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Details about Peter F. Christoffersen

Homepage:http://www.christoffersen.com
Workplace:Finance, Rotman School of Management, University of Toronto, (more information at EDIRC)
Center for Research in Econometric Analysis of Time Series (CREATES), Institut for Økonomi (Department of Economics and Business), Aarhus Universitet (University of Aarhus), (more information at EDIRC)
Copenhagen Business School, (more information at EDIRC)

Access statistics for papers by Peter F. Christoffersen.

Last updated 2016-11-07. Update your information in the RePEc Author Service.

Short-id: pch343


Jump to Journal Articles Chapters

Working Papers

2016

  1. Time-Varying Crash Risk: The Role of Stock Market Liquidity
    Staff Working Papers, Bank of Canada Downloads

2015

  1. Option Valuation with Observable Volatility and Jump Dynamics
    Staff Working Papers, Bank of Canada Downloads View citations (2)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) Downloads

    See also Journal Article in Journal of Banking & Finance (2015)
  2. Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads

2014

  1. Equity Portfolio Management Using Option Price Information
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
  2. Factor Structure in Commodity Futures Return and Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
  3. Nonlinear Kalman Filtering in Affine Term Structure Models
    Cahiers de recherche, CIRPEE Downloads View citations (7)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012) Downloads View citations (2)

    See also Journal Article in Management Science (2014)
  4. Oil Volatility Risk and Expected Stock Returns
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
  5. Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)

2013

  1. Correlation Dynamics and International Diversification Benefits
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    See also Journal Article in International Journal of Forecasting (2014)
  2. Does Realized Skewness Predict the Cross-Section of Equity Returns?
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (4)
    See also Journal Article in Journal of Financial Economics (2015)
  3. Dynamic Diversification in Corporate Credit
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
  4. Illiquidity Premia in the Equity Options Market
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) Downloads View citations (2)
  5. Rare Disasters and Credit Market Puzzles
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
  6. The Factor Structure in Equity Options
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)

2012

  1. Financial Risk Measurement for Financial Risk Management
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2011) Downloads View citations (3)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) Downloads View citations (1)

    See also Chapter (2013)
  2. GARCH Option Valuation: Theory and Evidence
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
  3. Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (66)
    See also Journal Article in Review of Financial Studies (2012)
  4. The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation
    Staff Working Papers, Bank of Canada Downloads View citations (5)
    See also Journal Article in Journal of Financial and Quantitative Analysis (2014)

2011

  1. Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns?
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
  2. Forecasting with Option Implied Information
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (17)
    See also Chapter (2013)
  3. The Joint Dynamics of Equity Market Factors
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)
    See also Journal Article in Journal of Financial and Quantitative Analysis (2013)

2010

  1. Is the Potential for International Diversification Disappearing?
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center Downloads
  2. Market Skewness Risk and the Cross-Section of Stock Returns
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center Downloads
    See also Journal Article in Journal of Financial Economics (2013)
  3. Option Anomalies and the Pricing Kernel
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center Downloads
  4. Time-Varying Jump Intensities and Fat Tail Dynamics: Evidence from S&P500 Returns and Options
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center Downloads

2009

  1. Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options
    CIRANO Working Papers, CIRANO Downloads View citations (3)
  2. Option Valuation with Conditional Heteroskedasticity and Non-Normality
    CIRANO Working Papers, CIRANO Downloads View citations (9)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) Downloads View citations (14)

    See also Journal Article in Review of Financial Studies (2010)
  3. Option-Implied Measures of Equity Risk
    CIRANO Working Papers, CIRANO Downloads View citations (15)
    See also Journal Article in Review of Finance (2011)
  4. The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (63)
    See also Journal Article in Management Science (2009)

2008

  1. Evaluating Value-at-Risk Models with Desk-Level Data
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    Also in Working Paper Series, North Carolina State University, Department of Economics (2006) Downloads View citations (7)

    See also Journal Article in Management Science (2011)
  2. Option Valuation with Long-run and Short-run Volatility Components
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (52)
    Also in CIRANO Working Papers, CIRANO (2004) Downloads View citations (2)

    See also Journal Article in Journal of Financial Economics (2008)
  3. Volatility Components, Affine Restrictions and Non-Normal Innovations
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    See also Journal Article in Journal of Business & Economic Statistics (2010)

2007

  1. Forward-Looking Betas
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (3)
  2. Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (5)

2006

  1. 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 Downloads View citations (4)
    Also in Finance Working Papers, East Asian Bureau of Economic Research (2006) Downloads View citations (1)
    Finance Working Papers, East Asian Bureau of Economic Research (2006) Downloads View citations (1)

2005

  1. 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 Downloads
  2. Practical Volatility and Correlation Modeling for Financial Market Risk Management
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Downloads View citations (10)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2005) Downloads View citations (8)
    NBER Working Papers, National Bureau of Economic Research, Inc (2005) Downloads View citations (13)

    See also Chapter (2007)
  3. Volatility Forecasting
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (29)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005) Downloads View citations (45)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2005) Downloads View citations (26)

2004

  1. Estimation Risk in Financial Risk Management
    CIRANO Working Papers, CIRANO Downloads View citations (8)
  2. Martingale Tests of Value-at-Risk
    Econometric Society 2004 North American Winter Meetings, Econometric Society
  3. The Informational Content of Over-the-Counter Currency Options
    CIRANO Working Papers, CIRANO Downloads View citations (2)
    Also in Working Paper Series, European Central Bank (2004) Downloads

2003

  1. Backtesting Value-at-Risk: A Duration-Based Approach
    CIRANO Working Papers, CIRANO Downloads View citations (22)
    See also Journal Article in Journal of Financial Econometrics (2004)
  2. Company Flexibility, the Value of Management and Managerial Compensation
    CIRANO Working Papers, CIRANO Downloads View citations (1)
  3. Création de valeur, gestion de risque et options réelles
    CIRANO Burgundy Reports, CIRANO Downloads
  4. Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (8)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2003) Downloads View citations (4)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2003) Downloads View citations (3)

    See also Journal Article in Management Science (2006)
  5. Option Valuation with Conditional Skewness
    CIRANO Working Papers, CIRANO Downloads View citations (7)
    See also Journal Article in Journal of Econometrics (2006)
  6. Size Matters: The Impact of Capital Market Liberalization on Individual Firms
    CIRANO Working Papers, CIRANO Downloads View citations (1)
  7. The Importance of the Loss Function in Option Valuation
    CIRANO Working Papers, CIRANO Downloads View citations (2)
    See also Journal Article in Journal of Financial Economics (2004)
  8. Value creation, risk management, and real options
    CIRANO Burgundy Reports, CIRANO Downloads View citations (2)

2002

  1. Financial Asset Returns, Market Timing, and Volatility Dynamics
    CIRANO Working Papers, CIRANO Downloads View citations (6)
  2. Which Volatility Model for Option Valuation?
    CIRANO Working Papers, CIRANO Downloads View citations (6)

2001

  1. Let's Get "Real"" about Using Economic Data"
    CIRANO Working Papers, CIRANO Downloads View citations (1)
    Also in EPRU Working Paper Series, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics Downloads
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) Downloads View citations (2)

    See also Journal Article in Journal of Empirical Finance (2002)
  2. Testing and Comparing Value-at-Risk Measures
    CIRANO Working Papers, CIRANO Downloads View citations (47)
    See also Journal Article in Journal of Empirical Finance (2001)
  3. The Importance of the Loss Function in Option Pricing
    CIRANO Working Papers, CIRANO Downloads View citations (9)
  4. Value Creation through Real Options Management
    CIRANO Project Reports, CIRANO Downloads

1999

  1. Testing, Comparing, and Combining Value at Risk Measures
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania Downloads View citations (7)

1998

  1. Horizon Problems and Extreme Events in Financial Risk Management
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania Downloads View citations (18)
    See also Journal Article in Economic Policy Review (1998)
  2. How Relevant is Volatility Forecasting for Financial Risk Management?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1998) Downloads View citations (8)
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1997) Downloads View citations (4)

    See also Journal Article in The Review of Economics and Statistics (2000)

1997

  1. Cointegration and Long-Horizon Forecasting
    IMF Working Papers, International Monetary Fund Downloads View citations (14)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (1997) Downloads View citations (10)
    NBER Technical Working Papers, National Bureau of Economic Research, Inc (1997) Downloads View citations (35)

    See also Journal Article in Journal of Business & Economic Statistics (1998)
  2. Optimal prediction under asymmetric loss
    Working Papers, Federal Reserve Bank of Philadelphia Downloads View citations (127)
    Also in Home Pages, University of Pennsylvania Downloads
    CARESS Working Papres, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences Downloads View citations (125)
    NBER Technical Working Papers, National Bureau of Economic Research, Inc (1994) Downloads View citations (11)

    See also Journal Article in Econometric Theory (1997)

Undated

  1. Dating the Turning Points of Nordic Business Cycles
    EPRU Working Paper Series, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics Downloads View citations (5)

Journal Articles

2015

  1. Does realized skewness predict the cross-section of equity returns?
    Journal of Financial Economics, 2015, 118, (1), 135-167 Downloads View citations (14)
    See also Working Paper (2013)
  2. Option valuation with observable volatility and jump dynamics
    Journal of Banking & Finance, 2015, 61, (S2), S101-S120 Downloads View citations (2)
    See also Working Paper (2015)

2014

  1. Correlation dynamics and international diversification benefits
    International Journal of Forecasting, 2014, 30, (3), 807-824 Downloads View citations (8)
    See also Working Paper (2013)
  2. Nonlinear Kalman Filtering in Affine Term Structure Models
    Management Science, 2014, 60, (9), 2248-2268 Downloads View citations (2)
    See also Working Paper (2014)
  3. The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation
    Journal of Financial and Quantitative Analysis, 2014, 49, (03), 663-697 Downloads View citations (17)
    See also Working Paper (2012)

2013

  1. Capturing Option Anomalies with a Variance-Dependent Pricing Kernel
    Review of Financial Studies, 2013, 26, (8), 1963-2006 Downloads View citations (19)
  2. Market skewness risk and the cross section of stock returns
    Journal of Financial Economics, 2013, 107, (1), 46-68 Downloads View citations (44)
    See also Working Paper (2010)
  3. The Joint Dynamics of Equity Market Factors
    Journal of Financial and Quantitative Analysis, 2013, 48, (05), 1371-1404 Downloads View citations (11)
    See also Working Paper (2011)

2012

  1. Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options
    Journal of Financial Economics, 2012, 106, (3), 447-472 Downloads View citations (21)
  2. Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach
    Review of Financial Studies, 2012, 25, (12), 3711-3751 Downloads View citations (63)
    See also Working Paper (2012)

2011

  1. Evaluating Value-at-Risk Models with Desk-Level Data
    Management Science, 2011, 57, (12), 2213-2227 Downloads View citations (64)
    See also Working Paper (2008)
  2. Option-Implied Measures of Equity Risk
    Review of Finance, 2011, 16, (2), 385-428 Downloads
    See also Working Paper (2009)

2010

  1. Option Valuation with Conditional Heteroskedasticity and Nonnormality
    Review of Financial Studies, 2010, 23, (5), 2139-2183 Downloads View citations (29)
    See also Working Paper (2009)
  2. Volatility Components, Affine Restrictions, and Nonnormal Innovations
    Journal of Business & Economic Statistics, 2010, 28, (4), 483-502 Downloads View citations (17)
    See also Working Paper (2008)
  3. Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices
    Review of Financial Studies, 2010, 23, (8), 3141-3189 Downloads View citations (28)

2009

  1. The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
    Management Science, 2009, 55, (12), 1914-1932 Downloads View citations (60)
    See also Working Paper (2009)

2008

  1. Option valuation with long-run and short-run volatility components
    Journal of Financial Economics, 2008, 90, (3), 272-297 Downloads View citations (52)
    See also Working Paper (2008)

2006

  1. Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics
    Management Science, 2006, 52, (8), 1273-1287 Downloads View citations (43)
    See also Working Paper (2003)
  2. Option valuation with conditional skewness
    Journal of Econometrics, 2006, 131, (1-2), 253-284 Downloads View citations (73)
    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 Downloads View citations (8)

2005

  1. The Accuracy of Density Forecasts from Foreign Exchange Options
    Journal of Financial Econometrics, 2005, 3, (4), 578-605 Downloads View citations (20)

2004

  1. Backtesting Value-at-Risk: A Duration-Based Approach
    Journal of Financial Econometrics, 2004, 2, (1), 84-108 Downloads View citations (85)
    See also Working Paper (2003)
  2. The importance of the loss function in option valuation
    Journal of Financial Economics, 2004, 72, (2), 291-318 Downloads View citations (57)
    See also Working Paper (2003)
  3. Which GARCH Model for Option Valuation?
    Management Science, 2004, 50, (9), 1204-1221 Downloads View citations (63)

2002

  1. Let's get "real" about using economic data
    Journal of Empirical Finance, 2002, 9, (3), 343-360 Downloads View citations (17)
    See also Working Paper (2001)

2001

  1. Is inflation targeting feasible in Poland?
    The Economics of Transition, 2001, 9, (1), 153-174 Downloads View citations (13)
  2. Testing and comparing Value-at-Risk measures
    Journal of Empirical Finance, 2001, 8, (3), 325-342 Downloads View citations (56)
    See also Working Paper (2001)

2000

  1. From Inflation to Growth
    The Economics of Transition, 2000, 8, (2), 421-451 Downloads View citations (17)
  2. How Relevant is Volatility Forecasting for Financial Risk Management?
    The Review of Economics and Statistics, 2000, 82, (1), 12-22 Downloads View citations (86)
    See also Working Paper (1998)
  3. Interest-Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk
    Journal of Business & Economic Statistics, 2000, 18, (2), 242-53 View citations (6)
  4. Towards a global financial architecture: capital mobility and risk management issues
    Emerging Markets Review, 2000, 1, (1), 3-20 Downloads View citations (3)

1998

  1. Cointegration and Long-Horizon Forecasting
    Journal of Business & Economic Statistics, 1998, 16, (4), 450-58 View citations (53)
    See also Working Paper (1997)
  2. Evaluating Interval Forecasts
    International Economic Review, 1998, 39, (4), 841-62 View citations (566)
  3. Horizon problems and extreme events in financial risk management
    Economic Policy Review, 1998, (Oct), 109-118 Downloads View citations (16)
    See also Working Paper (1998)

1997

  1. Optimal Prediction Under Asymmetric Loss
    Econometric Theory, 1997, 13, (06), 808-817 Downloads View citations (137)
    See also Working Paper (1997)

1996

  1. Further Results on Forecasting and Model Selection under Asymmetric Loss
    Journal of Applied Econometrics, 1996, 11, (5), 561-71 Downloads View citations (65)

Chapters

2013

  1. Financial Risk Measurement for Financial Risk Management
    Elsevier Downloads View citations (8)
    See also Working Paper (2012)
  2. Forecasting with Option-Implied Information
    Elsevier Downloads View citations (1)
    See also Working Paper (2011)

2007

  1. Practical Volatility and Correlation Modeling for Financial Market Risk Management
    A chapter in The Risks of Financial Institutions, 2007, pp 513-548 Downloads View citations (4)
    See also Working Paper (2005)

2006

  1. Volatility and Correlation Forecasting
    Elsevier Downloads View citations (99)
 
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