Peter F. Christoffersen : Citation Profile

Deceased: 2018-06-22

26

H index

41

i10 index

2933

Citations

RESEARCH PRODUCTION:

39

Articles

86

Papers

2

Books

4

Chapters

RESEARCH ACTIVITY:

   24 years (1994 - 2018). See details.
   Cites by year: 122
   Journals where Peter F. Christoffersen has often published
   Relations with other researchers
   Recent citing documents: 386.    Total self citations: 55 (1.84 %)

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   Permalink: http://citec.repec.org/pch343
   Updated: 2019-02-13    RAS profile:    
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Relations with other researchers

Works with:

Feunou, Bruno (5)

Jin, Xisong (2)

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

Is cited by:

Stentoft, Lars (56)

Diebold, Francis (54)

McAleer, Michael (52)

Swanson, Norman (47)

Degiannakis, Stavros (41)

Andersen, Torben (35)

Patton, Andrew (27)

Bollerslev, Tim (27)

Clements, Michael (27)

Gaglianone, Wagner (26)

Rombouts, Jeroen (26)

Cites to:

Bollerslev, Tim (106)

Engle, Robert (93)

Diebold, Francis (80)

Andersen, Torben (62)

Chen, Zhiwu (50)

Cao, Charles (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
Review of Financial Studies6
Journal of Financial Economics5
Management Science5
Journal of Business & Economic Statistics3
Journal of Banking & Finance2
Journal of Financial Econometrics2
Journal of Empirical Finance2
The Economics of Transition2
Journal of Financial and Quantitative Analysis2

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
EPRU Working Paper Series / Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics2
Working Papers / Federal Reserve Bank of Philadelphia2

Recent works citing Peter F. Christoffersen (2018 and 2017)

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

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

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

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

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

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

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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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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). von Mettenheim, Hans-Jörg ; Lessmann, Stefan ; Dress, Korbinian . 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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2018Spectral backtests of forecast distributions with application to risk management. (2018). Gordy, Michael ; McNeil, Alexander J ; Lok, Hsiao Yen . In: Papers. RePEc:arx:papers:1708.01489.

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

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

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

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2017A nonparametric copula approach to conditional Value-at-Risk. (2017). Geenens, Gery ; Dunn, Richard . In: Papers. RePEc:arx:papers:1712.05527.

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

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

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

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

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

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

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

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

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2018Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals. (2018). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1811.10045.

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

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

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

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2017Variance Premium, Downside Risk and Expected Stock Returns. (2017). Feunou, Bruno ; Tedongap, Romeo ; Aliouchkin, Ricardo Lopez. In: Staff Working Papers. RePEc:bca:bocawp:17-58.

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

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

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

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2017State-preference pricing and volatility indices. (2017). Liu, Zhangxin ; Smith, Tom ; O'Neill, Michael J. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:3:p:815-836.

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

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

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

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

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2017Where Will the ‘Silver Money’ Go?. (2017). Park, Na Young. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:3:p:459-474.

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

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

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

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2017Quantile Aggregation of Density Forecasts. (2017). Busetti, Fabio. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:4:p:495-512.

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

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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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2017The information content in the offshore Renminbi foreign-exchange option market : Analytics and implied USD/CNH densities. (2017). Funke, Michael ; Tsang, Andrew ; Loermann, Julius . In: BOFIT Discussion Papers. RePEc:bof:bofitp:2017_015.

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2017The real effects of overconfidence and fundamental uncertainty shocks. (2017). Ambrocio, Gene. In: Research Discussion Papers. RePEc:bof:bofrdp:037.

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2017The real effects of overconfidence and fundamental uncertainty shocks. (2017). Ambrocio, Gene. In: Research Discussion Papers. RePEc:bof:bofrdp:2017_037.

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

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

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2017Does Business Confidence Matter for Investment?. (2017). Khan, Hashmat ; Upadhayaya, Santosh. In: Carleton Economic Papers. RePEc:car:carecp:17-13.

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2017Implicit probability distribution for WTI options: The Black Scholes vs. the semi-nonparametric approach. (2017). Perote, Javier ; Mora-Valencia, Andrés ; Cortés, Lina ; Cortes, Lina M. In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:015923.

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

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2017Evaluating the Accuracy of Time-varying Beta. The Evidence from Poland. (2017). Będowska-Sójka, Barbara ; Bedowska-Sojka, Barbara . In: Dynamic Econometric Models. RePEc:cpn:umkdem:v:17:y:2017:p:161-176.

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2017Comparison of certain dynamic estimation methods of Value at Risk on Polish gas market. (2017). Ganczarek-Gamrot, Alicja ; Stawicki, Jozef . In: Dynamic Econometric Models. RePEc:cpn:umkdem:v:17:y:2017:p:81-96.

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

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

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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, María. 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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2017Empirical Pricing Kernels: Evidence from the Hong Kong Stock Market. (2017). Wu, Xin Yu ; Zhou, Hailin ; Ren, Senchun. In: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH. RePEc:cys:ecocyb:v:50:y:2017:i:4:p:263-278.

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

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

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

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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). Stracca, Livio ; Nowzohour, Laura . In: Working Paper Series. RePEc:ecb:ecbwps:20172100.

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

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

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

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

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

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

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

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

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2019Cojumps and asset allocation in international equity markets. (2019). Arouri, Mohamed ; Pukthuanthong, Kuntara ; Nguyen, Duc Khuong ; Msaddek, Oussama. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:98:y:2019:i:c:p:1-22.

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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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2017Calculating Value-at-Risk for high-dimensional time series using a nonlinear random mapping model. (2017). Zhang, Heng-Guo ; Su, Fei ; Xiao, Ran ; Qiu, Shuqi ; Song, Yan. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:355-367.

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2018How efficient are Chinas macroeconomic forecasts? Evidences from a new forecasting evaluation approach. (2018). Sun, Yuying ; Zhang, Xun ; Wang, Shouyang. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:506-513.

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2018A mixed data sampling copula model for the return-liquidity dependence in stock index futures markets. (2018). Gong, Yuting ; Liang, Jufang ; Chen, Qiang. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:586-598.

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2018Testing the optimality of inflation forecasts under flexible loss with random forests. (2018). Pierdzioch, Christian ; Behrens, Christoph ; Risse, Marian. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:270-277.

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2018Financial integration in Africa: New evidence using network approach. (2018). Inekwe, John ; Bhattacharya, Mita ; Valenzuela, Maria Rebecca. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:379-390.

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2018Oil price shocks and uncertainty: How stable is their relationship over time?. (2018). Filis, George ; Degiannakis, Stavros ; Panagiotakopoulou, Sofia. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:42-53.

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2019Modeling and forecasting return jumps using realized variation measures. (2019). Liu, YI ; Zhang, Lei. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:63-80.

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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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2017Moments expansion densities for quantifying financial risk. (2017). Perote, Javier ; Iguez, Trino-Manuel . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:53-69.

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2018European quanto option pricing in presence of liquidity risk. (2018). Li, Zhe ; Liu, Yong-Jun ; Zhang, Wei-Guo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:45:y:2018:i:c:p:230-244.

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2018Mutual excitation between OECD stock and oil markets: A conditional intensity extreme value approach. (2018). Clements, Adam ; Herrera, Rodrigo ; Gonzalez, Sergio. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:70-88.

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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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2018A new tight and general bound on return predictability. (2018). Potì, Valerio ; Poti, Valerio. In: Economics Letters. RePEc:eee:ecolet:v:162:y:2018:i:c:p:140-145.

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

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2018Asymptotic inference about predictive accuracy using high frequency data. (2018). Li, Jia ; Patton, Andrew J. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:223-240.

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2018Testing for self-excitation in jumps. (2018). Boswijk, H. Peter ; Yang, Xiye. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:256-266.

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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.
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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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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.
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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.
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2014Nonlinear Kalman Filtering in Affine Term Structure Models.(2014) In: Management Science.
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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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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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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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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: 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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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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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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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.(1997) In: 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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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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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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2005The Accuracy of Density Forecasts from Foreign Exchange Options In: Journal of Financial Econometrics.
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