The Economics of Transition, 2001, 9, (1), 153-174 View citations
9. Testing and comparing Value-at-Risk measures
   Journal of Empirical Finance, 2001, 8, (3), 325-342 View citations
   See also Working Paper (2001)

2000

10. From Inflation to Growth
    The Economics of Transition, 2000, 8, (2), 421-451 View citations
11. How Relevant is Volatility Forecasting for Financial Risk Management?
    The Review of Economics and Statistics, 2000, 82, (1), 12-22 View citations
    See also Working Paper (1998)
12. Interest-Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk
    Journal of Business & Economic Statistics, 2000, 18, (2), 242-53 View citations
    See also Working Paper (1999)
13. Towards a global financial architecture: capital mobility and risk management issues
    Emerging Markets Review, 2000, 1, (1), 3-20

1998

14. Cointegration and Long-Horizon Forecasting
    Journal of Business & Economic Statistics, 1998, 16, (4), 450-58 View citations
    See also Working Paper (1997)
15. Evaluating Interval Forecasts
    International Economic Review, 1998, 39, (4), 841-62 View citations
16. Horizon problems and extreme events in financial risk management
    Economic Policy Review, 1998, (Oct), 109-118 View citations
    See also Working Paper (1998)

1997

17. Optimal Prediction Under Asymmetric Loss
    Econometric Theory, 1997, 13, (06), 808-817 View citations
    See also Working Paper (1997)

1996

18. Further Results on Forecasting and Model Selection under Asymmetric Loss
    Journal of Applied Econometrics, 1996, 11, (5), 561-71 View citations

Chapters

2007

1. Practical Volatility and Correlation Modeling for Financial Market Risk Management
   A chapter in The Risks of Financial Institutions, 2007, pp 513-548
   See also Working Paper (2005)

2006

2. Volatility and Correlation Forecasting
   Elsevier View citations