Peter F. Christoffersen : Citation Profile


Are you Peter F. Christoffersen?

University of Toronto (80% share)
Aarhus Universitet (10% share)
Copenhagen Business School (10% share)

23

H index

41

i10 index

2474

Citations

RESEARCH PRODUCTION:

36

Articles

86

Papers

2

Books

4

Chapters

RESEARCH ACTIVITY:

   22 years (1994 - 2016). See details.
   Cites by year: 112
   Journals where Peter F. Christoffersen has often published
   Relations with other researchers
   Recent citing documents: 337.    Total self citations: 54 (2.14 %)

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   Permalink: http://citec.repec.org/pch343
   Updated: 2017-11-18    RAS profile: 2017-07-16    
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Relations with other researchers


Works with:

Feunou, Bruno (6)

Meddahi, Nour (2)

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 (56)

Diebold, Francis (54)

McAleer, Michael (48)

Swanson, Norman (47)

Degiannakis, Stavros (37)

Andersen, Torben (29)

Bollerslev, Tim (27)

Patton, Andrew (26)

Gaglianone, Wagner (26)

Rombouts, Jeroen (26)

Clements, Michael (25)

Cites to:

Bollerslev, Tim (105)

Engle, Robert (93)

Diebold, Francis (80)

Andersen, Torben (60)

Cao, Charles (50)

Chen, Zhiwu (50)

Chernov, Mikhail (37)

Wu, Liuren (35)

Harvey, Campbell (34)

French, Kenneth (30)

Schwert, G. (29)

Main data


Where Peter F. Christoffersen has published?


Journals with more than one article published# docs
Journal of Financial Economics5
Management Science5
Review of Financial Studies4
Journal of Business & Economic Statistics3
Journal of Financial and Quantitative Analysis2
Journal of Financial Econometrics2
The Economics of Transition2
Journal of Empirical Finance2

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

Recent works citing Peter F. Christoffersen (2017 and 2016)


YearTitle of citing document
2016Dynamic Global Currency Hedging. (2016). Christensen, Bent Jesper ; Varneskov, Rasmus T. In: CREATES Research Papers. RePEc:aah:create:2016-03.

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2016Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach. (2016). Violante, Francesco ; Barletta, Andrea ; de Magistris, Paolo Santucci . In: CREATES Research Papers. RePEc:aah:create:2016-20.

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2017A Non-Structural Investigation of VIX Risk Neutral Density. (2017). Violante, Francesco ; Santucci de Magistris, Paolo ; Barletta, Andrea . In: CREATES Research Papers. RePEc:aah:create:2017-15.

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2016Analysis and Forecasting of Electricty Price Risks with Quantile Factor Models. (2016). Derek, Arne Andresen . In: The Energy Journal. RePEc:aen:journl:ej37-1-bunn.

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2016Limitation of ARIMA models in financial and monetary economics. (2016). Tindeche, Alexandru ; Stancu, Stelian ; Petric, Andreea-Cristina . In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(609):y:2016:i:4(609):p:19-42.

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2016Limitation of ARIMA models in financial and monetary economics. (2016). Tindeche, Alexandru ; Petric, Andreea-Cristina ; Stancu, Stelian . In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxiii:y:2016:i:4(609):p:19-42.

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2016Forward‐Looking USDA Price Forecasts. (2016). Robe, Michel ; Adjemian, Michael ; Bruno, Valentina G. In: 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts. RePEc:ags:aaea16:235931.

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2016Switching-GAS Copula Models With Application to Systemic Risk. (2016). Catania, Leopoldo ; Bernardi, Mauro. In: Papers. RePEc:arx:papers:1504.03733.

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2016Switching to non-affine stochastic volatility: A closed-form expansion for the Inverse Gamma model. (2016). Nicolas Langren'e, ; Zhu, Zili ; Lee, Geoffrey . In: Papers. RePEc:arx:papers:1507.02847.

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2016Value-at-Risk and backtesting with the APARCH model and the standardized Pearson type IV distribution. (2016). Stavroyiannis, Stavros . In: Papers. RePEc:arx:papers:1602.05749.

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2016Value-at-Risk: The Effect of Autoregression in a Quantile Process. (2016). Qureshi, Khizar . In: Papers. RePEc:arx:papers:1605.04940.

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2016Linear Credit Risk Models. (2016). Ackerer, Damien ; Filipovi, Damir . In: Papers. RePEc:arx:papers:1605.07419.

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2016Granger Independent Martingale Processes. (2016). Mulinacci, Sabrina ; Romagnoli, Silvia ; Cherubini, Umberto . In: Papers. RePEc:arx:papers:1607.01519.

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2016Timing in the Presence of Directional Predictability: Optimal Stopping of Skew Brownian Motion. (2016). Alvarez, Luis ; Luis , ; Salminen, Paavo . In: Papers. RePEc:arx:papers:1608.04537.

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2017Elicitability and backtesting: Perspectives for banking regulation. (2017). Nolde, Natalia ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:1608.05498.

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2016Gated 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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2016Volatility Inference and Return Dependencies in Stochastic Volatility Models. (2016). Pfante, Oliver ; Bertschinger, Nils . In: Papers. RePEc:arx:papers:1610.00312.

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2016Essentially high-order compact schemes with application to stochastic volatility models on non-uniform grids. (2016). During, Bertram ; Heuer, Christof . In: Papers. RePEc:arx:papers:1611.00316.

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2016Sparse grid high-order ADI scheme for option pricing in stochastic volatility models. (2016). Miles, James ; During, Bertram ; Hendricks, Christian . In: Papers. RePEc:arx:papers:1611.01379.

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2016Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall. (2016). Kratz, Marie ; McNeil, Alexander J ; Lok, Yen H. In: Papers. RePEc:arx:papers:1611.04851.

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2016Early exercise decision in American options with dividends, stochastic volatility and jumps. (2016). Scaillet, Olivier ; Galluccio, Stefano ; Cosma, Antonio ; Pederzoli, Paola . In: Papers. RePEc:arx:papers:1612.03031.

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2016Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Realized Measures. (2016). Wang, Chao ; Gerlach, Richard . In: Papers. RePEc:arx:papers:1612.08488.

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2017Chebyshev Reduced Basis Function applied to Option Valuation. (2017). Gaton, Victor ; de Frutos, Javier . In: Papers. RePEc:arx:papers:1701.01429.

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2017Time Series Copulas for Heteroskedastic Data. (2017). Loaiza-Maya, Rub'En ; Maneesoonthorn, Worapree ; Smith, Michael S. In: Papers. RePEc:arx:papers:1701.07152.

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2017Residual Value Forecasting Using Asymmetric Cost Functions. (2017). Dress, Korbinian ; von Mettenheim, Hans-Jorg ; Lessmann, Stefan . In: Papers. RePEc:arx:papers:1707.02736.

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2017Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution. (2017). Wang, Chao ; Gerlach, Richard ; Chen, Qian . In: Papers. RePEc:arx:papers:1707.03715.

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2017Spectral backtests of forecast distributions with application to risk management. (2017). Gordy, Michael B ; 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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2017Dynamic Asset Price Jumps and the Performance of High Frequency Tests and Measures. (2017). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Papers. RePEc:arx:papers:1708.09520.

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2016Multivariate Stochastic Volatility-Double Jump Model: an application for oil assets. (2016). Mauad, Roberto ; Laurini, Márcio ; Aiube, Fernando Antonio ; Lucena, Fernando Antonio . In: Working Papers Series. RePEc:bcb:wpaper:415.

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2016Applying a Microfounded-Forecasting Approach to Predict Brazilian Inflation. (2016). Issler, João ; Gaglianone, Wagner ; Matos, Silvia Maria . In: Working Papers Series. RePEc:bcb:wpaper:436.

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2016Evaluation of Exchange Rate Point and Density Forecasts: an application to Brazil. (2016). Gaglianone, Wagner ; Terra, Gabriel Jaqueline . In: Working Papers Series. RePEc:bcb:wpaper:446.

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2017Expected Currency Returns and Volatility Risk Premia. (2017). ORNELAS, JOSE ; Haas, Jose Renato . In: Working Papers Series. RePEc:bcb:wpaper:454.

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2016Comparison of Methods for Estimating the Uncertainty of Value at Risk. (2016). Melo-Velandia, Luis ; Gamba, Santiago ; Jaulin, Oscar Fernando ; Santamaria, Santiago Gamba ; Quicazan, Carlos Andres . In: Borradores de Economia. RePEc:bdr:borrec:927.

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2017Risk assessment of oil price from static and dynamic modelling approaches. (2017). Wei, Yi-Ming ; Mi, Zhifu ; Guan, Dabo ; Cao, Hong ; Yu, Hao ; Cong, Rong-Gang ; Tang, Bao-Jun . In: CEEP-BIT Working Papers. RePEc:biw:wpaper:102.

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2017Forecasting multidimensional tail risk at short and long horizons. (2017). Polanski, Arnold ; Stoja, Evarist . In: Bank of England working papers. RePEc:boe:boeewp:0660.

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2016High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models. (2016). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1084.

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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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2016Multi-criteria classification for pricing European options. (2016). Gradojevic, Nikola. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:2:p:123-139:n:4.

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2016Bayesian Compressed Vector Autoregressions. (2016). Pettenuzzo, Davide ; Koop, Gary ; Korobilis, Dimitris. In: Working Papers. RePEc:brd:wpaper:103.

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2016Bayesian Compressed Vector Autoregressions. (2016). Pettenuzzo, Davide ; Koop, Gary ; Korobilis, Dimitris. In: Working Papers. RePEc:brd:wpaper:103r.

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2016Option-Implied Equity Premium Predictions via Entropic TiltinG. (2016). Pettenuzzo, Davide ; Smith, Aaron ; Metaxoglou, Konstantinos . In: Working Papers. RePEc:brd:wpaper:99.

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2016Option-Implied Equity Premium Predictions via Entropic TiltinG. (2016). Pettenuzzo, Davide ; Metaxoglou, Konstantinos ; Smith, Aaron . In: Working Papers. RePEc:brd:wpaper:99r.

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2016Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump. (2016). Kilian, Lutz ; Baumeister, Christiane ; Lee, Thomas K. In: CESifo Working Paper Series. RePEc:ces:ceswps:_5759.

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2016How Accurate are Modern Value-at-Risk Estimators Derived from Extreme Value Theory?. (2016). Auer, Benjamin R ; Mogel, Benjamin . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6288.

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2016Comparison of Methods for Estimating the Uncertainty of Value at Risk. (2016). Melo-Velandia, Luis ; Gamba, Santiago ; Quicazan, Carlos Andres ; Jaulin, Oscar Fernando ; Santamaria, Santiago Gamba . In: BORRADORES DE ECONOMIA. RePEc:col:000094:014263.

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2017Derivados financieros. (2017). Pinzon, Diego Jara. In: MONOGRAFÍAS. RePEc:col:000509:015705.

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2016Priors for the Long Run. (2016). Primiceri, Giorgio ; Lenza, Michele ; Giannone, Domenico. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11261.

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2016On the use of high frequency measures of volatility in MIDAS regressions. (2016). Andreou, Elena . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11307.

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2016Point, interval and density forecasts of exchange rates with time-varying parameter models. (2016). Marcellino, Massimiliano ; Abbate, Angela. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11559.

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2016What is the Expected Return on a Stock?. (2016). Wagner, Christian ; Martin, Ian. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11608.

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2017Forecasting Market Risk of Portfolios: Copula-Markov Switching Multifractal Approach. (2017). Segnon, Mawuli ; Trede, Mark . In: CQE Working Papers. RePEc:cqe:wpaper:6617.

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2017Trends in distributional characteristics : Existence of global warming. (2017). Gonzalo, Jesus ; Gadea, Maria Dolores . In: UC3M Working papers. Economics. RePEc:cte:werepe:24121.

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2017Skewness Preference and IPO Anomalies in China. (2017). Tang, Wei ; Xu, Liheng ; Wu, Tianhao . In: Annals of Economics and Finance. RePEc:cuf:journl:y:2017:v:18:i:1:tang:wu:xu.

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2016GARCH DIFFUSION MODEL, iVIX, AND VOLATILITY RISK PREMIUM. (2016). Wu, Xin Yu ; Zhou, Hailin . In: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH. RePEc:cys:ecocyb:v:50:y:2016:i:1:p:327-342.

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2016BAYESIAN ESTIMATION OF THE PARAMETERS OF THE ARCH MODEL WITH NORMAL INNOVATIONS USING LINDLEY’S APPROXIMATION. (2016). Ari, Yakup ; Papadopoulos, Alexandros . In: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH. RePEc:cys:ecocyb:v:50:y:2016:i:4:p:217-234.

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2017Forecasting the distributions of hourly electricity spot prices. (2017). Pape, Christian ; Weber, Christoph ; Woll, Oliver ; Vogler, Arne . In: EWL Working Papers. RePEc:dui:wpaper:1705.

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2016Risk Measure Estimates in Quiet and Turbulent Times:An Empirical Study. (2016). Dacorogna, Michel ; Rosnan, Chotard ; Marie, Kratz ; Michel, Dacorogna . In: ESSEC Working Papers. RePEc:ebg:essewp:dr-16018.

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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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2017More than a feeling: confidence, uncertainty and macroeconomic fluctuations. (2017). Nowzohour, Laura ; Stracca, Livio . In: Working Paper Series. RePEc:ecb:ecbwps:20172100.

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2016Managing risk with a realized copula parameter. (2016). Fengler, Matthias ; Okhrin, Ostap . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:131-152.

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2016Asymmetry in tail dependence in equity portfolios. (2016). Jondeau, Eric. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:351-368.

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2016Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach. (2016). Palm, Franz ; Laurent, Sébastien ; Lecourt, Christelle . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:383-400.

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2016Linking Tukey’s legacy to financial risk measurement. (2016). Vijverberg, Wim ; Tapinar, Suleyman . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:595-615.

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2016Predicting the yield curve using forecast combinations. (2016). Santos, Andre ; Moura, Guilherme ; Caldeira, Joo F. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:79-98.

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2016Nonlinear expectile regression with application to Value-at-Risk and expected shortfall estimation. (2016). Kim, Minjo ; Lee, Sangyeol . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:94:y:2016:i:c:p:1-19.

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2016Multivariate models for dependent clusters of variables with conditional independence given aggregation variables. (2016). Joe, Harry ; Sang, Peijun . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:97:y:2016:i:c:p:114-132.

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2016A new approach to risk-return trade-off dynamics via decomposition. (2016). Liu, Xiaochun ; Frazier, David T. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:62:y:2016:i:c:p:43-55.

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2016An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching. (2016). He, Xin-Jiang ; Zhu, Song-Ping . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:71:y:2016:i:c:p:77-85.

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2016Forecasting stock volatility using after-hour information: Evidence from the Australian Stock Exchange. (2016). Jayawardena, Nirodha I ; Su, Jen-Je ; Li, Bin ; Todorova, Neda . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:592-608.

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2016Forecasting VaR and ES using dynamic conditional score models and skew Student distribution. (2016). Gao, Chun-Ting ; Zhou, Xiao-Hua . In: Economic Modelling. RePEc:eee:ecmode:v:53:y:2016:i:c:p:216-223.

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2016Do oil producing countries offer international diversification benefits? Evidence from GCC countries. (2016). Charfeddine, Lanouar ; Mimouni, Karim . In: Economic Modelling. RePEc:eee:ecmode:v:57:y:2016:i:c:p:263-280.

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2016Volatility risk premium implications of GARCH option pricing models. (2016). Papantonis, Ioannis . In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:104-115.

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2016International sign predictability of stock returns: The role of the United States. (2016). Pönkä, Harri ; Nyberg, Henri ; Ponka, Harri . In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:323-338.

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2016Solvency capital requirement for a temporal dependent losses in insurance. (2016). Belkacem, Lotfi ; de Peretti, Christian ; Araichi, Sawssen . In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:588-598.

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2016An improved framework for approximating option prices with application to option portfolio hedging. (2016). Mozumder, Sharif ; Choudhry, Taufiq ; Kabir, Humayun M ; Dempsey, Michael . In: Economic Modelling. RePEc:eee:ecmode:v:59:y:2016:i:c:p:285-296.

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2016Returns, correlations, and volatilities in equity markets: Evidence from six OECD countries during the US financial crisis. (2016). Kim, Hyun-Seok ; McDonald, Judith A ; Min, Hong-Ghi . In: Economic Modelling. RePEc:eee:ecmode:v:59:y:2016:i:c:p:9-22.

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2017How are Africas emerging stock markets related to advanced markets? Evidence from copulas. (2017). ALAGIDEDE, PAUL ; Mensah, Jones Odei . In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:1-10.

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2017Can energy commodity futures add to the value of carbon assets?. (2017). Roubaud, David ; Bouri, Elie ; Wen, Xiaoqian . In: Economic Modelling. RePEc:eee:ecmode:v:62:y:2017:i:c:p:194-206.

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2017Contagion effects of U.S. Dollar and Chinese Yuan in forward and spot foreign exchange markets. (2017). Kilic, Erdem. In: Economic Modelling. RePEc:eee:ecmode:v:62:y:2017:i:c:p:51-67.

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2017Modelling the implied volatility surface based on Shanghai 50ETF options. (2017). Wang, Jinzhong ; Zhang, Ting ; Tao, Qizhi ; Chen, Shijiang . In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:295-301.

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2017Can investors of Chinese energy stocks benefit from diversification into commodity futures?. (2017). Nguyen, Duc Khuong ; Wen, Xiaoqian . In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:184-200.

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2016Risk-neutral skewness and market returns: The role of institutional investor sentiment in the futures market. (2016). Lee, Hsiu-Chuan ; Liao, Tzu-Hsiang ; Chen, Chen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:35:y:2016:i:c:p:203-225.

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2017Testing and comparing the performance of dynamic variance and correlation models in value-at-risk estimation. (2017). Li, Leon. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:116-135.

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2017Robustness of binary choice models to conditional heteroscedasticity. (2017). Ginker, Tim ; Lieberman, Offer . In: Economics Letters. RePEc:eee:ecolet:v:150:y:2017:i:c:p:130-134.

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2017Bias, rationality and asymmetric loss functions. (2017). Bürgi, Constantin ; Bürgi, Constantin ; Bürgi, Constantin ; Burgi, Constantin . In: Economics Letters. RePEc:eee:ecolet:v:154:y:2017:i:c:p:113-116.

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2016A tale of two option markets: Pricing kernels and volatility risk. (2016). SONG, ZHAOGANG ; Xiu, Dacheng . In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:1:p:176-196.

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2016Exploiting the errors: A simple approach for improved volatility forecasting. (2016). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:1-18.

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2016The effects of asymmetric volatility and jumps on the pricing of VIX derivatives. (2016). Park, Yang-Ho . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:313-328.

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2016Gaussian mixture vector autoregression. (2016). Saikkonen, Pentti ; Meitz, Mika ; Kalliovirta, Leena . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:2:p:485-498.

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2016TENET: Tail-Event driven NETwork risk. (2016). Härdle, Wolfgang ; Yu, Lining ; Wang, Weining ; Hardle, Wolfgang Karl. In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:2:p:499-513.

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2016The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series. (2016). Whang, Yoon-Jae ; Oka, Tatsushi ; LINTON, OLIVER. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:251-270.

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2016A MIDAS approach to modeling first and second moment dynamics. (2016). Pettenuzzo, Davide ; Valkanov, Rossen ; Timmermann, Allan . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:315-334.

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2016High-dimensional copula-based distributions with mixed frequency data. (2016). Patton, Andrew ; Oh, Donghwan . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:349-366.

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2016On the use of high frequency measures of volatility in MIDAS regressions. (2016). Andreou, Elena . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:367-389.

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2016Modeling covariance breakdowns in multivariate GARCH. (2016). Maheu, John ; Jin, Xin . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:1:p:1-23.

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2017Real-time forecast evaluation of DSGE models with stochastic volatility. (2017). Shin, Minchul ; Diebold, Francis X ; Schorfheide, Frank. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:322-332.

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2017Binary time series models driven by a latent process. (2017). Fokianos, Konstantinos ; Moysiadis, Theodoros . In: Econometrics and Statistics. RePEc:eee:ecosta:v:2:y:2017:i:c:p:117-130.

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2016An explicitly solvable Heston model with stochastic interest rate. (2016). Sun, Y ; Recchioni, M C. In: European Journal of Operational Research. RePEc:eee:ejores:v:249:y:2016:i:1:p:359-377.

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2016An investigation of model risk in a market with jumps and stochastic volatility. (2016). Coqueret, Guillaume ; Tavin, Bertrand . In: European Journal of Operational Research. RePEc:eee:ejores:v:253:y:2016:i:3:p:648-658.

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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.
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paper5
2007Forward-Looking Betas In: CREATES Research Papers.
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2008Volatility Components, Affine Restrictions and Non-Normal Innovations In: CREATES Research Papers.
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2010Volatility Components, Affine Restrictions, and Nonnormal Innovations.(2010) In: Journal of Business & Economic Statistics.
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2008Option Valuation with Long-run and Short-run Volatility Components In: CREATES Research Papers.
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paper54
2004Option Valuation with Long-run and Short-run Volatility Components.(2004) In: CIRANO Working Papers.
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paper
2008Option valuation with long-run and short-run volatility components.(2008) In: Journal of Financial Economics.
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article
2009Option Valuation with Conditional Heteroskedasticity and Non-Normality In: CREATES Research Papers.
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paper44
2009Option Valuation with Conditional Heteroskedasticity and Non-Normality.(2009) In: CIRANO Working Papers.
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paper
2010Option Valuation with Conditional Heteroskedasticity and Nonnormality.(2010) In: Review of Financial Studies.
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article
2009The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well In: CREATES Research Papers.
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paper59
2009The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well.(2009) In: Management Science.
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2008Evaluating Value-at-Risk Models with Desk-Level Data In: CREATES Research Papers.
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2011Evaluating Value-at-Risk Models with Desk-Level Data.(2011) In: Management Science.
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2011Financial Risk Measurement for Financial Risk Management In: CREATES Research Papers.
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2013Financial Risk Measurement for Financial Risk Management.(2013) In: Handbook of the Economics of Finance.
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chapter
2012Financial Risk Measurement for Financial Risk Management.(2012) In: NBER Working Papers.
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2011Financial Risk Measurement for Financial Risk Management.(2011) In: PIER Working Paper Archive.
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2011Illiquidity Premia in the Equity Options Market In: CREATES Research Papers.
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paper2
2013Illiquidity Premia in the Equity Options Market.(2013) In: CREATES Research Papers.
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2011Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns? In: CREATES Research Papers.
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paper2
2011The Joint Dynamics of Equity Market Factors In: CREATES Research Papers.
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paper17
2013The Joint Dynamics of Equity Market Factors.(2013) In: Journal of Financial and Quantitative Analysis.
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article
2011Forecasting with Option Implied Information In: CREATES Research Papers.
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paper17
2013Forecasting with Option-Implied Information.(2013) In: Handbook of Economic Forecasting.
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2012Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach In: CREATES Research Papers.
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paper79
2012Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach.(2012) In: Review of Financial Studies.
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2012Nonlinear Kalman Filtering in Affine Term Structure Models In: CREATES Research Papers.
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2014Nonlinear Kalman Filtering in Affine Term Structure Models.(2014) In: Management Science.
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2014Nonlinear Kalman Filtering in Affine Term Structure Models.(2014) In: Cahiers de recherche.
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2012GARCH Option Valuation: Theory and Evidence In: CREATES Research Papers.
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2013Does Realized Skewness Predict the Cross-Section of Equity Returns? In: CREATES Research Papers.
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paper21
2015Does realized skewness predict the cross-section of equity returns?.(2015) In: Journal of Financial Economics.
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2013Rare Disasters and Credit Market Puzzles In: CREATES Research Papers.
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2013Dynamic Diversification in Corporate Credit In: CREATES Research Papers.
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2013The Factor Structure in Equity Options In: CREATES Research Papers.
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2013Correlation Dynamics and International Diversification Benefits In: CREATES Research Papers.
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paper10
2014Correlation dynamics and international diversification benefits.(2014) In: International Journal of Forecasting.
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2014Factor Structure in Commodity Futures Return and Volatility In: CREATES Research Papers.
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paper2
2014Equity Portfolio Management Using Option Price Information In: CREATES Research Papers.
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2014Oil Volatility Risk and Expected Stock Returns In: CREATES Research Papers.
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paper0
2014Option Valuation with Observable Volatility and Jump Dynamics In: CREATES Research Papers.
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paper2
2015Option Valuation with Observable Volatility and Jump Dynamics.(2015) In: Staff Working Papers.
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2015Option valuation with observable volatility and jump dynamics.(2015) In: Journal of Banking & Finance.
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2015Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk In: CREATES Research Papers.
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paper0
2014Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels In: CREATES Research Papers.
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paper1
2012The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation In: Staff Working Papers.
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paper20
2014The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation.(2014) In: Journal of Financial and Quantitative Analysis.
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2016Time-Varying Crash Risk: The Role of Stock Market Liquidity In: Staff Working Papers.
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1998Cointegration and Long-Horizon Forecasting. In: Journal of Business & Economic Statistics.
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1997Cointegration and long-horizon forecasting.(1997) In: Working Papers.
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1997Cointegration and Long-Horizon Forecasting.(1997) In: IMF Working Papers.
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1997Cointegration and Long-Horizon Forecasting.(1997) In: NBER Technical Working Papers.
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2000Interest-Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk. In: Journal of Business & Economic Statistics.
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1999Interest Rate Arbitrage in Currency Baskets; Forecasting Weights and Measuring Risk.(1999) In: IMF Working Papers.
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2000From Inflation to Growth In: The Economics of Transition.
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2001Is inflation targeting feasible in Poland? In: The Economics of Transition.
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2003Création de valeur, gestion de risque et options réelles In: CIRANO Burgundy Reports.
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2003Value creation, risk management, and real options In: CIRANO Burgundy Reports.
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2001Value Creation through Real Options Management In: CIRANO Project Reports.
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2001Testing and Comparing Value-at-Risk Measures In: CIRANO Working Papers.
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paper57
2001Testing and comparing Value-at-Risk measures.(2001) In: Journal of Empirical Finance.
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2001Lets Get Real about Using Economic Data In: CIRANO Working Papers.
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paper21
2000Lets Get Real About Using Economic Data.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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paper
2002Lets get real about using economic data.(2002) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 21
article
2001Lets Get Real about Using Economic Data..(2001) In: EPRU Working Paper Series.
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This paper has another version. Agregated cites: 21
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2001The Importance of the Loss Function in Option Pricing In: CIRANO Working Papers.
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paper8
2002Financial Asset Returns, Market Timing, and Volatility Dynamics In: CIRANO Working Papers.
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paper6
2002Which Volatility Model for Option Valuation? In: CIRANO Working Papers.
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paper3
2003Backtesting Value-at-Risk: A Duration-Based Approach In: CIRANO Working Papers.
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paper112
2004Backtesting Value-at-Risk: A Duration-Based Approach.(2004) In: Journal of Financial Econometrics.
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2003Company Flexibility, the Value of Management and Managerial Compensation In: CIRANO Working Papers.
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2003Size Matters: The Impact of Capital Market Liberalization on Individual Firms In: CIRANO Working Papers.
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2003Option Valuation with Conditional Skewness In: CIRANO Working Papers.
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paper70
2006Option valuation with conditional skewness.(2006) In: Journal of Econometrics.
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2003The Importance of the Loss Function in Option Valuation In: CIRANO Working Papers.
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paper56
2004The importance of the loss function in option valuation.(2004) In: Journal of Financial Economics.
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2004Estimation Risk in Financial Risk Management In: CIRANO Working Papers.
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2004The Informational Content of Over-the-Counter Currency Options In: CIRANO Working Papers.
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2004The informational content of over-the-counter currency options.(2004) In: Working Paper Series.
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2009Option-Implied Measures of Equity Risk In: CIRANO Working Papers.
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2011Option-Implied Measures of Equity Risk.(2011) In: Review of Finance.
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2009Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options In: CIRANO Working Papers.
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1997Optimal Prediction Under Asymmetric Loss In: Econometric Theory.
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article147
1997Optimal prediction under asymmetric loss.(1997) In: Working Papers.
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1994Optimal Prediction Under Asymmetric Loss.(1994) In: NBER Technical Working Papers.
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1997Optimal Prediction Under Asymmetric Loss.(1997) In: CARESS Working Papres.
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2006Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence In: Finance Working Papers.
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2006Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence.(2006) In: Finance Working Papers.
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2006Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence.(2006) In: PIER Working Paper Archive.
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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.
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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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article18
2013Market skewness risk and the cross section of stock returns In: Journal of Financial Economics.
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article46
2006Size matters: The impact of financial liberalization on individual firms In: Journal of International Money and Finance.
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article8
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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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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2000Do Asset Prices in Transition Countries Contain Information About Future Economic Activity? In: IMF Working Papers.
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1998From Inflation to Growth; Eight Years of Transition In: IMF Working Papers.
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1999Is Poland Ready for Inflation Targeting? In: IMF Working Papers.
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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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2003Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics.(2003) In: PIER Working Paper Archive.
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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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2005Volatility forecasting.(2005) In: CFS Working Paper Series.
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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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