Peter F. Christoffersen : Citation Profile

Deceased: 2018-06-22

28

H index

43

i10 index

3656

Citations

RESEARCH PRODUCTION:

39

Articles

85

Papers

2

Books

4

Chapters

RESEARCH ACTIVITY:

   24 years (1994 - 2018). See details.
   Cites by year: 152
   Journals where Peter F. Christoffersen has often published
   Relations with other researchers
   Recent citing documents: 258.    Total self citations: 55 (1.48 %)

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   Permalink: http://citec.repec.org/pch343
   Updated: 2021-03-01    RAS profile:    
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Relations with other researchers

Works with:

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 (67)

Diebold, Francis (58)

Degiannakis, Stavros (53)

McAleer, Michael (52)

Swanson, Norman (49)

Patton, Andrew (39)

Bollerslev, Tim (36)

Andersen, Torben (35)

Clements, Michael (28)

Gaglianone, Wagner (27)

Rombouts, Jeroen (26)

Cites to:

Bollerslev, Tim (105)

Engle, Robert (94)

Diebold, Francis (71)

Cao, Charles (53)

Chen, Zhiwu (53)

Andersen, Torben (52)

Chernov, Mikhail (39)

Wu, Liuren (32)

Harvey, Campbell (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
Management Science5
Journal of Financial Economics5
Journal of Business & Economic Statistics3
Journal of Financial and Quantitative Analysis3
Journal of Financial Econometrics2
Journal of Banking & Finance2
Journal of Empirical Finance2

Working Papers Series with more than one paper published# docs
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
EPRU Working Paper Series / Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics2
Finance Working Papers / East Asian Bureau of Economic Research2
Working Papers / Federal Reserve Bank of Philadelphia2

Recent works citing Peter F. Christoffersen (2021 and 2020)

YearTitle of citing document
2020Predicting bond return predictability. (2020). Thyrsgaard, Martin ; Kjar, Mads M ; Eriksen, Jonas N ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2020-09.

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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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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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2020Improving Value-at-Risk prediction under model uncertainty. (2018). Yao, Jianfeng ; Yang, Shuzhen. In: Papers. RePEc:arx:papers:1805.03890.

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2021A 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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2020Common 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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2021An 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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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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2020Testing 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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2020Focused Bayesian Prediction. (2019). Frazier, David T ; Martin, Gael M ; Loaiza-Maya, Ruben. In: Papers. RePEc:arx:papers:1912.12571.

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2020Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets. (2020). Scaillet, Olivier ; Shen, Yiwen. In: Papers. RePEc:arx:papers:2004.10096.

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2020The Murphy Decomposition and the Calibration-Resolution Principle: A New Perspective on Forecast Evaluation. (2020). Pohle, Marc-Oliver. In: Papers. RePEc:arx:papers:2005.01835.

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2020Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204.

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2020Daily Middle-Term Probabilistic Forecasting of Power Consumption in North-East England. (2020). Messuti, Giuseppe ; Baviera, Roberto. In: Papers. RePEc:arx:papers:2005.13005.

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2020Explicit approximations for option prices via Malliavin calculus for the stochastic Verhulst volatility model. (2020). Langren, Nicolas ; Das, Kaustav. In: Papers. RePEc:arx:papers:2006.01542.

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2020Dynamic Network Risk. (2020). Baruník, Jozef ; Ellington, Michael ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2006.04639.

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2020Hidden Markov Models Applied To Intraday Momentum Trading With Side Information. (2020). Turner, Richard ; Godsill, Simon ; Christensen, Hugh. In: Papers. RePEc:arx:papers:2006.08307.

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2020Proper scoring rules for evaluating asymmetry in density forecasting. (2020). Ravazzolo, Francesco ; Iacopini, Matteo ; Rossini, Luca. In: Papers. RePEc:arx:papers:2006.11265.

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2020Option Pricing Under a Discrete-Time Markov Switching Stochastic Volatility with Co-Jump Model. (2020). Li, Bingqing ; Fu, Michael C ; Zhang, Tianqi ; Wu, Rongwen . In: Papers. RePEc:arx:papers:2006.15054.

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2020A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: Papers. RePEc:arx:papers:2006.15312.

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2020Testing error distribution by kernelized Stein discrepancy in multivariate time series models. (2020). Li, Dong ; Gong, Huan ; Zhu, KE ; Luo, Donghang. In: Papers. RePEc:arx:papers:2008.00747.

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2020Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.01714.

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2020Volatility Depend on Market Trades and Macro Theory. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2008.07907.

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2020Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary. (2020). Schnaitmann, Julie ; Liu, Xiaochun ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2009.07341.

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2020CoVaR with volatility clustering, heavy tails and non-linear dependence. (2020). Rivieccio, Giorgia ; de Luca, Giovanni ; Bianchi, Michele Leonardo. In: Papers. RePEc:arx:papers:2009.10764.

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2020Price, Volatility and the Second-Order Economic Theory. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2009.14278.

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2020Tail-risk protection: Machine Learning meets modern Econometrics. (2020). Hardle, Wolfgang Karl ; Spilak, Bruno. In: Papers. RePEc:arx:papers:2010.03315.

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2020Cryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart risk. (2020). Kim, Youngshin ; Kurosaki, Tetsuo. In: Papers. RePEc:arx:papers:2010.08900.

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2020Bridging the gap between Markowitz planning and deep reinforcement learning. (2020). Saltiel, David ; Benhamou, Eric ; Mukhopadhyay, Abhishek ; Ungari, Sandrine. In: Papers. RePEc:arx:papers:2010.09108.

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2020Forecasting With Factor-Augmented Quantile Autoregressions: A Model Averaging Approach. (2020). Phella, Anthoulla. In: Papers. RePEc:arx:papers:2010.12263.

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2020Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552.

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2020The Uncertain Shape of Grey Swans: Extreme Value Theory with Uncertain Threshold. (2020). Poorvasei, Hossein ; Arian, Hamidreza ; Zamani, Shiva ; Sharifi, Azin. In: Papers. RePEc:arx:papers:2011.06693.

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2021Estimating real-world probabilities: A forward-looking behavioral framework. (2020). Crisóstomo, Ricardo. In: Papers. RePEc:arx:papers:2012.09041.

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2020The Term Structures of Loss and Gain Uncertainty. (2020). Feunou, Bruno ; Xu, Lai ; Tedongap, Romeo ; Aliouchkin, Ricardo Lopez. In: Staff Working Papers. RePEc:bca:bocawp:20-19.

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2020Too Connected to Fail? Evidence from a Chinese Financial Risk Spillover Network. (2020). Hu, Jie ; Chen, YU ; Zhang, Weiping. In: China & World Economy. RePEc:bla:chinae:v:28:y:2020:i:6:p:78-100.

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2020Estimating portfolio risk for tail risk protection strategies. (2020). Lohre, Harald ; Happersberger, David ; Nolte, Ingmar. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:4:p:1107-1146.

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2020Mispriced index option portfolios. (2020). Perrakis, Stylianos ; Czerwonko, Michal ; Constantinides, George M. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:2:p:297-330.

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2020Option trading after the opening bell and intraday stock return predictability. (2020). Fodor, Andy ; Bergsma, Kelley ; Tayal, Jitendra ; Singal, Vijay. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:3:p:769-804.

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2020Unveiling Contemporaneous Relations Between Jump Risk and Cross Section of Stock Returns. (2020). Prasanna, Krishna ; Kshatriya, Saranya. In: International Review of Finance. RePEc:bla:irvfin:v:20:y:2020:i:3:p:581-604.

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2020Market Excess Returns, Variance and the Third Cumulant. (2020). Zhao, Huimin ; Chang, Eric C ; Zhang, Jin E. In: International Review of Finance. RePEc:bla:irvfin:v:20:y:2020:i:3:p:605-637.

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2020MORE THAN A FEELING: CONFIDENCE, UNCERTAINTY, AND MACROECONOMIC FLUCTUATIONS. (2020). Stracca, Livio ; Nowzohour, Laura . In: Journal of Economic Surveys. RePEc:bla:jecsur:v:34:y:2020:i:4:p:691-726.

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2020Low‐Risk Anomalies?. (2020). Zechner, Josef ; Wagner, Christian ; Schneider, Paul. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2673-2718.

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2020PREDICTING SYSTEMATIC RISK WITH MACROECONOMIC AND FINANCIAL VARIABLES. (2020). Ibrushi, Denada ; Cenesizoglu, Tolga. In: Journal of Financial Research. RePEc:bla:jfnres:v:43:y:2020:i:3:p:649-673.

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2020Backtesting portfolio value‐at‐risk with estimated portfolio weights. (2020). Pei, Pei ; Du, Zaichao. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:5:p:605-619.

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2020Self‐similarity in long‐horizon returns. (2020). Schoutens, Wim ; Madan, Dilip B. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1368-1391.

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2020An autoregressive model based on the generalized hyperbolic distribution. (2020). Karttunen, Henri. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:47:y:2020:i:3:p:787-816.

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2020Proper scoring rules for evaluating asymmetry in density forecasting. (2020). Rossini, Luca ; Ravazzolo, Francesco ; Iacopini, Matteo. In: Working Papers. RePEc:bny:wpaper:0089.

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2021Testing and Modelling Time Series with Time Varying Tails. (2021). Palumbo, D. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2111.

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2020Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, Stephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: CIRANO Working Papers. RePEc:cir:cirwor:2020s-42.

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2021Estimación de probabilidades representativas del mundo real: importancia de los sesgos conductuales. (2021). Crisostomo, Ricardo . In: CNMV Documentos de Trabajo. RePEc:cnv:docutr:dt_73es.

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2020Exchange rate predictive densities and currency risks: A quantile regression approach. (2020). Joseph, Niango Ange. In: EconomiX Working Papers. RePEc:drm:wpaper:2020-16.

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2020Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach. (2020). Hallin, Marc ; Trucios, Carlos. In: Working Papers ECARES. RePEc:eca:wpaper:2013/315983.

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2020Trading volume and realized higher-order moments in the Australian stock market. (2020). Jeyasreedharan, Nagaratnam ; Ahadzie, Richard Mawulawoe. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:28:y:2020:i:c:s2214635020303403.

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2020Optimal consumption and portfolio decision with stochastic covariance in incomplete markets. (2020). Hu, Zhijun ; Wang, Hang. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:138:y:2020:i:c:s0960077920301776.

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2020A cost-benefit analysis of capital requirements adjusted for model risk. (2020). Tunaru, Radu ; Fringuellotti, Fulvia ; Farkas, Walter. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920301978.

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2020The contribution of intraday jumps to forecasting the density of returns. (2020). Sevi, Benoit ; Ielpo, Florian ; Chorro, Christophe. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300233.

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2020Time to build and bond risk premia. (2020). Li, Kai ; Huang, Fuzhe ; Guo, Bin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:121:y:2020:i:c:s0165188920301925.

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2020Financialization of agricultural commodities: Evidence from China. (2020). Ouyang, Ruolan ; Zhang, Xuan. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:381-389.

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2020A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage. (2020). Gradojevic, Nikola ; Genay, Ramazan ; Erdemlioglu, Deniz. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:57-73.

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2020Time-varying dependence in European equity markets: A contagion and investor sentiment driven analysis. (2020). Pochea, Maria Miruna ; Nioi, Mihai. In: Economic Modelling. RePEc:eee:ecmode:v:86:y:2020:i:c:p:133-147.

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2020Asymmetric signals and skewness. (2020). Zhen, Fang. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:32-42.

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2020Mixed data sampling expectile regression with applications to measuring financial risk. (2020). Yu, Keming ; Jiang, Cuixia ; Chen, LU ; Xu, Qifa. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:469-486.

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2020The macroeconomic drivers in hedge fund beta management. (2020). Platania, Federico ; Lambert, Marie. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:65-80.

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2020Global predictive power of the upside and downside variances of the U.S. equity market. (2020). Zhang, Liguo ; Xiao, Jun ; Xu, Yahua. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:605-619.

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2020Which types of commodity price information are more useful for predicting US stock market volatility?. (2020). Li, Yan ; Ma, Feng ; Liang, Chao. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:642-650.

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2020A TVM-Copula-MIDAS-GARCH model with applications to VaR-based portfolio selection. (2020). Tong, Yongbo ; Xu, Qifa ; Ding, Xiaoyi ; Jiang, Cuixia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819300993.

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2020Site visit information content and return predictability: Evidence from China. (2020). Cao, Jiawei ; Yue, Sishi ; Dong, Dayong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819304280.

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2020The economic and financial properties of crude oil: A review. (2020). Auer, Benjamin R ; Lang, Korbinian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940818302559.

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2020Risk dependence and cointegration between pharmaceutical stock markets: The case of China and the USA. (2020). Pérez-Rodríguez, Jorge ; Lopez-Valcarcel, Beatriz Gonzalez ; Perez-Rodriguez, Jorge V ; Qian, Huanhuan ; Zhou, Xinmiao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300723.

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2020VIX forecasting based on GARCH-type model with observable dynamic jumps: A new perspective. (2020). Li, Weiping ; Yang, Jiyu ; Qiao, Gaoxiu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300838.

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2020Forecasting oil futures market volatility in a financialized world: Why speculative activities matter. (2020). Nguyen, Chi M ; Chan, Leo H. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818301153.

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2020Retrieving the implicit risk neutral density of WTI options with a semi-nonparametric approach. (2020). Perote, Javier ; Mora-Valencia, Andrés ; Cortes, Lina M. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818301980.

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2020Implied risk aversion and pricing kernel in the FTSE 100 index. (2020). Sung, Hao-Chang ; Ju, Wen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818302092.

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2020Model specification of conditional jump intensity: Evidence from S&P 500 returns and option prices. (2020). Tsai, Jeffrey Tzuhao ; Lo, Chien-Ling ; Cheng, Hung-Wen . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818303772.

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2020Forecasting risk in the US Dollar exchange rate under volatility shifts. (2020). Malik, Farooq ; Anjum, Hassan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301546.

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2020Valuing spread options with counterparty risk and jump risk. (2020). Wang, Xingchun ; Li, Zelei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301650.

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2020Trends in distributional characteristics: Existence of global warming. (2020). Gonzalo, Jesus ; Gadea, Maria Dolores. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:153-174.

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2020Variance disparity and market frictions. (2020). Park, Yang-Ho. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:326-348.

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2020Nonparametric assessment of hedge fund performance. (2020). Garcia, René ; Ardison, Kym ; Almeida, Caio. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:349-378.

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2020Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals. (2020). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:4-34.

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2020Option market trading activity and the estimation of the pricing kernel: A Bayesian approach. (2020). Fusari, Nicola ; Barone-Adesi, Giovanni ; Sala, Carlo ; Mira, Antonietta. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:2:p:430-449.

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2020The leverage effect puzzle revisited: Identification in discrete time. (2020). Khrapov, Stanislav ; Han, Hyojin ; Renault, Eric. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:230-258.

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2020Virtual Historical Simulation for estimating the conditional VaR of large portfolios. (2020). Zakoian, Jean-Michel ; Francq, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:356-380.

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2020Multivariate leverage effects and realized semicovariance GARCH models. (2020). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:411-430.

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2020The term structure of equity and variance risk premia. (2020). Ait-Sahalia, Yacine ; Mancini, Loriano ; Karaman, Mustafa. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:2:p:204-230.

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2020High-dimensional predictive regression in the presence of cointegration. (2020). Anderson, Heather ; Yao, Wenying ; Seo, Myung Hwan ; Koo, Bonsoo. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:2:p:456-477.

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2020Estimating the term structure of commodity market preferences. (2020). Christodoulakis, George . In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:3:p:1146-1163.

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2020VIX derivatives, hedging and vol-of-vol risk. (2020). Kaeck, Andreas ; Seeger, Norman J. In: European Journal of Operational Research. RePEc:eee:ejores:v:283:y:2020:i:2:p:767-782.

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2020A comparison of tail dependence estimators. (2020). Weiss, Gregor ; Irresberger, Felix ; Supper, Hendrik . In: European Journal of Operational Research. RePEc:eee:ejores:v:284:y:2020:i:2:p:728-742.

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2021Option pricing with conditional GARCH models. (2021). Stentoft, Lars ; Escobar Anel, Marcos ; Escobar-Anel, Marcos ; Rastegari, Javad. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:1:p:350-363.

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2021A data-driven framework for consistent financial valuation and risk measurement. (2021). Kirkby, Lars J ; Cui, Zhenyu ; Nguyen, Duy. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:1:p:381-398.

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2020Is there an illiquidity premium in frontier markets?. (2020). Umar, Zaghum ; Zaremba, Adam ; Stereczak, Szymon. In: Emerging Markets Review. RePEc:eee:ememar:v:42:y:2020:i:c:s1566014119302481.

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2020Factor state–space models for high-dimensional realized covariance matrices of asset returns. (2020). Gribisch, Bastian ; Liesenfeld, Roman ; Hartkopf, Jan Patrick. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:1-20.

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2020The time-varying asymmetry of exchange rate returns: A stochastic volatility – stochastic skewness model. (2020). Iseringhausen, Martin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:275-292.

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2020A comparison of non-Gaussian VaR estimation and portfolio construction techniques. (2020). Lizieri, Colin ; Satchell, Stephen ; Allen, David. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:356-368.

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2020Conditional extreme risk, black swan hedging, and asset prices. (2020). Wu, Feng ; Rhee, Ghon S. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:412-435.

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2020Economic determinants of oil futures volatility: A term structure perspective. (2020). Prokopczuk, Marcel ; Nikitopoulos-Sklibosios, Christina ; Kang, Boda. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320300827.

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2020Forecasting crude oil and refined products volatilities and correlations: New evidence from fractionally integrated multivariate GARCH models. (2020). Di Iorio, Francesca ; Tamvakis, Michael ; Kyriakou, Ioannis ; Marchese, Malvina. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320300967.

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2020Moments-based spillovers across gold and oil markets. (2020). Lau, Chi Keung ; GUPTA, RANGAN ; Bonato, Matteo ; Wang, Shixuan ; Marco, Chi Keung. In: Energy Economics. RePEc:eee:eneeco:v:89:y:2020:i:c:s0140988320301390.

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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]		paper5
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]		paper28
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: 28		article
2008Option Valuation with Long-run and Short-run Volatility Components In: CREATES Research Papers.
[Full Text][Citation analysis]		paper81
2004Option Valuation with Long-run and Short-run Volatility Components.(2004) In: CIRANO Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 81		paper
2008Option valuation with long-run and short-run volatility components.(2008) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 81		article
2009Option Valuation with Conditional Heteroskedasticity and Non-Normality In: CREATES Research Papers.
[Full Text][Citation analysis]		paper58
2009Option Valuation with Conditional Heteroskedasticity and Non-Normality.(2009) In: CIRANO Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 58		paper
2010Option Valuation with Conditional Heteroskedasticity and Nonnormality.(2010) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 58		article
2009The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well In: CREATES Research Papers.
[Full Text][Citation analysis]		paper138
2009The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well.(2009) In: Management Science.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 138		article
2008Evaluating Value-at-Risk Models with Desk-Level Data In: CREATES Research Papers.
[Full Text][Citation analysis]		paper109
2011Evaluating Value-at-Risk Models with Desk-Level Data.(2011) In: Management Science.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 109		article
2011Financial Risk Measurement for Financial Risk Management In: CREATES Research Papers.
[Full Text][Citation analysis]		paper24
2013Financial Risk Measurement for Financial Risk Management.(2013) In: Handbook of the Economics of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24		chapter
2012Financial Risk Measurement for Financial Risk Management.(2012) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24		paper
2011Financial Risk Measurement for Financial Risk Management.(2011) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24		paper
2011Illiquidity Premia in the Equity Options Market In: CREATES Research Papers.
[Full Text][Citation analysis]		paper13
2013Illiquidity Premia in the Equity Options Market.(2013) In: CREATES Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13		paper
2018Illiquidity Premia in the Equity Options Market.(2018) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13		article
2011Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns? In: CREATES Research Papers.
[Full Text][Citation analysis]		paper3
2011The Joint Dynamics of Equity Market Factors In: CREATES Research Papers.
[Full Text][Citation analysis]		paper27
2013The Joint Dynamics of Equity Market Factors.(2013) In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27		article
2011Forecasting with Option Implied Information In: CREATES Research Papers.
[Full Text][Citation analysis]		paper27
2013Forecasting with Option-Implied Information.(2013) In: Handbook of Economic Forecasting.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27		chapter
2012Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach In: CREATES Research Papers.
[Full Text][Citation analysis]		paper144
2012Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach.(2012) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 144		article
2012Nonlinear Kalman Filtering in Affine Term Structure Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper19
2014Nonlinear Kalman Filtering in Affine Term Structure Models.(2014) In: Management Science.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19		article
2014Nonlinear Kalman Filtering in Affine Term Structure Models.(2014) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19		paper
2012GARCH Option Valuation: Theory and Evidence In: CREATES Research Papers.
[Full Text][Citation analysis]		paper2
2013Does Realized Skewness Predict the Cross-Section of Equity Returns? In: CREATES Research Papers.
[Full Text][Citation analysis]		paper95
2015Does realized skewness predict the cross-section of equity returns?.(2015) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 95		article
2013Rare Disasters and Credit Market Puzzles In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2013Dynamic Diversification in Corporate Credit In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2013The Factor Structure in Equity Options In: CREATES Research Papers.
[Full Text][Citation analysis]		paper8
2018The Factor Structure in Equity Options.(2018) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		article
2013Correlation Dynamics and International Diversification Benefits In: CREATES Research Papers.
[Full Text][Citation analysis]		paper17
2014Correlation dynamics and international diversification benefits.(2014) In: International Journal of Forecasting.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17		article
2014Factor Structure in Commodity Futures Return and Volatility In: CREATES Research Papers.
[Full Text][Citation analysis]		paper11
2019Factor Structure in Commodity Futures Return and Volatility.(2019) In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		article
2014Equity Portfolio Management Using Option Price Information In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2014Oil Volatility Risk and Expected Stock Returns In: CREATES Research Papers.
[Full Text][Citation analysis]		paper10
2018Oil volatility risk and expected stock returns.(2018) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		article
2014Option Valuation with Observable Volatility and Jump Dynamics In: CREATES Research Papers.
[Full Text][Citation analysis]		paper12
2015Option Valuation with Observable Volatility and Jump Dynamics.(2015) In: Staff Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12		paper
2015Option valuation with observable volatility and jump dynamics.(2015) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12		article
2015Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2014Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels In: CREATES Research Papers.
[Full Text][Citation analysis]		paper6
2012The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation In: Staff Working Papers.
[Full Text][Citation analysis]		paper36
2014The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation.(2014) In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 36		article
2016Time-Varying Crash Risk: The Role of Stock Market Liquidity In: Staff Working Papers.
[Full Text][Citation analysis]		paper4
1998Cointegration and Long-Horizon Forecasting. In: Journal of Business & Economic Statistics.
[Citation analysis]		article106
1997Cointegration and long-horizon forecasting.(1997) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 106		paper
1997Cointegration and Long-Horizon Forecasting.(1997) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 106		paper
2000Interest-Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk. In: Journal of Business & Economic Statistics.
[Citation analysis]		article5
2000From Inflation to Growth In: The Economics of Transition.
[Full Text][Citation analysis]		article19
2003Création de valeur, gestion de risque et options réelles In: CIRANO Burgundy Reports.
[Full Text][Citation analysis]		paper0
2003Value creation, risk management, and real options In: CIRANO Burgundy Reports.
[Full Text][Citation analysis]		paper2
2001Value Creation through Real Options Management In: CIRANO Project Reports.
[Full Text][Citation analysis]		paper0
2001Testing and Comparing Value-at-Risk Measures In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper70
2001Testing and comparing Value-at-Risk measures.(2001) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 70		article
2001Lets Get Real about Using Economic Data In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper21
2000Lets Get Real About Using Economic Data.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21		paper
2002Lets get real about using economic data.(2002) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21		article
2001Lets Get Real about Using Economic Data..(2001) In: EPRU Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21		paper
2001The Importance of the Loss Function in Option Pricing In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper8
2002Financial Asset Returns, Market Timing, and Volatility Dynamics In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper7
2002Which Volatility Model for Option Valuation? In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper3
2003Backtesting Value-at-Risk: A Duration-Based Approach In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper152
2004Backtesting Value-at-Risk: A Duration-Based Approach.(2004) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 152		article
2003Company Flexibility, the Value of Management and Managerial Compensation In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper1
2003Size Matters: The Impact of Capital Market Liberalization on Individual Firms In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper1
2003Option Valuation with Conditional Skewness In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper101
2006Option valuation with conditional skewness.(2006) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 101		article
2003The Importance of the Loss Function in Option Valuation In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper83
2004The importance of the loss function in option valuation.(2004) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 83		article
2004Estimation Risk in Financial Risk Management In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper19
2004The Informational Content of Over-the-Counter Currency Options In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper4
2004The informational content of over-the-counter currency options.(2004) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		paper
2009Option-Implied Measures of Equity Risk In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper35
2011Option-Implied Measures of Equity Risk.(2011) In: Review of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 35		article
2009Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper3
1997Optimal Prediction Under Asymmetric Loss In: Econometric Theory.
[Full Text][Citation analysis]		article180
1997Optimal prediction under asymmetric loss.(1997) In: Working Papers.
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This paper has another version. Agregated cites: 180		paper
1994Optimal Prediction Under Asymmetric Loss.(1994) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 180		paper
1997Optimal Prediction Under Asymmetric Loss.(1997) In: CARESS Working Papres.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 180		paper
Optimal Prediction Under Asymmetric Loss.() In: Home Pages.
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This paper has another version. Agregated cites: 180		paper
2006Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence In: Finance Working Papers.
[Full Text][Citation analysis]		paper8
2006Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence.(2006) In: Finance Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
2006Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence.(2006) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
2010Option Anomalies and the Pricing Kernel In: Working Papers.
[Full Text][Citation analysis]		paper6
2010Market Skewness Risk and the Cross-Section of Stock Returns In: Working Papers.
[Full Text][Citation analysis]		paper121
2013Market skewness risk and the cross section of stock returns.(2013) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 121		article
2010Time-Varying Jump Intensities and Fat Tail Dynamics: Evidence from S&P500 Returns and Options In: Working Papers.
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2010Is the Potential for International Diversification Disappearing? In: Working Papers.
[Full Text][Citation analysis]		paper4
2004Martingale Tests of Value-at-Risk In: Econometric Society 2004 North American Winter Meetings.
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2006Volatility and Correlation Forecasting In: Handbook of Economic Forecasting.
[Full Text][Citation analysis]		chapter132
2000Towards a global financial architecture: capital mobility and risk management issues In: Emerging Markets Review.
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2012Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options In: Journal of Financial Economics.
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2006Size matters: The impact of financial liberalization on individual firms In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article13
2003Elements of Financial Risk Management In: Elsevier Monographs.
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2011Elements of Financial Risk Management.(2011) In: Elsevier Monographs.
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1998Horizon problems and extreme events in financial risk management In: Economic Policy Review.
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1998Horizon Problems and Extreme Events in Financial Risk Management.(1998) In: Center for Financial Institutions Working Papers.
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1998How Relevant is Volatility Forecasting for Financial Risk Management? In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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1998How Relevant is Volatility Forecasting for Financial Risk Management?.(1998) In: NBER Working Papers.
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2000How Relevant is Volatility Forecasting for Financial Risk Management?.(2000) In: The Review of Economics and Statistics.
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This paper has another version. Agregated cites: 119		article
1997How Relevant is Volatility Forecasting for Financial Risk Management?.(1997) In: Center for Financial Institutions Working Papers.
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1998Evaluating Interval Forecasts. In: International Economic Review.
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2004Which GARCH Model for Option Valuation? In: Management Science.
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2006Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics In: Management Science.
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2003Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics.(2003) In: NBER Working Papers.
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This paper has another version. Agregated cites: 97		paper
2003Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics.(2003) In: PIER Working Paper Archive.
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This paper has another version. Agregated cites: 97		paper
2003Financial asset returns, direction-of-change forecasting, and volatility dynamics.(2003) In: CFS Working Paper Series.
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1996Further Results on Forecasting and Model Selection under Asymmetric Loss. In: Journal of Applied Econometrics.
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2000Dating the Turning Points of Nordic Business Cycles. In: EPRU Working Paper Series.
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2007Practical Volatility and Correlation Modeling for Financial Market Risk Management In: NBER Chapters.
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2005Practical Volatility and Correlation Modeling for Financial Market Risk Management.(2005) In: NBER Working Papers.
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2005Practical Volatility and Correlation Modeling for Financial Market Risk Management.(2005) In: PIER Working Paper Archive.
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2005Practical volatility and correlation modeling for financial market risk management.(2005) In: CFS Working Paper Series.
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2005Volatility Forecasting In: NBER Working Papers.
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2005Volatility Forecasting.(2005) In: PIER Working Paper Archive.
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This paper has another version. Agregated cites: 49		paper
2005Volatility forecasting.(2005) In: CFS Working Paper Series.
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This paper has another version. Agregated cites: 49		paper
2005The Accuracy of Density Forecasts from Foreign Exchange Options In: Journal of Financial Econometrics.
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2010Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices In: Review of Financial Studies.
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2013Capturing Option Anomalies with a Variance-Dependent Pricing Kernel In: Review of Financial Studies.
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2005Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore In: Working Papers.
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1999Testing, Comparing, and Combining Value at Risk Measures In: Center for Financial Institutions Working Papers.
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