Peter F. Christoffersen : Citation Profile

Deceased: 2018-06-22

27

H index

42

i10 index

3333

Citations

RESEARCH PRODUCTION:

39

Articles

90

Papers

2

Books

4

Chapters

RESEARCH ACTIVITY:

   24 years (1994 - 2018). See details.
   Cites by year: 138
   Journals where Peter F. Christoffersen has often published
   Relations with other researchers
   Recent citing documents: 534.    Total self citations: 55 (1.62 %)

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   Permalink: http://citec.repec.org/pch343
   Updated: 2020-05-16    RAS profile:    
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Relations with other researchers

Works with:

Feunou, Bruno (5)

Jin, Xisong (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Peter F. Christoffersen.

Is cited by:

Stentoft, Lars (60)

Diebold, Francis (58)

Degiannakis, Stavros (53)

McAleer, Michael (52)

Swanson, Norman (47)

Andersen, Torben (35)

Bollerslev, Tim (34)

Clements, Michael (28)

Patton, Andrew (27)

Rombouts, Jeroen (26)

Gaglianone, Wagner (26)

Cites to:

Bollerslev, Tim (105)

Engle, Robert (94)

Diebold, Francis (71)

Chen, Zhiwu (53)

Cao, Charles (53)

Andersen, Torben (52)

Chernov, Mikhail (39)

Harvey, Campbell (32)

Wu, Liuren (32)

French, Kenneth (29)

Tauchen, George (27)

Main data

Where Peter F. Christoffersen has published?

Journals with more than one article published# docs
Review of Financial Studies6
Journal of Financial Economics5
Management Science5
Journal of Financial and Quantitative Analysis3
Journal of Business & Economic Statistics3
Journal of Banking & Finance2
Journal of Empirical Finance2
Journal of Financial Econometrics2

Working Papers Series with more than one paper published# docs
IMF Working Papers / International Monetary Fund5
Working Papers / University of Pennsylvania, Wharton School, Weiss Center4
Staff Working Papers / Bank of Canada3
CFS Working Paper Series / Center for Financial Studies (CFS)3
Working Papers / Federal Reserve Bank of Philadelphia2
EPRU Working Paper Series / Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics2
Finance Working Papers / East Asian Bureau of Economic Research2

Recent works citing Peter F. Christoffersen (2019 and 2018)

YearTitle of citing document
2018The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets. (2018). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-02.

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2018Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span. (2018). Andersen, Torben ; Varneskov, Rasmus T ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-03.

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2018The Risk Premia Embedded in Index Options. (2018). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-07.

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2018Short-Term Market Risks Implied by Weekly Options. (2018). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-08.

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2018Forecasters’ utility and forecast coherence. (2018). Zanetti Chini, Emilio. In: CREATES Research Papers. RePEc:aah:create:2018-23.

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2017Economic value of portfolio diversification: Evidence from international multi-asset portfolios. (2017). Sharma, Prateek. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(613):y:2017:i:4(613):p:33-42.

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2019GARCH based VaR estimation: An empirical evidence from BRICS stock markets. (2019). Rao, Prabhakar ; Guptha, Siva Kiran. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(621):y:2019:i:4(621):p:201-218.

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2019GARCH based VaR estimation: An empirical evidence from BRICS stock markets. (2019). Rao, Prabhakar ; Guptha, Siva Kiran. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxvi:y:2019:i:4(621):p:201-218.

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2018The Bayesian MS-GARCH model and Value-at-Risk in South African agricultural commodity price markets. (2018). Shiferaw, Y. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:275991.

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2018Forecasting Methods in Finance. (2018). Timmermann, Allan. In: Annual Review of Financial Economics. RePEc:anr:refeco:v:10:y:2018:p:449-479.

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2019Linear Credit Risk Models. (2018). Ackerer, Damien ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1605.07419.

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2020Gated Neural Networks for Option Pricing: Rationality by Design. (2016). Yang, Yongxin ; Hospedales, Timothy M ; Zheng, YU. In: Papers. RePEc:arx:papers:1609.07472.

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2019Spectral backtests of forecast distributions with application to risk management. (2019). Gordy, Michael ; McNeil, Alexander J ; Lok, Hsiao Yen . In: Papers. RePEc:arx:papers:1708.01489.

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2017Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns. (2017). Baruník, Jozef ; Cech, Frantisek . In: Papers. RePEc:arx:papers:1708.08622.

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2020Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:1708.09520.

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2019Forecasting dynamic return distributions based on ordered binary choice. (2019). Baruník, Jozef ; Anatolyev, Stanislav. In: Papers. RePEc:arx:papers:1711.05681.

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2019A nonparametric copula approach to conditional Value-at-Risk. (2019). Dunn, Richard ; Geenens, Gery. In: Papers. RePEc:arx:papers:1712.05527.

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2018Expansion formulas for European quanto options in a local volatility FX-LIBOR model. (2018). Papapantoleon, Antonis ; Ngare, Philip ; Hok, Julien. In: Papers. RePEc:arx:papers:1801.01205.

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2018Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes. (2018). Crisóstomo, Ricardo ; Couso, Lorena. In: Papers. RePEc:arx:papers:1801.08007.

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2018Improving Value-at-Risk prediction under model uncertainty. (2018). Yao, Jianfeng ; Yang, Shuzhen. In: Papers. RePEc:arx:papers:1805.03890.

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2018Semi-parametric Dynamic Asymmetric Laplace Models for Tail Risk Forecasting, Incorporating Realized Measures. (2018). Wang, Chao ; Gerlach, Richard. In: Papers. RePEc:arx:papers:1805.08653.

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2018A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Chen, Qian ; Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1807.02422.

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2018Analytic Moments for GARCH Processes. (2018). Alexander, Carol ; Stanescu, Silvia ; Lazar, Emese. In: Papers. RePEc:arx:papers:1808.09666.

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2019Lifting the Heston model. (2018). Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:1810.04868.

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2018Option market (in)efficiency and implied volatility dynamics after return jumps. (2018). Magris, Martin ; Kanniainen, Juho. In: Papers. RePEc:arx:papers:1810.12200.

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2019Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals. (2019). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1811.10045.

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2019Unified Bayesian Conditional Autoregressive Risk Measures using the Skew Exponential Power Distribution. (2019). Petrella, Lea ; Bernardi, Mauro ; Bottone, Marco. In: Papers. RePEc:arx:papers:1902.03982.

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2019Conditional Density Estimation with Neural Networks: Best Practices and Benchmarks. (2019). Ulrich, Maxim ; Walther, Simon ; Ferreira, Fabio ; Rothfuss, Jonas. In: Papers. RePEc:arx:papers:1903.00954.

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2019Pro-Cyclicality of Traditional Risk Measurements: Quantifying and Highlighting Factors at its Source. (2019). Dacorogna, Michel ; Kratz, Marie ; Brautigam, Marcel. In: Papers. RePEc:arx:papers:1903.03969.

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2019Semi-parametric Realized Nonlinear Conditional Autoregressive Expectile and Expected Shortfall. (2019). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1906.09961.

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2019Common Decomposition of Correlated Brownian Motions and its Financial Applications. (2019). Yang, Jingping ; Cheng, Xue. In: Papers. RePEc:arx:papers:1907.03295.

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2019SlideVaR: a risk measure with variable risk attitudes. (2019). Hu, Wentao. In: Papers. RePEc:arx:papers:1907.11855.

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2019calculation worst-case Value-at-Risk prediction using empirical data under model uncertainty. (2019). Hu, Wentao. In: Papers. RePEc:arx:papers:1908.00982.

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2019Computational method for probability distribution on recursive relationships in financial applications. (2019). Lee, Kyungsub ; Park, Jong Jun. In: Papers. RePEc:arx:papers:1908.04959.

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2019Performance of tail hedged portfolio with third moment variation swap. (2019). Ki, Byoung ; Lee, Kyungsub. In: Papers. RePEc:arx:papers:1908.05105.

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2019Entropic Dynamics of Stocks and European Options. (2019). Bartolomeo, Daniel ; Abedi, Mohammad. In: Papers. RePEc:arx:papers:1908.06355.

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2019Entropic Dynamics of Exchange Rates and Options. (2019). Bartolomeo, Daniel ; Abedi, Mohammad. In: Papers. RePEc:arx:papers:1908.06358.

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2019A lognormal type stochastic volatility model with quadratic drift. (2019). Willems, Sander ; Carr, Peter. In: Papers. RePEc:arx:papers:1908.07417.

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2019An analytical perturbative solution to the Merton Garman model using symmetries. (2019). Shaw, Nathaniel Wiesendanger ; Calmet, Xavier. In: Papers. RePEc:arx:papers:1909.01413.

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2019Virtual Historical Simulation for estimating the conditional VaR of large portfolios. (2019). Francq, Christian ; Zakoian, Jean-Michel. In: Papers. RePEc:arx:papers:1909.04661.

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2019Comparing the forecasting of cryptocurrencies by Bayesian time-varying volatility models. (2019). Rossini, Luca ; Bohte, Rick. In: Papers. RePEc:arx:papers:1909.06599.

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2019Consistent and Efficient Pricing of SPX and VIX Options under Multiscale Stochastic Volatility. (2019). Huh, Jeonggyu ; Kim, Geonwoo ; Jeon, Jaegi. In: Papers. RePEc:arx:papers:1909.10187.

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2020Trading Strategies and Market Color: The Benefits of Friendship with Quantitative Analysts and Financial Engineers. (2019). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1910.02144.

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2020Robust portfolio optimization with multi-factor stochastic volatility. (2019). Zhu, Song-Ping ; Ma, Guiyuan ; Lu, Xiaoping ; Yang, Ben-Zhang. In: Papers. RePEc:arx:papers:1910.06872.

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2019Testing Forecast Rationality for Measures of Central Tendency. (2019). Schmidt, Patrick ; Patton, Andrew J ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1910.12545.

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2020Data-driven covariance estimators for high-dimensional minimum-variance portfolios. (2019). Steinert, Rick ; Shivarova, Antoniya ; Husmann, Sven . In: Papers. RePEc:arx:papers:1910.13960.

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2019Hybrid quantile estimation for asymmetric power GARCH models. (2019). Zhu, Ke ; Li, Wai Keung ; Wang, Guochang. In: Papers. RePEc:arx:papers:1911.09343.

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2019Robustness and sensitivity analyses for stochastic volatility models under uncertain data structure. (2019). Ziegler, Philipp ; Sobotka, Tom'Avs ; Posp, Jan. In: Papers. RePEc:arx:papers:1912.06709.

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2019Comparative Study of Two Extensions of Heston Stochastic Volatility Model. (2019). Taneja, H C ; Srivastava, R ; Malhotra, Gifty. In: Papers. RePEc:arx:papers:1912.10237.

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2019Portfolio optimization based on forecasting models using vine copulas: An empirical assessment for the financial crisis. (2019). Stephan, Andreas ; Sahamkhadam, Maziar. In: Papers. RePEc:arx:papers:1912.10328.

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2019Focused Bayesian Prediction. (2019). Frazier, David T ; Martin, Gael M ; Loaiza-Maya, Ruben. In: Papers. RePEc:arx:papers:1912.12571.

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2018‘Déjà vol’ revisited: Survey forecasts of macroeconomic variables predict volatility in the cross-section of industry portfolios. (2018). Conrad, Christian ; Glas, Alexander. In: Working Papers. RePEc:awi:wpaper:0655.

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2019Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models. (2019). Guidolin, Massimo ; Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp19106.

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2017Good Volatility, Bad Volatility and Option Pricing. (2017). Feunou, Bruno ; Okou, Cedric. In: Staff Working Papers. RePEc:bca:bocawp:17-52.

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2017Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models. (2017). Feunou, Bruno ; Okou, Cedric. In: Staff Working Papers. RePEc:bca:bocawp:17-55.

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2018Commodity Return Predictability: evidence from implied variance, skewness and their risk premia and their risk premia. (2018). ORNELAS, JOSE ; Finta, Marinela Adriana. In: Working Papers Series. RePEc:bcb:wpaper:479.

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2018How much does book value data tell us about systemic risk and its interactions with the macroeconomy? A Luxembourg empirical evaluation. (2018). Jin, Xisong. In: BCL working papers. RePEc:bcl:bclwop:bclwp118.

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2019Bayesian Inference for Markov-switching Skewed Autoregressive Models. (2019). Lhuissier, Stéphane. In: Working papers. RePEc:bfr:banfra:726.

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2018What drives flight to quality?. (2018). Opitz, Sebastian ; Szimayer, Alexander. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:529-571.

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2018THE CREDIT‐CHANNEL TRANSMISSION MECHANISM AND THE NONLINEAR GROWTH AND WELFARE EFFECTS OF INFLATION AND TAXES. (2018). Chen, Shu-Hua. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:2:p:724-744.

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2017Risk Control: Who Cares?. (2017). Taylor, Nick. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:1:p:153-179.

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2017The Role of the Conditional Skewness and Kurtosis in VIX Index Valuation. (2017). Lalancette, Simon ; Simonato, Jeana Guy. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:2:p:325-354.

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2019Stock market integration, cost of equity capital, and corporate investment: Evidence from Brazil. (2019). Loncan, Tiago ; Hillier, David. In: European Financial Management. RePEc:bla:eufman:v:25:y:2019:i:1:p:181-206.

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2019The information content of the implied volatility term structure on future returns. (2019). Yen, Kuangchieh ; Wang, Yawhuei. In: European Financial Management. RePEc:bla:eufman:v:25:y:2019:i:2:p:380-406.

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2018Home is Where You Know Your Volatility – Local Investor Sentiment and Stock Market Volatility. (2018). Schneller, D ; Hamid, A ; Heiden, M. In: German Economic Review. RePEc:bla:germec:v:19:y:2018:i:2:p:209-236.

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2018UNCERTAINTY AND DENSITY FORECASTS OF ARMA MODELS: COMPARISON OF ASYMPTOTIC, BAYESIAN, AND BOOTSTRAP PROCEDURES. (2018). Veiga, Helena ; Ruiz, Esther ; Gonalves, Joo Henrique . In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:2:p:388-419.

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2018On the Comparison of Interval Forecasts. (2018). Askanazi, Ross ; Shin, Minchul ; Schorfheide, Frank ; Diebold, Francis X. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:953-965.

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2018Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications. (2018). Zerilli, Paola ; Chen, Liyuan ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:953.

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2017High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed. (2017). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1099.

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2019Efficient estimation of financial risk by regressing the quantiles of parametric distributions: An application to CARR models. (2019). NG, KOK HAUR ; Kok-Haur, NG ; Shelton, Peiris ; Thanakorn, Nitithumbundit ; So, Chan Jennifer. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:23:y:2019:i:2:p:22:n:4.

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2018Optimal Asset Allocation with Multivariate Bayesian Dynamic Linear Models. (2018). Pettenuzzo, Davide ; Fisher, Jared D ; Carvalho, Carlos. In: Working Papers. RePEc:brd:wpaper:123.

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2018A Stochastic Latent Moment Model for Electricity Price Formation. (2018). Gianfreda, Angelica ; Bunn, Derek. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps46.

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2019Does Business Confidence Matter for Investment?. (2019). Khan, Hashmat ; Upadhayaya, Santosh. In: Carleton Economic Papers. RePEc:car:carecp:17-13.

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2019The Macroeconomic Projections of the German Government: A Comparison to an Independent Forecasting Institution. (2019). Lehmann, Robert ; Wolllmershauser, Timo. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7460.

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2017Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes. (2017). Crisóstomo, Ricardo ; Couso, Lorena ; Crisostomo, Ricardo . In: CNMV Working Papers. RePEc:cnv:wpaper:dt_67en.

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2018Generalized Recovery. (2018). Lando, David ; Jensen, Christian Skov ; Pedersen, Lasse Heje. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12665.

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2018Forecasting Methods in Finance. (2018). Timmermann, Allan G. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12692.

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2019Efficient Estimation of Multivariate Semi-nonparametric GARCH Filtered Copula Models. (2019). Yi, Yanping ; Huang, Zhuo ; Chen, Xiaohong. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2215.

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2018Value-at-Risk prediction using option-implied risk measures. (2018). Zhou, Chen ; Schindelhauer, Kai. In: DNB Working Papers. RePEc:dnb:dnbwpp:613.

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2018Sentiment and sign predictability of stock returns. (2018). Pönkä, Harri ; Pnk, Harri. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00948.

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2018Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals. (2018). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/278905.

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2019Chi-squared tests of interval and density forecasts and the Bank of Englands fan charts. (2001). Wallis, Kenneth. In: Working Paper Series. RePEc:ecb:ecbwps:20010083.

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2017Tail co-movement in inflation expectations as an indicator of anchoring. (2017). Natoli, Filippo ; Sigalotti, Laura . In: Working Paper Series. RePEc:ecb:ecbwps:20171997.

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2018Priors for the long run. (2018). Primiceri, Giorgio ; Lenza, Michele ; Giannone, Domenico. In: Working Paper Series. RePEc:ecb:ecbwps:20182132.

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2019Forecasting daily electricity prices with monthly macroeconomic variables. (2019). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia. In: Working Paper Series. RePEc:ecb:ecbwps:20192250.

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2019Disentangling the role of the exchange rate in oil-related scenarios for the European stock market. (2019). Ferreiro, Javier Ojea. In: Working Paper Series. RePEc:ecb:ecbwps:20192296.

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2018Examining the Value-at-risk Performance of Fractionally Integrated GARCH Models: Evidence from Energy Commodities. (2018). Buberkoku, Onder. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2018-03-6.

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2019Does a financial accelerator improve forecasts during financial crises? Evidence from Japan with prediction-pooling methods. (2019). Iiboshi, Hirokuni ; Nakamura, Daisuke ; Matsumae, Tatsuyoshi ; Hasumi, Ryo. In: Journal of Asian Economics. RePEc:eee:asieco:v:60:y:2019:i:c:p:45-68.

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2019Predicting firm level stock returns: Implications for asset pricing and economic links. (2019). McMillan, David G. In: The British Accounting Review. RePEc:eee:bracre:v:51:y:2019:i:4:p:333-351.

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2019It only takes a few moments to hedge options. (2019). Santucci de Magistris, Paolo ; Sloth, David ; Barletta, Andrea. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:251-269.

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2019A profitable modification to global quadratic hedging. (2019). Godin, Frederic ; Augustyniak, Maciej ; Simard, Clarence. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:104:y:2019:i:c:p:111-131.

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2019Pricing and Exercising American Options: an Asymptotic Expansion Approach. (2019). Ye, Yongxin ; Li, Chenxu. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:107:y:2019:i:c:11.

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2019Functional Ross recovery: Theoretical results and empirical tests. (2019). Maurer, Raimond ; Dillschneider, Yannick. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:108:y:2019:i:c:s0165188919301496.

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2019Capturing deep tail risk via sequential learning of quantile dynamics. (2019). Yan, Xing ; Wu, QI. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:109:y:2019:i:c:s016518891930168x.

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2018Dynamic derivative strategies with stochastic interest rates and model uncertainty. (2018). Escobar, Marcos ; Rubtsov, Alexey ; Ferrando, Sebastian. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:49-71.

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2018A hybrid spline-based parametric model for the yield curve. (2018). Almeida, Caio ; Faria, Adriano . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:72-94.

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2018Level and slope of volatility smiles in long-run risk models. (2018). Branger, Nicole ; Schlag, Christian ; Rodrigues, Paulo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:95-122.

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2018Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns. (2018). Kaeck, Andreas ; Seeger, Norman J ; Rodrigues, Paulo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:1-29.

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2018Estimation of agent-based models using sequential Monte Carlo methods. (2018). Lux, Thomas. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:391-408.

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2018Improving daily Value-at-Risk forecasts: The relevance of short-run volatility for regulatory quality assessment. (2018). Berger, Theo ; Genay, Ramazan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:92:y:2018:i:c:p:30-46.

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More than 100 citations found, this list is not complete...

Works by Peter F. Christoffersen:

YearTitleTypeCited
2007Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices In: CREATES Research Papers.
[Full Text][Citation analysis]		paper6
2007Forward-Looking Betas In: CREATES Research Papers.
[Full Text][Citation analysis]		paper3
2008Volatility Components, Affine Restrictions and Non-Normal Innovations In: CREATES Research Papers.
[Full Text][Citation analysis]		paper23
2010Volatility Components, Affine Restrictions, and Nonnormal Innovations.(2010) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23		article
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