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
Jump to Journal Articles Books Chapters
Working Papers
2016
- Time-Varying Crash Risk: The Role of Stock Market Liquidity
Staff Working Papers, Bank of Canada View citations (4)
2015
- Option Valuation with Observable Volatility and Jump Dynamics
Staff Working Papers, Bank of Canada View citations (24)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) 
See also Journal Article Option valuation with observable volatility and jump dynamics, Journal of Banking & Finance, Elsevier (2015) View citations (18) (2015)
- Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University 
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) View citations (6) (2021)
2014
- Equity Portfolio Management Using Option Price Information
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
- Factor Structure in Commodity Futures Return and Volatility
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University 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) View citations (32) (2019)
- Nonlinear Kalman Filtering in Affine Term Structure Models
Cahiers de recherche, CIRPEE View citations (38)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012) View citations (2)
See also Journal Article Nonlinear Kalman Filtering in Affine Term Structure Models, Management Science, INFORMS (2014) View citations (37) (2014)
- Oil Volatility Risk and Expected Stock Returns
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
See also Journal Article Oil volatility risk and expected stock returns, Journal of Banking & Finance, Elsevier (2018) View citations (53) (2018)
- Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (5)
2013
- Correlation Dynamics and International Diversification Benefits
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
See also Journal Article Correlation dynamics and international diversification benefits, International Journal of Forecasting, Elsevier (2014) View citations (68) (2014)
- Does Realized Skewness Predict the Cross-Section of Equity Returns?
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (8)
See also Journal Article Does realized skewness predict the cross-section of equity returns?, Journal of Financial Economics, Elsevier (2015) View citations (225) (2015)
- Dynamic Diversification in Corporate Credit
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
- Illiquidity Premia in the Equity Options Market
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University 
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) View citations (3)
See also Journal Article Illiquidity Premia in the Equity Options Market, The Review of Financial Studies, Society for Financial Studies (2018) View citations (40) (2018)
- Rare Disasters and Credit Market Puzzles
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
- The Factor Structure in Equity Options
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
See also Journal Article The Factor Structure in Equity Options, The Review of Financial Studies, Society for Financial Studies (2018) View citations (19) (2018)
2012
- Financial Risk Measurement for Financial Risk Management
NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2011) View citations (8) CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) View citations (5)
See also Chapter Financial Risk Measurement for Financial Risk Management, Handbook of the Economics of Finance, Elsevier (2013) View citations (41) (2013)
- GARCH Option Valuation: Theory and Evidence
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
- Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University 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) View citations (256) (2012)
- The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation
Staff Working Papers, Bank of Canada 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) View citations (70) (2014)
2011
- Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns?
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
- Forecasting with Option Implied Information
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (26)
See also Chapter Forecasting with Option-Implied Information, Handbook of Economic Forecasting, Elsevier (2013) View citations (30) (2013)
- The Joint Dynamics of Equity Market Factors
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
See also Journal Article The Joint Dynamics of Equity Market Factors, Journal of Financial and Quantitative Analysis, Cambridge University Press (2013) View citations (38) (2013)
2010
- Is the Potential for International Diversification Disappearing?
Working Papers, University of Pennsylvania, Wharton School, Weiss Center View citations (4)
- Market Skewness Risk and the Cross-Section of Stock Returns
Working Papers, University of Pennsylvania, Wharton School, Weiss Center View citations (3)
See also Journal Article Market skewness risk and the cross section of stock returns, Journal of Financial Economics, Elsevier (2013) View citations (183) (2013)
- Option Anomalies and the Pricing Kernel
Working Papers, University of Pennsylvania, Wharton School, Weiss Center View citations (6)
- Time-Varying Jump Intensities and Fat Tail Dynamics: Evidence from S&P500 Returns and Options
Working Papers, University of Pennsylvania, Wharton School, Weiss Center
2009
- Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options
CIRANO Working Papers, CIRANO View citations (7)
- Option Valuation with Conditional Heteroskedasticity and Non-Normality
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (24)
Also in CIRANO Working Papers, CIRANO (2009) View citations (16)
See also Journal Article Option Valuation with Conditional Heteroskedasticity and Nonnormality, The Review of Financial Studies, Society for Financial Studies (2010) View citations (56) (2010)
- Option-Implied Measures of Equity Risk
CIRANO Working Papers, CIRANO View citations (30)
See also Journal Article Option-Implied Measures of Equity Risk, Review of Finance, European Finance Association (2011) View citations (11) (2011)
- 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 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) View citations (212) (2009)
2008
- Evaluating Value-at-Risk Models with Desk-Level Data
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
Also in Working Paper Series, North Carolina State University, Department of Economics (2006) 
See also Journal Article Evaluating Value-at-Risk Models with Desk-Level Data, Management Science, INFORMS (2011) View citations (143) (2011)
- Option Valuation with Long-run and Short-run Volatility Components
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (124)
Also in CIRANO Working Papers, CIRANO (2004) View citations (3)
See also Journal Article Option valuation with long-run and short-run volatility components, Journal of Financial Economics, Elsevier (2008) View citations (129) (2008)
- Volatility Components, Affine Restrictions and Non-Normal Innovations
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
See also Journal Article Volatility Components, Affine Restrictions, and Nonnormal Innovations, Journal of Business & Economic Statistics, American Statistical Association (2010) View citations (37) (2010)
2007
- Forward-Looking Betas
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (5)
- 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 View citations (10)
2006
- 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 (9)
Also in Finance Working Papers, East Asian Bureau of Economic Research (2006) View citations (8) Finance Working Papers, East Asian Bureau of Economic Research (2006) View citations (8)
2005
- 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
- Practical Volatility and Correlation Modeling for Financial Market Risk Management
NBER Working Papers, National Bureau of Economic Research, Inc View citations (24)
Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2005) View citations (19) PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005) 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) View citations (20) (2007)
- Volatility Forecasting
NBER Working Papers, National Bureau of Economic Research, Inc View citations (41)
Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2005) View citations (56) CFS Working Paper Series, Center for Financial Studies (CFS) (2005) View citations (38)
2004
- Estimation Risk in Financial Risk Management
CIRANO Working Papers, CIRANO View citations (20)
See also Journal Article Estimation risk in financial risk management, Journal of Risk, Journal of Risk
- Martingale Tests of Value-at-Risk
Econometric Society 2004 North American Winter Meetings, Econometric Society
- The Informational Content of Over-the-Counter Currency Options
CIRANO Working Papers, CIRANO View citations (5)
Also in Working Paper Series, European Central Bank (2004) View citations (5)
2003
- Backtesting Value-at-Risk: A Duration-Based Approach
CIRANO Working Papers, CIRANO View citations (31)
See also Journal Article Backtesting Value-at-Risk: A Duration-Based Approach, Journal of Financial Econometrics, Oxford University Press (2004) View citations (169) (2004)
- Company Flexibility, the Value of Management and Managerial Compensation
CIRANO Working Papers, CIRANO View citations (1)
- Création de valeur, gestion de risque et options réelles
CIRANO Burgundy Reports, CIRANO
- 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 View citations (15)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations (16) CFS Working Paper Series, Center for Financial Studies (CFS) (2003) View citations (15)
See also Journal Article Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics, Management Science, INFORMS (2006) View citations (124) (2006)
- Option Valuation with Conditional Skewness
CIRANO Working Papers, CIRANO View citations (8)
See also Journal Article Option valuation with conditional skewness, Journal of Econometrics, Elsevier (2006) View citations (143) (2006)
- Size Matters: The Impact of Capital Market Liberalization on Individual Firms
CIRANO Working Papers, CIRANO View citations (1)
- The Importance of the Loss Function in Option Valuation
CIRANO Working Papers, CIRANO View citations (2)
See also Journal Article The importance of the loss function in option valuation, Journal of Financial Economics, Elsevier (2004) View citations (108) (2004)
- Value creation, risk management, and real options
CIRANO Burgundy Reports, CIRANO View citations (2)
2002
- Financial Asset Returns, Market Timing, and Volatility Dynamics
CIRANO Working Papers, CIRANO View citations (13)
- Which Volatility Model for Option Valuation?
CIRANO Working Papers, CIRANO View citations (6)
2001
- Let's Get "Real"" about Using Economic Data"
CIRANO Working Papers, CIRANO View citations (3)
Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (2) EPRU Working Paper Series, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics 
See also Journal Article Let's get "real" about using economic data, Journal of Empirical Finance, Elsevier (2002) View citations (17) (2002)
- Testing and Comparing Value-at-Risk Measures
CIRANO Working Papers, CIRANO View citations (82)
See also Journal Article Testing and comparing Value-at-Risk measures, Journal of Empirical Finance, Elsevier (2001) View citations (84) (2001)
- The Importance of the Loss Function in Option Pricing
CIRANO Working Papers, CIRANO View citations (9)
- Value Creation through Real Options Management
CIRANO Project Reports, CIRANO
2000
- Do Asset Prices in Transition Countries Contain Information About Future Economic Activity?
IMF Working Papers, International Monetary Fund View citations (18)
1999
- Interest Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk
IMF Working Papers, International Monetary Fund 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)
- Is Poland Ready for Inflation Targeting?
IMF Working Papers, International Monetary Fund View citations (20)
- 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 (9)
1998
- From Inflation to Growth: Eight Years of Transition
IMF Working Papers, International Monetary Fund View citations (43)
- 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 (29)
See also Journal Article Horizon problems and extreme events in financial risk management, Economic Policy Review, Federal Reserve Bank of New York (1998) View citations (27) (1998)
- 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 (10)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (1998) View citations (6) Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1997) 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) View citations (141) (2000)
1997
- Cointegration and Long-Horizon Forecasting
NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (33)
Also in IMF Working Papers, International Monetary Fund (1997) View citations (14) Working Papers, Federal Reserve Bank of Philadelphia (1997) 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)
- Optimal prediction under asymmetric loss
Working Papers, Federal Reserve Bank of Philadelphia View citations (178)
Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (1994) View citations (13) Home Pages, University of Pennsylvania  CARESS Working Papres, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences View citations (180)
See also Journal Article Optimal Prediction Under Asymmetric Loss, Econometric Theory, Cambridge University Press (1997) View citations (193) (1997)
Undated
- 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 (9)
Journal Articles
2022
- The State Price Density Implied by Crude Oil Futures and Option Prices
The Review of Financial Studies, 2022, 35, (2), 1064-1103 View citations (4)
2021
- Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk
Journal of Financial and Quantitative Analysis, 2021, 56, (1), 65-91 View citations (6)
See also Working Paper Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk, CREATES Research Papers (2015) (2015)
- 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 View citations (2)
2020
- Beta Risk in the Cross-Section of Equities
The Review of Financial Studies, 2020, 33, (9), 4318-4366 View citations (3)
2019
- Factor Structure in Commodity Futures Return and Volatility
Journal of Financial and Quantitative Analysis, 2019, 54, (3), 1083-1115 View citations (32)
See also Working Paper Factor Structure in Commodity Futures Return and Volatility, CREATES Research Papers (2014) View citations (5) (2014)
2018
- Dynamic Dependence and Diversification in Corporate Credit*
(Asymmetric correlations of equity portfolios)
Review of Finance, 2018, 22, (2), 521-560 View citations (8)
- Illiquidity Premia in the Equity Options Market
The Review of Financial Studies, 2018, 31, (3), 811-851 View citations (40)
See also Working Paper Illiquidity Premia in the Equity Options Market, CREATES Research Papers (2013) (2013)
- Oil volatility risk and expected stock returns
Journal of Banking & Finance, 2018, 95, (C), 5-26 View citations (53)
See also Working Paper Oil Volatility Risk and Expected Stock Returns, CREATES Research Papers (2014) View citations (2) (2014)
- The Factor Structure in Equity Options
The Review of Financial Studies, 2018, 31, (2), 595-637 View citations (19)
See also Working Paper The Factor Structure in Equity Options, CREATES Research Papers (2013) View citations (4) (2013)
2017
- Rare Disasters, Credit, and Option Market Puzzles
Management Science, 2017, 63, (5), 1341-1364 View citations (4)
2015
- Does realized skewness predict the cross-section of equity returns?
Journal of Financial Economics, 2015, 118, (1), 135-167 View citations (225)
See also Working Paper Does Realized Skewness Predict the Cross-Section of Equity Returns?, CREATES Research Papers (2013) View citations (8) (2013)
- Option valuation with observable volatility and jump dynamics
Journal of Banking & Finance, 2015, 61, (S2), S101-S120 View citations (18)
See also Working Paper Option Valuation with Observable Volatility and Jump Dynamics, Staff Working Papers (2015) View citations (24) (2015)
2014
- Correlation dynamics and international diversification benefits
International Journal of Forecasting, 2014, 30, (3), 807-824 View citations (68)
See also Working Paper Correlation Dynamics and International Diversification Benefits, CREATES Research Papers (2013) View citations (1) (2013)
- Nonlinear Kalman Filtering in Affine Term Structure Models
Management Science, 2014, 60, (9), 2248-2268 View citations (37)
See also Working Paper Nonlinear Kalman Filtering in Affine Term Structure Models, Cahiers de recherche (2014) View citations (38) (2014)
- The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation
Journal of Financial and Quantitative Analysis, 2014, 49, (3), 663-697 View citations (70)
See also Working Paper The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation, Staff Working Papers (2012) View citations (9) (2012)
2013
- Capturing Option Anomalies with a Variance-Dependent Pricing Kernel
The Review of Financial Studies, 2013, 26, (8), 1963-2006 View citations (105)
- Market skewness risk and the cross section of stock returns
Journal of Financial Economics, 2013, 107, (1), 46-68 View citations (183)
See also Working Paper Market Skewness Risk and the Cross-Section of Stock Returns, Working Papers (2010) View citations (3) (2010)
- The Joint Dynamics of Equity Market Factors
Journal of Financial and Quantitative Analysis, 2013, 48, (5), 1371-1404 View citations (38)
See also Working Paper The Joint Dynamics of Equity Market Factors, CREATES Research Papers (2011) View citations (3) (2011)
2012
- Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options
Journal of Financial Economics, 2012, 106, (3), 447-472 View citations (87)
- Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach
The Review of Financial Studies, 2012, 25, (12), 3711-3751 View citations (256)
See also Working Paper Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach, CREATES Research Papers (2012) View citations (256) (2012)
2011
- Evaluating Value-at-Risk Models with Desk-Level Data
Management Science, 2011, 57, (12), 2213-2227 View citations (143)
See also Working Paper Evaluating Value-at-Risk Models with Desk-Level Data, CREATES Research Papers (2008) View citations (2) (2008)
- Option-Implied Measures of Equity Risk
Review of Finance, 2011, 16, (2), 385-428 View citations (11)
See also Working Paper Option-Implied Measures of Equity Risk, CIRANO Working Papers (2009) View citations (30) (2009)
2010
- Option Valuation with Conditional Heteroskedasticity and Nonnormality
The Review of Financial Studies, 2010, 23, (5), 2139-2183 View citations (56)
See also Working Paper Option Valuation with Conditional Heteroskedasticity and Non-Normality, CREATES Research Papers (2009) View citations (24) (2009)
- Volatility Components, Affine Restrictions, and Nonnormal Innovations
Journal of Business & Economic Statistics, 2010, 28, (4), 483-502 View citations (37)
See also Working Paper Volatility Components, Affine Restrictions and Non-Normal Innovations, CREATES Research Papers (2008) View citations (3) (2008)
- 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 View citations (132)
2009
- 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 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) View citations (213) (2009)
2008
- Option valuation with long-run and short-run volatility components
Journal of Financial Economics, 2008, 90, (3), 272-297 View citations (129)
See also Working Paper Option Valuation with Long-run and Short-run Volatility Components, CREATES Research Papers (2008) View citations (124) (2008)
2006
- Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics
Management Science, 2006, 52, (8), 1273-1287 View citations (124)
See also Working Paper Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics, PIER Working Paper Archive (2003) View citations (15) (2003)
- Option valuation with conditional skewness
Journal of Econometrics, 2006, 131, (1-2), 253-284 View citations (143)
See also Working Paper Option Valuation with Conditional Skewness, CIRANO Working Papers (2003) View citations (8) (2003)
- Size matters: The impact of financial liberalization on individual firms
Journal of International Money and Finance, 2006, 25, (8), 1296-1318 View citations (17)
2005
- The Accuracy of Density Forecasts from Foreign Exchange Options
Journal of Financial Econometrics, 2005, 3, (4), 578-605 View citations (43)
2004
- Backtesting Value-at-Risk: A Duration-Based Approach
Journal of Financial Econometrics, 2004, 2, (1), 84-108 View citations (169)
See also Working Paper Backtesting Value-at-Risk: A Duration-Based Approach, CIRANO Working Papers (2003) View citations (31) (2003)
- The importance of the loss function in option valuation
Journal of Financial Economics, 2004, 72, (2), 291-318 View citations (108)
See also Working Paper The Importance of the Loss Function in Option Valuation, CIRANO Working Papers (2003) View citations (2) (2003)
- Which GARCH Model for Option Valuation?
Management Science, 2004, 50, (9), 1204-1221 View citations (105)
2002
- Let's get "real" about using economic data
Journal of Empirical Finance, 2002, 9, (3), 343-360 View citations (17)
See also Working Paper Let's Get "Real"" about Using Economic Data", CIRANO Working Papers (2001) View citations (3) (2001)
2001
- Testing and comparing Value-at-Risk measures
Journal of Empirical Finance, 2001, 8, (3), 325-342 View citations (84)
See also Working Paper Testing and Comparing Value-at-Risk Measures, CIRANO Working Papers (2001) View citations (82) (2001)
2000
- From Inflation to Growth
The Economics of Transition, 2000, 8, (2), 421-451 View citations (27)
- How Relevant is Volatility Forecasting for Financial Risk Management?
The Review of Economics and Statistics, 2000, 82, (1), 12-22 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) View citations (10) (1998)
- 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) View citations (3) (1999)
- Towards a global financial architecture: capital mobility and risk management issues
Emerging Markets Review, 2000, 1, (1), 3-20 View citations (4)
1998
- 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) View citations (33) (1997)
- Evaluating Interval Forecasts
International Economic Review, 1998, 39, (4), 841-62 View citations (1056)
- Horizon problems and extreme events in financial risk management
Economic Policy Review, 1998, 4, (Oct), 109-118 View citations (27)
See also Working Paper Horizon Problems and Extreme Events in Financial Risk Management, Center for Financial Institutions Working Papers (1998) View citations (29) (1998)
1997
- Optimal Prediction Under Asymmetric Loss
Econometric Theory, 1997, 13, (6), 808-817 View citations (193)
See also Working Paper Optimal prediction under asymmetric loss, Working Papers (1997) View citations (178) (1997)
1996
- Further Results on Forecasting and Model Selection under Asymmetric Loss
Journal of Applied Econometrics, 1996, 11, (5), 561-71 View citations (84)
Undated
- Estimation risk in financial risk management
Journal of Risk 
See also Working Paper Estimation Risk in Financial Risk Management, CIRANO Working Papers (2004) View citations (20) (2004)
Books
2011
- Elements of Financial Risk Management
Elsevier Monographs, Elsevier View citations (35)
Also in Elsevier Monographs, Elsevier (2003) View citations (138)
Chapters
2013
- Financial Risk Measurement for Financial Risk Management
Elsevier View citations (41)
See also Working Paper Financial Risk Measurement for Financial Risk Management, National Bureau of Economic Research, Inc (2012) View citations (9) (2012)
- Forecasting with Option-Implied Information
Elsevier View citations (30)
See also Working Paper Forecasting with Option Implied Information, Department of Economics and Business Economics, Aarhus University (2011) View citations (26) (2011)
2007
- Practical Volatility and Correlation Modeling for Financial Market Risk Management
A chapter in The Risks of Financial Institutions, 2007, pp 513-544 View citations (20)
See also Working Paper Practical Volatility and Correlation Modeling for Financial Market Risk Management, National Bureau of Economic Research, Inc (2005) View citations (24) (2005)
2006
- Volatility and Correlation Forecasting
Elsevier View citations (282)
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