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Details about Peter F. Christoffersen

This author is deceased (2018-06-22).

Access statistics for papers by Peter F. Christoffersen.

Last updated 2023-03-10. Update your information in the RePEc Author Service.

Short-id: pch343


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Working Papers

2016

  1. Time-Varying Crash Risk: The Role of Stock Market Liquidity
    Staff Working Papers, Bank of Canada Downloads View citations (4)

2015

  1. Option Valuation with Observable Volatility and Jump Dynamics
    Staff Working Papers, Bank of Canada Downloads View citations (24)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) Downloads

    See also Journal Article Option valuation with observable volatility and jump dynamics, Journal of Banking & Finance, Elsevier (2015) Downloads View citations (18) (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
    See also Journal Article Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk, Journal of Financial and Quantitative Analysis, Cambridge University Press (2021) Downloads View citations (6) (2021)

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 (5)
    See also Journal Article Factor Structure in Commodity Futures Return and Volatility, Journal of Financial and Quantitative Analysis, Cambridge University Press (2019) Downloads View citations (32) (2019)
  3. Nonlinear Kalman Filtering in Affine Term Structure Models
    Cahiers de recherche, CIRPEE Downloads View citations (38)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012) Downloads View citations (2)

    See also Journal Article Nonlinear Kalman Filtering in Affine Term Structure Models, Management Science, INFORMS (2014) Downloads View citations (37) (2014)
  4. Oil Volatility Risk and Expected Stock Returns
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)
    See also Journal Article Oil volatility risk and expected stock returns, Journal of Banking & Finance, Elsevier (2018) Downloads View citations (53) (2018)
  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 (5)

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 Correlation dynamics and international diversification benefits, International Journal of Forecasting, Elsevier (2014) Downloads View citations (68) (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 (8)
    See also Journal Article Does realized skewness predict the cross-section of equity returns?, Journal of Financial Economics, Elsevier (2015) Downloads View citations (225) (2015)
  3. Dynamic Diversification in Corporate Credit
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)
  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 (3)

    See also Journal Article Illiquidity Premia in the Equity Options Market, The Review of Financial Studies, Society for Financial Studies (2018) Downloads View citations (40) (2018)
  5. Rare Disasters and Credit Market Puzzles
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
  6. The Factor Structure in Equity Options
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (4)
    See also Journal Article The Factor Structure in Equity Options, The Review of Financial Studies, Society for Financial Studies (2018) Downloads View citations (19) (2018)

2012

  1. Financial Risk Measurement for Financial Risk Management
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (9)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2011) Downloads View citations (8)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) Downloads View citations (5)

    See also Chapter Financial Risk Measurement for Financial Risk Management, Handbook of the Economics of Finance, Elsevier (2013) Downloads View citations (41) (2013)
  2. GARCH Option Valuation: Theory and Evidence
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)
  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 (256)
    See also Journal Article Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach, The Review of Financial Studies, Society for Financial Studies (2012) Downloads View citations (256) (2012)
  4. The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation
    Staff Working Papers, Bank of Canada Downloads View citations (9)
    See also Journal Article The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation, Journal of Financial and Quantitative Analysis, Cambridge University Press (2014) Downloads View citations (70) (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 (4)
  2. Forecasting with Option Implied Information
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (26)
    See also Chapter Forecasting with Option-Implied Information, Handbook of Economic Forecasting, Elsevier (2013) Downloads View citations (30) (2013)
  3. The Joint Dynamics of Equity Market Factors
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (3)
    See also Journal Article The Joint Dynamics of Equity Market Factors, Journal of Financial and Quantitative Analysis, Cambridge University Press (2013) Downloads View citations (38) (2013)

2010

  1. Is the Potential for International Diversification Disappearing?
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center Downloads View citations (4)
  2. Market Skewness Risk and the Cross-Section of Stock Returns
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center Downloads View citations (3)
    See also Journal Article Market skewness risk and the cross section of stock returns, Journal of Financial Economics, Elsevier (2013) Downloads View citations (183) (2013)
  3. Option Anomalies and the Pricing Kernel
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center Downloads View citations (6)
  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 (7)
  2. Option Valuation with Conditional Heteroskedasticity and Non-Normality
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (24)
    Also in CIRANO Working Papers, CIRANO (2009) Downloads View citations (16)

    See also Journal Article Option Valuation with Conditional Heteroskedasticity and Nonnormality, The Review of Financial Studies, Society for Financial Studies (2010) Downloads View citations (56) (2010)
  3. Option-Implied Measures of Equity Risk
    CIRANO Working Papers, CIRANO Downloads View citations (30)
    See also Journal Article Option-Implied Measures of Equity Risk, Review of Finance, European Finance Association (2011) Downloads View citations (11) (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 (213)
    See also Journal Article The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well, Management Science, INFORMS (2009) Downloads View citations (212) (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 (2)
    Also in Working Paper Series, North Carolina State University, Department of Economics (2006) Downloads

    See also Journal Article Evaluating Value-at-Risk Models with Desk-Level Data, Management Science, INFORMS (2011) Downloads View citations (143) (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 (124)
    Also in CIRANO Working Papers, CIRANO (2004) Downloads View citations (3)

    See also Journal Article Option valuation with long-run and short-run volatility components, Journal of Financial Economics, Elsevier (2008) Downloads View citations (129) (2008)
  3. Volatility Components, Affine Restrictions and Non-Normal Innovations
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (3)
    See also Journal Article Volatility Components, Affine Restrictions, and Nonnormal Innovations, Journal of Business & Economic Statistics, American Statistical Association (2010) Downloads View citations (37) (2010)

2007

  1. Forward-Looking Betas
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (5)
  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 (10)

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 (9)
    Also in Finance Working Papers, East Asian Bureau of Economic Research (2006) Downloads View citations (8)
    Finance Working Papers, East Asian Bureau of Economic Research (2006) Downloads View citations (8)

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
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (24)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2005) Downloads View citations (19)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005) Downloads View citations (17)

    See also Chapter Practical Volatility and Correlation Modeling for Financial Market Risk Management, NBER Chapters, National Bureau of Economic Research, Inc (2007) Downloads View citations (20) (2007)
  3. Volatility Forecasting
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (41)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005) Downloads View citations (56)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2005) Downloads View citations (38)

2004

  1. Estimation Risk in Financial Risk Management
    CIRANO Working Papers, CIRANO Downloads View citations (20)
    See also Journal Article Estimation risk in financial risk management, Journal of Risk, Journal of Risk Downloads
  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 (5)
    Also in Working Paper Series, European Central Bank (2004) Downloads View citations (5)

2003

  1. Backtesting Value-at-Risk: A Duration-Based Approach
    CIRANO Working Papers, CIRANO Downloads View citations (31)
    See also Journal Article Backtesting Value-at-Risk: A Duration-Based Approach, Journal of Financial Econometrics, Oxford University Press (2004) Downloads View citations (169) (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
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Downloads View citations (15)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) Downloads View citations (16)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2003) Downloads View citations (15)

    See also Journal Article Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics, Management Science, INFORMS (2006) Downloads View citations (124) (2006)
  5. Option Valuation with Conditional Skewness
    CIRANO Working Papers, CIRANO Downloads View citations (8)
    See also Journal Article Option valuation with conditional skewness, Journal of Econometrics, Elsevier (2006) Downloads View citations (143) (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 The importance of the loss function in option valuation, Journal of Financial Economics, Elsevier (2004) Downloads View citations (108) (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 (13)
  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 (3)
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) Downloads View citations (2)
    EPRU Working Paper Series, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics Downloads

    See also Journal Article Let's get "real" about using economic data, Journal of Empirical Finance, Elsevier (2002) Downloads View citations (17) (2002)
  2. Testing and Comparing Value-at-Risk Measures
    CIRANO Working Papers, CIRANO Downloads View citations (82)
    See also Journal Article Testing and comparing Value-at-Risk measures, Journal of Empirical Finance, Elsevier (2001) Downloads View citations (84) (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

2000

  1. Do Asset Prices in Transition Countries Contain Information About Future Economic Activity?
    IMF Working Papers, International Monetary Fund Downloads View citations (18)

1999

  1. Interest Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk
    IMF Working Papers, International Monetary Fund Downloads View citations (3)
    See also Journal Article Interest-Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk, Journal of Business & Economic Statistics, American Statistical Association (2000) View citations (5) (2000)
  2. Is Poland Ready for Inflation Targeting?
    IMF Working Papers, International Monetary Fund Downloads View citations (20)
  3. 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 (9)

1998

  1. From Inflation to Growth: Eight Years of Transition
    IMF Working Papers, International Monetary Fund Downloads View citations (43)
  2. 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 (29)
    See also Journal Article Horizon problems and extreme events in financial risk management, Economic Policy Review, Federal Reserve Bank of New York (1998) Downloads View citations (27) (1998)
  3. 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- Downloads View citations (10)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1998) Downloads View citations (6)
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1997) Downloads View citations (5)

    See also Journal Article How Relevant is Volatility Forecasting for Financial Risk Management?, The Review of Economics and Statistics, MIT Press (2000) Downloads View citations (141) (2000)

1997

  1. Cointegration and Long-Horizon Forecasting
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (33)
    Also in IMF Working Papers, International Monetary Fund (1997) Downloads View citations (14)
    Working Papers, Federal Reserve Bank of Philadelphia (1997) Downloads View citations (11)

    See also Journal Article Cointegration and Long-Horizon Forecasting, Journal of Business & Economic Statistics, American Statistical Association (1998) View citations (105) (1998)
  2. Optimal prediction under asymmetric loss
    Working Papers, Federal Reserve Bank of Philadelphia Downloads View citations (178)
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (1994) Downloads View citations (13)
    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 (180)

    See also Journal Article Optimal Prediction Under Asymmetric Loss, Econometric Theory, Cambridge University Press (1997) Downloads View citations (193) (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 (9)

Journal Articles

2022

  1. The State Price Density Implied by Crude Oil Futures and Option Prices
    The Review of Financial Studies, 2022, 35, (2), 1064-1103 Downloads View citations (4)

2021

  1. Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk
    Journal of Financial and Quantitative Analysis, 2021, 56, (1), 65-91 Downloads View citations (6)
    See also Working Paper Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk, CREATES Research Papers (2015) Downloads (2015)
  2. Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity*
    (Does realized skewness predict the cross-section of equity returns?)
    Review of Finance, 2021, 25, (4), 1261-1298 Downloads View citations (2)

2020

  1. Beta Risk in the Cross-Section of Equities
    The Review of Financial Studies, 2020, 33, (9), 4318-4366 Downloads View citations (3)

2019

  1. Factor Structure in Commodity Futures Return and Volatility
    Journal of Financial and Quantitative Analysis, 2019, 54, (3), 1083-1115 Downloads View citations (32)
    See also Working Paper Factor Structure in Commodity Futures Return and Volatility, CREATES Research Papers (2014) Downloads View citations (5) (2014)

2018

  1. Dynamic Dependence and Diversification in Corporate Credit*
    (Asymmetric correlations of equity portfolios)
    Review of Finance, 2018, 22, (2), 521-560 Downloads View citations (8)
  2. Illiquidity Premia in the Equity Options Market
    The Review of Financial Studies, 2018, 31, (3), 811-851 Downloads View citations (40)
    See also Working Paper Illiquidity Premia in the Equity Options Market, CREATES Research Papers (2013) Downloads (2013)
  3. Oil volatility risk and expected stock returns
    Journal of Banking & Finance, 2018, 95, (C), 5-26 Downloads View citations (53)
    See also Working Paper Oil Volatility Risk and Expected Stock Returns, CREATES Research Papers (2014) Downloads View citations (2) (2014)
  4. The Factor Structure in Equity Options
    The Review of Financial Studies, 2018, 31, (2), 595-637 Downloads View citations (19)
    See also Working Paper The Factor Structure in Equity Options, CREATES Research Papers (2013) Downloads View citations (4) (2013)

2017

  1. Rare Disasters, Credit, and Option Market Puzzles
    Management Science, 2017, 63, (5), 1341-1364 Downloads View citations (4)

2015

  1. Does realized skewness predict the cross-section of equity returns?
    Journal of Financial Economics, 2015, 118, (1), 135-167 Downloads View citations (225)
    See also Working Paper Does Realized Skewness Predict the Cross-Section of Equity Returns?, CREATES Research Papers (2013) Downloads View citations (8) (2013)
  2. Option valuation with observable volatility and jump dynamics
    Journal of Banking & Finance, 2015, 61, (S2), S101-S120 Downloads View citations (18)
    See also Working Paper Option Valuation with Observable Volatility and Jump Dynamics, Staff Working Papers (2015) Downloads View citations (24) (2015)

2014

  1. Correlation dynamics and international diversification benefits
    International Journal of Forecasting, 2014, 30, (3), 807-824 Downloads View citations (68)
    See also Working Paper Correlation Dynamics and International Diversification Benefits, CREATES Research Papers (2013) Downloads View citations (1) (2013)
  2. Nonlinear Kalman Filtering in Affine Term Structure Models
    Management Science, 2014, 60, (9), 2248-2268 Downloads View citations (37)
    See also Working Paper Nonlinear Kalman Filtering in Affine Term Structure Models, Cahiers de recherche (2014) Downloads View citations (38) (2014)
  3. The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation
    Journal of Financial and Quantitative Analysis, 2014, 49, (3), 663-697 Downloads View citations (70)
    See also Working Paper The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation, Staff Working Papers (2012) Downloads View citations (9) (2012)

2013

  1. Capturing Option Anomalies with a Variance-Dependent Pricing Kernel
    The Review of Financial Studies, 2013, 26, (8), 1963-2006 Downloads View citations (105)
  2. Market skewness risk and the cross section of stock returns
    Journal of Financial Economics, 2013, 107, (1), 46-68 Downloads View citations (183)
    See also Working Paper Market Skewness Risk and the Cross-Section of Stock Returns, Working Papers (2010) Downloads View citations (3) (2010)
  3. The Joint Dynamics of Equity Market Factors
    Journal of Financial and Quantitative Analysis, 2013, 48, (5), 1371-1404 Downloads View citations (38)
    See also Working Paper The Joint Dynamics of Equity Market Factors, CREATES Research Papers (2011) Downloads View citations (3) (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 (87)
  2. Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach
    The Review of Financial Studies, 2012, 25, (12), 3711-3751 Downloads View citations (256)
    See also Working Paper Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach, CREATES Research Papers (2012) Downloads View citations (256) (2012)

2011

  1. Evaluating Value-at-Risk Models with Desk-Level Data
    Management Science, 2011, 57, (12), 2213-2227 Downloads View citations (143)
    See also Working Paper Evaluating Value-at-Risk Models with Desk-Level Data, CREATES Research Papers (2008) Downloads View citations (2) (2008)
  2. Option-Implied Measures of Equity Risk
    Review of Finance, 2011, 16, (2), 385-428 Downloads View citations (11)
    See also Working Paper Option-Implied Measures of Equity Risk, CIRANO Working Papers (2009) Downloads View citations (30) (2009)

2010

  1. Option Valuation with Conditional Heteroskedasticity and Nonnormality
    The Review of Financial Studies, 2010, 23, (5), 2139-2183 Downloads View citations (56)
    See also Working Paper Option Valuation with Conditional Heteroskedasticity and Non-Normality, CREATES Research Papers (2009) Downloads View citations (24) (2009)
  2. Volatility Components, Affine Restrictions, and Nonnormal Innovations
    Journal of Business & Economic Statistics, 2010, 28, (4), 483-502 Downloads View citations (37)
    See also Working Paper Volatility Components, Affine Restrictions and Non-Normal Innovations, CREATES Research Papers (2008) Downloads View citations (3) (2008)
  3. Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices
    The Review of Financial Studies, 2010, 23, (8), 3141-3189 Downloads View citations (132)

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 (212)
    See also Working Paper The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well, CREATES Research Papers (2009) Downloads View citations (213) (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 (129)
    See also Working Paper Option Valuation with Long-run and Short-run Volatility Components, CREATES Research Papers (2008) Downloads View citations (124) (2008)

2006

  1. Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics
    Management Science, 2006, 52, (8), 1273-1287 Downloads View citations (124)
    See also Working Paper Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics, PIER Working Paper Archive (2003) Downloads View citations (15) (2003)
  2. Option valuation with conditional skewness
    Journal of Econometrics, 2006, 131, (1-2), 253-284 Downloads View citations (143)
    See also Working Paper Option Valuation with Conditional Skewness, CIRANO Working Papers (2003) Downloads View citations (8) (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 (17)

2005

  1. The Accuracy of Density Forecasts from Foreign Exchange Options
    Journal of Financial Econometrics, 2005, 3, (4), 578-605 Downloads View citations (43)

2004

  1. Backtesting Value-at-Risk: A Duration-Based Approach
    Journal of Financial Econometrics, 2004, 2, (1), 84-108 Downloads View citations (169)
    See also Working Paper Backtesting Value-at-Risk: A Duration-Based Approach, CIRANO Working Papers (2003) Downloads View citations (31) (2003)
  2. The importance of the loss function in option valuation
    Journal of Financial Economics, 2004, 72, (2), 291-318 Downloads View citations (108)
    See also Working Paper The Importance of the Loss Function in Option Valuation, CIRANO Working Papers (2003) Downloads View citations (2) (2003)
  3. Which GARCH Model for Option Valuation?
    Management Science, 2004, 50, (9), 1204-1221 Downloads View citations (105)

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 Let's Get "Real"" about Using Economic Data", CIRANO Working Papers (2001) Downloads View citations (3) (2001)

2001

  1. Testing and comparing Value-at-Risk measures
    Journal of Empirical Finance, 2001, 8, (3), 325-342 Downloads View citations (84)
    See also Working Paper Testing and Comparing Value-at-Risk Measures, CIRANO Working Papers (2001) Downloads View citations (82) (2001)

2000

  1. From Inflation to Growth
    The Economics of Transition, 2000, 8, (2), 421-451 Downloads View citations (27)
  2. How Relevant is Volatility Forecasting for Financial Risk Management?
    The Review of Economics and Statistics, 2000, 82, (1), 12-22 Downloads View citations (141)
    See also Working Paper How Relevant is Volatility Forecasting for Financial Risk Management?, New York University, Leonard N. Stern School Finance Department Working Paper Seires (1998) Downloads View citations (10) (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 (5)
    See also Working Paper Interest Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk, IMF Working Papers (1999) Downloads View citations (3) (1999)
  4. Towards a global financial architecture: capital mobility and risk management issues
    Emerging Markets Review, 2000, 1, (1), 3-20 Downloads View citations (4)

1998

  1. Cointegration and Long-Horizon Forecasting
    Journal of Business & Economic Statistics, 1998, 16, (4), 450-58 View citations (105)
    See also Working Paper Cointegration and Long-Horizon Forecasting, NBER Technical Working Papers (1997) Downloads View citations (33) (1997)
  2. Evaluating Interval Forecasts
    International Economic Review, 1998, 39, (4), 841-62 View citations (1056)
  3. Horizon problems and extreme events in financial risk management
    Economic Policy Review, 1998, 4, (Oct), 109-118 Downloads View citations (27)
    See also Working Paper Horizon Problems and Extreme Events in Financial Risk Management, Center for Financial Institutions Working Papers (1998) Downloads View citations (29) (1998)

1997

  1. Optimal Prediction Under Asymmetric Loss
    Econometric Theory, 1997, 13, (6), 808-817 Downloads View citations (193)
    See also Working Paper Optimal prediction under asymmetric loss, Working Papers (1997) Downloads View citations (178) (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 (84)

Undated

  1. Estimation risk in financial risk management
    Journal of Risk Downloads
    See also Working Paper Estimation Risk in Financial Risk Management, CIRANO Working Papers (2004) Downloads View citations (20) (2004)

Books

2011

  1. Elements of Financial Risk Management
    Elsevier Monographs, Elsevier Downloads View citations (35)
    Also in Elsevier Monographs, Elsevier (2003) Downloads View citations (138)

Chapters

2013

  1. Financial Risk Measurement for Financial Risk Management
    Elsevier Downloads View citations (41)
    See also Working Paper Financial Risk Measurement for Financial Risk Management, National Bureau of Economic Research, Inc (2012) Downloads View citations (9) (2012)
  2. Forecasting with Option-Implied Information
    Elsevier Downloads View citations (30)
    See also Working Paper Forecasting with Option Implied Information, Department of Economics and Business Economics, Aarhus University (2011) Downloads View citations (26) (2011)

2007

  1. Practical Volatility and Correlation Modeling for Financial Market Risk Management
    A chapter in The Risks of Financial Institutions, 2007, pp 513-544 Downloads View citations (20)
    See also Working Paper Practical Volatility and Correlation Modeling for Financial Market Risk Management, National Bureau of Economic Research, Inc (2005) Downloads View citations (24) (2005)

2006

  1. Volatility and Correlation Forecasting
    Elsevier Downloads View citations (282)
 
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