Peter F. Christoffersen : Citation Profile

Deceased: 2018-06-22

32

H index

48

i10 index

4664

Citations

RESEARCH PRODUCTION:

42

Articles

90

Papers

2

Books

4

Chapters

RESEARCH ACTIVITY:

   24 years (1994 - 2018). See details.
   Cites by year: 194
   Journals where Peter F. Christoffersen has often published
   Relations with other researchers
   Recent citing documents: 429.    Total self citations: 55 (1.17 %)

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   Permalink: http://citec.repec.org/pch343
   Updated: 2022-08-06    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 (76)

Diebold, Francis (68)

Degiannakis, Stavros (61)

Swanson, Norman (50)

Patton, Andrew (47)

McAleer, Michael (47)

Bollerslev, Tim (42)

Andersen, Torben (36)

GUPTA, RANGAN (35)

Rombouts, Jeroen (35)

Fengler, Matthias (29)

Cites to:

Bollerslev, Tim (127)

Engle, Robert (109)

Diebold, Francis (91)

Andersen, Torben (70)

Cao, Charles (54)

Chen, Zhiwu (53)

Chernov, Mikhail (43)

Wu, Liuren (38)

Harvey, Campbell (36)

Shephard, Neil (33)

Carr, Peter (31)

Main data

Where Peter F. Christoffersen has published?

Journals with more than one article published# docs
Review of Financial Studies7
Management Science6
Journal of Financial Economics5
Journal of Financial and Quantitative Analysis4
Journal of Business & Economic Statistics3
Journal of Empirical Finance2
Journal of Banking & Finance2
Journal of Financial Econometrics2

Working Papers Series with more than one paper published# docs
IMF Working Papers / International Monetary Fund5
NBER Working Papers / National Bureau of Economic Research, Inc5
Working Papers / University of Pennsylvania, Wharton School, Weiss Center4
Staff Working Papers / Bank of Canada3
CFS Working Paper Series / Center for Financial Studies (CFS)3
Working Papers / Federal Reserve Bank of Philadelphia2
Finance Working Papers / East Asian Bureau of Economic Research2
EPRU Working Paper Series / Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics2

Recent works citing Peter F. Christoffersen (2022 and 2021)

YearTitle of citing document
2021Economic vulnerability is state dependent. (2021). Vallarino, Pierluigi ; Luati, Alessandra ; Catania, Leopoldo. In: CREATES Research Papers. RePEc:aah:create:2021-09.

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2021The incremental information in the yield curve about future interest rate risk. (2021). Veliyev, Bezirgen ; Kjar, Mads Markvart ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2021-11.

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2021Long and short memory in dynamic term structure models. (2021). Huseynov, Salman. In: CREATES Research Papers. RePEc:aah:create:2021-15.

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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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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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2021Testing 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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2021Decomposition 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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2022Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204.

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2022A 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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2021Macroeconomic 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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2021On the Origin(s) of the Term Big Data. (2020). Diebold, Francis. In: Papers. RePEc:arx:papers:2008.05835.

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2021Price, Volatility and the Second-Order Economic Theory. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2009.14278.

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2021Tail-risk protection: Machine Learning meets modern Econometrics. (2020). Hardle, Wolfgang Karl ; Spilak, Bruno. In: Papers. RePEc:arx:papers:2010.03315.

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

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2021To VaR, or Not to VaR, That is the Question. (2021). Olkhov, Victor. In: Papers. RePEc:arx:papers:2101.08559.

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2021Deep Structural Estimation: With an Application to Option Pricing. (2021). Scheidegger, Simon ; Didisheim, Antoine ; Chen, Hui. In: Papers. RePEc:arx:papers:2102.09209.

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2022Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783.

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2022Overnight GARCH-It\^o Volatility Models. (2021). Wang, Yazhen ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.13467.

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2021Frequency-Dependent Higher Moment Risks. (2021). Baruník, Jozef ; Kurka, Josef. In: Papers. RePEc:arx:papers:2104.04264.

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2021GARCH-UGH: A bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series. (2021). STUPFLER, Gilles ; Kawasaki, Yoshinori ; Kaibuchi, Hibiki. In: Papers. RePEc:arx:papers:2104.09879.

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2021A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208.

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2021Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation. (2021). Raponi, Valentina ; Petrella, Lea ; Merlo, Luca. In: Papers. RePEc:arx:papers:2106.06518.

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2021A Numerical Approach to Pricing Exchange Options under Stochastic Volatility and Jump-Diffusion Dynamics. (2021). , Gerald ; Dominic, Len Patrick. In: Papers. RePEc:arx:papers:2106.07362.

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2021Diversified reward-risk parity in portfolio construction. (2021). Kim, Young Shin ; Choi, Jae Hyung. In: Papers. RePEc:arx:papers:2106.09055.

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2021Time-adaptive high-order compact finite difference schemes for option pricing in a family of stochastic volatility models. (2021). Heuer, Christof ; During, Bertram. In: Papers. RePEc:arx:papers:2107.09094.

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2021Deep equal risk pricing of financial derivatives with non-translation invariant risk measures. (2021). Fr'ed'eric Godin, ; Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2107.11340.

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2021Closed-form portfolio optimization under GARCH models. (2021). Zagst, Rudi ; Gollart, Maximilian ; Escobar-Anel, Marcos. In: Papers. RePEc:arx:papers:2109.00433.

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2021Forecasting High-Dimensional Covariance Matrices of Asset Returns with Hybrid GARCH-LSTMs. (2021). Boulet, Lucien. In: Papers. RePEc:arx:papers:2109.01044.

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2021Autoregressive conditional duration modelling of high frequency data. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02300.

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2021Multiplicative Component GARCH Model of Intraday Volatility. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02376.

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2021Pricing S&P 500 Index Options with L\evy Jumps. (2021). Liang, Nan ; Xie, Bin. In: Papers. RePEc:arx:papers:2111.10033.

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2022CBI-time-changed L\evy processes for multi-currency modeling. (2021). Szulda, Guillaume ; Gnoatto, Alessandro ; Fontana, Claudio. In: Papers. RePEc:arx:papers:2112.02440.

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2021Realized GARCH, CBOE VIX, and the Volatility Risk Premium. (2021). Huang, Zhuo ; Wang, Tianyi ; Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2112.05302.

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2022Option Pricing with State-dependent Pricing Kernel. (2021). Huang, Zhuo ; Hansen, Peter Reinhard ; Tong, Chen. In: Papers. RePEc:arx:papers:2112.05308.

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2021Multivariate Realized Volatility Forecasting with Graph Neural Network. (2021). Robert, Christian-Yann ; Chen, Qinkai. In: Papers. RePEc:arx:papers:2112.09015.

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2021Spread Option Pricing in a Copula Affine GARCH(p,q) Model. (2021). Mercuri, Lorenzo ; Berton, Edoardo. In: Papers. RePEc:arx:papers:2112.11968.

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2022Multinomial Backtesting of Distortion Risk Measures. (2022). Kim, Sojung ; Bettels, Soren ; Weber, Stefan. In: Papers. RePEc:arx:papers:2201.06319.

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2022Forecasting the distribution of long-horizon returns with time-varying volatility. (2022). Ho, Hwai-Chung. In: Papers. RePEc:arx:papers:2201.07457.

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2022Dynamic Risk Measurement by EVT based on Stochastic Volatility models via MCMC. (2022). , Shibo ; Bo, Shi. In: Papers. RePEc:arx:papers:2201.09434.

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2022Estimating risks of option books using neural-SDE market models. (2022). Cohen, Samuel N ; Wang, Sheng ; Reisinger, Christoph. In: Papers. RePEc:arx:papers:2202.07148.

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2022Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962.

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2022Introduction of the Market-Based Price Autocorrelation. (2022). Olkhov, Victor. In: Papers. RePEc:arx:papers:2202.09323.

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2022Sparse multivariate modeling for stock returns predictability. (2022). Bernardi, Mauro ; Bianco, Nicolas ; Bianchi, Daniele. In: Papers. RePEc:arx:papers:2202.12644.

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2022Predicting Value at Risk for Cryptocurrencies Using Generalized Random Forests. (2022). Gorgen, Konstantin ; Schienle, Melanie ; Meirer, Jonas. In: Papers. RePEc:arx:papers:2203.08224.

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2022Variational Heteroscedastic Volatility Model. (2022). Barucca, Paolo ; Yin, Zexuan. In: Papers. RePEc:arx:papers:2204.05806.

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2022Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943.

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2022Price and Payoff Autocorrelations in the Consumption-Based Asset Pricing Model. (2022). Olkhov, Victor. In: Papers. RePEc:arx:papers:2204.07506.

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2022Forecasting Electricity Prices. (2022). Weron, Rafał ; Uniejewski, Bartosz ; Maciejowska, Katarzyna. In: Papers. RePEc:arx:papers:2204.11735.

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2022Volatility Sensitive Bayesian Estimation of Portfolio VaR and CVaR. (2022). Thors, Erik ; Niklasson, Vilhelm ; Bodnar, Taras. In: Papers. RePEc:arx:papers:2205.01444.

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2022Topological Data Analysis Ball Mapper for Finance. (2022). Rudkin, Simon ; Qiu, Wanling ; Dlotko, Pawel. In: Papers. RePEc:arx:papers:2206.03622.

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2022Stochastic arbitrage with market index options. (2022). Seo, Juwon ; Beare, Brendan K. In: Papers. RePEc:arx:papers:2207.00949.

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2022Asia-Pacific Islamic Stocks and Gold - A Markov-switching Copula Estimation. (2022). Nugroho, Bayu Adi. In: Asian Economics Letters. RePEc:ayb:jrnael:62.

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2021Impacts of the Monetary Policy Committee Decisions on the Foreign Exchange Rate in Brazil. (2021). Gaglianone, Wagner ; Moura, Jaqueline Terra ; Machado, Jose Valentim. In: Working Papers Series. RePEc:bcb:wpaper:552.

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2021Volatility Bursts: A discrete-time option model with multiple volatility components. (2021). Lilla, Francesca. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1336_21.

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2022Financial Conditions and Macroeconomic Downside Risks in the Euro Area. (2022). Lhuissier, Stéphane. In: Working papers. RePEc:bfr:banfra:863.

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2021Firm-specific risk-neutral distributions with options and CDS. (2021). Jahan-Parvar, Mohammad ; Aramonte, Sirio ; Schindler, John W ; Rosen, Samuel. In: BIS Working Papers. RePEc:bis:biswps:921.

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2022Comparison of Models for Growth-at-Risk Forecasting. (2022). Kipriyanov, Aleksei. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:81:y:2022:i:1:p:23-45.

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2021Pairs trading and idiosyncratic cash flow risk. (2021). Faff, Robert ; Do, Binh. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:2:p:3171-3206.

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2021Implied volatility smirk in the Australian dollar market. (2021). Ruan, Xinfeng ; Zhang, Jin E ; Gehricke, Sebastian A. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:3:p:4573-4599.

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2022An empirical investigation of the quality of value?at?risk disclosure in Australia. (2022). Smith, Daniel R ; Campbell, Angus. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:1:p:469-491.

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2022Tail risk in the fossil fuel industry: an option implied analysis around the unburnable carbon news. (2022). Neudorfer, Pablo. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:1:p:493-511.

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2022Stock return predictability: Evaluation based on interval forecasts. (2022). Kim, Jae H ; Darne, Olivier ; Charles, Amelie. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:363-385.

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2022A component Markov regime?switching autoregressive conditional range model. (2022). Mazibas, Murat. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:650-683.

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2021Relevance of the disposition effect on the options market: New evidence. (2021). Chou, Robin K ; Chiu, Hsinyu ; Chiang, Mihsiu. In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:1:p:75-106.

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2021Expectations and financial markets: Lessons from Brexit. (2021). Hibbert, Ann Marie ; Gu, Chen. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:2:p:279-299.

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2021The role of asymmetry and dynamics in carry trade and general financial markets. (2021). Wu, ChihChiang ; Huang, Meichi. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:2:p:331-353.

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2021The impact of trading behavioral biases on market liquidity under different volatility levels: Evidence from the Chinese commodity futures market. (2021). Zheng, Kaixin ; Tse, Yiuman ; Liu, Qingfu. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:4:p:671-692.

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2022Option trading and returns versus the 52?week high and low. (2022). Wei, Jason ; Choy, Siu Kai. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:3:p:691-726.

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2021The predictive power of macroeconomic uncertainty for commodity futures volatility. (2021). Huang, Zhuo ; Tong, Chen ; Liang, Fang. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:3:p:989-1012.

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2021An Extensive Comparison of Some Well?Established Value at Risk Methods. (2021). Lettieri, Davi ; Ferioli, Eduardo ; Calmon, Wilson ; Pizzinga, Adrian ; Soares, Johann. In: International Statistical Review. RePEc:bla:istatr:v:89:y:2021:i:1:p:148-166.

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2021When it rains, it pours: Multifactor asset management in good and bad times. (2021). Szafarz, Ariane ; Briere, Marie. In: Journal of Financial Research. RePEc:bla:jfnres:v:44:y:2021:i:3:p:641-669.

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2021Optimal investment, derivative demand, and arbitrage under price impact. (2021). Spiliopoulos, Konstantinos ; Robertson, Scott ; Anthropelos, Michail. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:1:p:3-35.

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2021Fast & furious: Do psychological and legal factors affect commodity price volatility?. (2021). Algieri, Bernardina. In: The World Economy. RePEc:bla:worlde:v:44:y:2021:i:4:p:980-1017.

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2022The hedge asset for BRICS stock markets: Bitcoin, gold or VIX. (2022). Roubaud, David ; Ur, Mobeen ; Bouri, Elie ; Hussain, Syed Jawad. In: The World Economy. RePEc:bla:worlde:v:45:y:2022:i:1:p:292-316.

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2021What model for the target rate. (2021). Feunou, Bruno ; Bruno, Feunou ; Jianjian, Jin ; Jean-Sebastien, Fontaine. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:1:p:23:n:1.

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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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2021Conditional Heteroskedasticity in the Volatility of Asset Returns. (2021). Ding, Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2179.

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2021.

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

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2021Chi-squared tests of interval and density forecasts and the Bank of Englands fan charts. (2001). Wallis, Kenneth. In: Working Paper Series. RePEc:ecb:ecbwps:20010083.

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2022On the Effectiveness of Stock Index Futures for Tail Risk Protection. (2022). Zouari, Hammadi. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2022-03-5.

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2021Assessing the performance of deep learning models for multivariate probabilistic energy forecasting. (2021). Honkapuro, Samuli ; Kaarna, Arto ; Lensu, Lasse ; Kuronen, Toni ; Mashlakov, Aleksei. In: Applied Energy. RePEc:eee:appene:v:285:y:2021:i:c:s0306261920317748.

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2021An intraday-return-based Value-at-Risk model driven by dynamic conditional score with censored generalized Pareto distribution. (2021). Li, Handong ; Tian, Fei ; Song, Shijia. In: Journal of Asian Economics. RePEc:eee:asieco:v:74:y:2021:i:c:s1049007821000439.

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2021Higher moment connectedness in cryptocurrency market. (2021). Yarovaya, Larisa ; Arif, Muhammad ; Naeem, Muhammad Abubakr ; Hasan, Mudassar. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:32:y:2021:i:c:s2214635021001064.

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2021Window effect with Markov-switching GARCH model in cryptocurrency market. (2021). Wu, Chuanzhen. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:146:y:2021:i:c:s0960077921002563.

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2021The closed-form option pricing formulas under the sub-fractional Poisson volatility models. (2021). Yang, Zijian ; Wang, Xiaotian ; Cao, Piyao. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:148:y:2021:i:c:s0960077921003660.

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2021Pricing discretely monitored barrier options: When Malliavin calculus expansions meet Hilbert transforms. (2021). Shi, Chao ; Li, Chenxu ; Cai, Ning. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:127:y:2021:i:c:s0165188921000488.

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2021A dynamic econometric analysis of the dollar-pound exchange rate in an era of structural breaks and policy regime shifts. (2021). Kurita, Takamitsu ; Castle, Jennifer L. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:128:y:2021:i:c:s0165188921000749.

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2021Option-implied skewness: Insights from ITM-options. (2021). Schneider, Judith C ; Mohrschladt, Hannes. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:131:y:2021:i:c:s0165188921001627.

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2021Multi-agent-based VaR forecasting. (2021). Poddig, Thorsten ; Fieberg, Christian ; Tubbenhauer, Tobias. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:131:y:2021:i:c:s0165188921001664.

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2022Media-expressed tone, option characteristics, and stock return predictability. (2022). Fengler, Matthias ; Liu, Yanchu ; Hardle, Wolfgang Karl ; Chen, Cathy Yi-Hsuan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:134:y:2022:i:c:s0165188921002256.

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2022Time to build and bond risk premia. (2022). Li, Kai ; Huang, Fuzhe ; Guo, Bin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:136:y:2022:i:c:s0165188921000154.

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2021Modeling the frequency dynamics of spillovers and connectedness between crude oil and MENA stock markets with portfolio implications. (2021). Kang, Sang Hoon ; Vo, Xuan Vinh ; Al-Yahyaee, Khamis Hamed ; Mensi, Walid. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:71:y:2021:i:c:p:397-419.

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2022Evaluating the European Central Bank’s uncertainty forecasts. (2022). Tsuchiya, Yoichi. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:73:y:2022:i:c:p:321-330.

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2021Realized skewness and the short-term predictability for aggregate stock market volatility. (2021). Wang, Yudong ; Zhang, Yaojie ; He, Mengxi. In: Economic Modelling. RePEc:eee:ecmode:v:103:y:2021:i:c:s0264999321002030.

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2022Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators. (2022). Storti, Giuseppe ; Gerlach, Richard ; Naimoli, Antonio. In: Economic Modelling. RePEc:eee:ecmode:v:107:y:2022:i:c:s026499932100290x.

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2022Does hospitality industry stock volatility react asymmetrically to health and economic crises?. (2022). Pal, Debdatta. In: Economic Modelling. RePEc:eee:ecmode:v:108:y:2022:i:c:s026499932100328x.

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2022Do green bonds de-risk investment in low-carbon stocks?. (2022). Reboredo, Juan ; Ojea-Ferreiro, Javier ; Ugolini, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:108:y:2022:i:c:s0264999322000116.

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2022Do realized higher moments have information content? - VaR forecasting based on the realized GARCH-RSRK model. (2022). Yan, Hong ; Huang, Zhuo ; Liang, Fang ; Wang, Tianyi. In: Economic Modelling. RePEc:eee:ecmode:v:109:y:2022:i:c:s026499932200027x.

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2021Correlation regimes in international equity and bond returns. (2021). Martinez, Oscar ; Aslanidis, Nektarios. In: Economic Modelling. RePEc:eee:ecmode:v:97:y:2021:i:c:p:397-410.

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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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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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2004Option Valuation with Long-run and Short-run Volatility Components.(2004) In: CIRANO Working Papers.
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2008Option valuation with long-run and short-run volatility components.(2008) In: Journal of Financial Economics.
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2009Option Valuation with Conditional Heteroskedasticity and Non-Normality In: CREATES Research Papers.
[Full Text][Citation analysis]		paper68
2009Option Valuation with Conditional Heteroskedasticity and Non-Normality.(2009) In: CIRANO Working Papers.
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2010Option Valuation with Conditional Heteroskedasticity and Nonnormality.(2010) In: Review of Financial Studies.
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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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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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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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2013Illiquidity Premia in the Equity Options Market.(2013) In: CREATES Research Papers.
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2018Illiquidity Premia in the Equity Options Market.(2018) In: Review of Financial Studies.
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2011Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns? In: CREATES Research Papers.
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2011The Joint Dynamics of Equity Market Factors In: CREATES Research Papers.
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2013The Joint Dynamics of Equity Market Factors.(2013) In: Journal of Financial and Quantitative Analysis.
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2011Forecasting with Option Implied Information In: CREATES Research Papers.
[Full Text][Citation analysis]		paper39
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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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.
[Full Text][Citation analysis]		paper27
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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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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2018The Factor Structure in Equity Options.(2018) In: Review of Financial Studies.
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2013Correlation Dynamics and International Diversification Benefits In: CREATES Research Papers.
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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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2019Factor Structure in Commodity Futures Return and Volatility.(2019) In: Journal of Financial and Quantitative Analysis.
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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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2018Oil volatility risk and expected stock returns.(2018) In: Journal of Banking & Finance.
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2014Option Valuation with Observable Volatility and Jump Dynamics In: CREATES Research Papers.
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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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2021Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk.(2021) In: Journal of Financial and Quantitative Analysis.
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2014Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels In: CREATES Research Papers.
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2012The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation In: Staff Working Papers.
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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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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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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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2000Lets Get Real About Using Economic Data.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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2002Lets get real about using economic data.(2002) In: Journal of Empirical Finance.
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2001Lets Get Real about Using Economic Data..(2001) In: EPRU Working Paper Series.
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2001The Importance of the Loss Function in Option Pricing In: CIRANO Working Papers.
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2002Financial Asset Returns, Market Timing, and Volatility Dynamics In: CIRANO Working Papers.
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2002Which Volatility Model for Option Valuation? In: CIRANO Working Papers.
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2003Backtesting Value-at-Risk: A Duration-Based Approach In: CIRANO Working Papers.
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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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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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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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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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2010Option Anomalies and the Pricing Kernel In: Working Papers.
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2010Market Skewness Risk and the Cross-Section of Stock Returns In: Working Papers.
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2013Market skewness risk and the cross section of stock returns.(2013) In: Journal of Financial Economics.
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2010Time-Varying Jump Intensities and Fat Tail Dynamics: Evidence from S&P500 Returns and Options In: Working Papers.
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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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2006Size matters: The impact of financial liberalization on individual firms In: Journal of International Money and Finance.
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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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1999Is Poland Ready for Inflation Targeting? In: IMF Working Papers.
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2000Do Asset Prices in Transition Countries Contain Information About Future Economic Activity? 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.(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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2020Beta Risk in the Cross-Section of Equities 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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