Peter F. Christoffersen : Citation Profile

Are you Peter F. Christoffersen?

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

24

H index

41

i10 index

2643

Citations

RESEARCH PRODUCTION:

36

Articles

86

Papers

2

Books

4

Chapters

RESEARCH ACTIVITY:

   22 years (1994 - 2016). See details.
   Cites by year: 120
   Journals where Peter F. Christoffersen has often published
   Relations with other researchers
   Recent citing documents: 224.    Total self citations: 54 (2 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pch343
   Updated: 2018-06-16    RAS profile: 2018-05-05    
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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 (39)

Andersen, Torben (31)

Bollerslev, Tim (27)

Patton, Andrew (26)

Gaglianone, Wagner (26)

Rombouts, Jeroen (26)

Clements, Michael (25)

Cites to:

Bollerslev, Tim (106)

Engle, Robert (93)

Diebold, Francis (80)

Andersen, Torben (60)

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
Management Science5
Journal of Financial Economics5
Review of Financial Studies4
Journal of Business & Economic Statistics3
The Economics of Transition2
Journal of Empirical Finance2
Journal of Financial and Quantitative Analysis2
Journal of Financial Econometrics2

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
EPRU Working Paper Series / Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics2
Finance Working Papers / East Asian Bureau of Economic Research2
Working Papers / Federal Reserve Bank of Philadelphia2

Recent works citing Peter F. Christoffersen (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 G ; 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 G ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-08.

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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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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 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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2017A simple model for forecasting conditional return distributions. (2017). 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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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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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 ; Mi, Zhifu ; Tang, Bao-Jun ; 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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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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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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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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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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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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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 ; Giannone, Domenico ; Lenza, Michele. In: Working Paper Series. RePEc:ecb:ecbwps:20182132.

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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). Faria, Adriano ; Almeida, Caio . 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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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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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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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, Peter H ; Yang, Xiye. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:256-266.

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2018Resolution of policy uncertainty and sudden declines in volatility. (2018). Amengual, Dante ; Xiu, Dacheng. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:297-315.

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2018Testing for jumps and jump intensity path dependence. (2018). Corradi, Valentina ; Swanson, Norman R ; Silvapulle, Mervyn J. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:248-267.

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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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2017On the risk prediction and analysis of soft information in finance reports. (2017). Tsai, Ming-Feng ; Wang, Chuan-Ju. In: European Journal of Operational Research. RePEc:eee:ejores:v:257:y:2017:i:1:p:243-250.

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2017Using parametric classification trees for model selection with applications to financial risk management. (2017). Adcock, C J ; Meade, N. In: European Journal of Operational Research. RePEc:eee:ejores:v:259:y:2017:i:2:p:746-765.

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2017A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps. (2017). Cui, Zhenyu ; Nguyen, Duy ; Kirkby, Lars J. In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:1:p:381-400.

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2017From bond yield to macroeconomic instability: A parsimonious affine model. (2017). Recchioni, Maria Cristina ; Tedeschi, Gabriele . In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:3:p:1116-1135.

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2017Full and fast calibration of the Heston stochastic volatility model. (2017). Cui, Yiran ; Germano, Guido ; del Bao, Sebastian . In: European Journal of Operational Research. RePEc:eee:ejores:v:263:y:2017:i:2:p:625-638.

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2017Spillovers from the United States to Latin American and G7 stock markets: A VAR quantile analysis. (2017). Uribe, Jorge ; Chuliá, Helena ; Guillen, Montserrat ; Chulia, Helena. In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:32-46.

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2017The kidnapping of Europe: High-order moments transmission between developed and emerging markets. (2017). Perote, Javier ; Mora-Valencia, Andrés ; del Brio, Esther B. In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:96-115.

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2017Relation between higher order comoments and dependence structure of equity portfolio. (2017). cerrato, mario ; Zhao, Yang ; Kim, Minjoo ; Crosby, John. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:101-120.

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2017Displaced relative changes in historical simulation: Application to risk measures of interest rates with phases of negative rates. (2017). Fries, Christian P ; Seeger, Norman ; Nigbur, Tobias . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:175-198.

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2017Does oil and gold price uncertainty matter for the stock market?. (2017). Bams, Dennis ; Lehnert, Thorsten ; Honarvar, Iman ; Blanchard, Gildas. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:270-285.

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2017Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model. (2017). Pino Saldías, Gabriel ; Herrera, Rodrigo ; Rodriguez, Alejandro. In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:129-143.

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2017Modelling asymmetric volatility in oil prices under structural breaks. (2017). Ewing, Bradley T ; Malik, Farooq . In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:227-233.

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2017Forecasting the VaR of crude oil market: Do alternative distributions help?. (2017). Lyu, Yongjian ; Ke, Rui ; Wei, YU ; Wang, Peng. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:523-534.

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2017Can stock market investors hedge energy risk? Evidence from Asia. (2017). Wagner, Niklas ; Batten, Jonathan ; Szilagyi, Peter G ; Kinateder, Harald. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:559-570.

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2017Forecasting quantiles of day-ahead electricity load. (2017). Clements, Adam ; Li, Z ; Hurn, A S. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:60-71.

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2017A regime-switching copula approach to modeling day-ahead prices in coupled electricity markets. (2017). Pircalabu, A ; Benth, F E. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:283-302.

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2017Dynamic return-volatility dependence and risk measure of CoVaR in the oil market: A time-varying mixed copula model. (2017). Liu, Bing-Yue ; Fan, Ying ; Ji, Qiang. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:53-65.

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2018Forecasting spikes in electricity return innovations. (2018). Tafakori, Laleh ; Fard, Farzad Alavi ; Pourkhanali, Armin. In: Energy. RePEc:eee:energy:v:150:y:2018:i:c:p:508-526.

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2017Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: Inter-day versus intra-day data. (2017). Degiannakis, Stavros ; Potamia, Artemis . In: International Review of Financial Analysis. RePEc:eee:finana:v:49:y:2017:i:c:p:176-190.

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2017Asymmetry in spillover effects: Evidence for international stock index futures markets. (2017). Lau, Chi Keung ; Brzeszczynski, Janusz ; Yarovaya, Larisa ; Brzeszczyski, Janusz ; Marco, Chi Keung. In: International Review of Financial Analysis. RePEc:eee:finana:v:53:y:2017:i:c:p:94-111.

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2017Brexit: Short-term stock price effects and the impact of firm-level internationalization. (2017). Oehler, Andreas ; Wendt, Stefan ; Horn, Matthias . In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:175-181.

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2017Long vs. short term asymmetry in volatility and the term structure of risk. (2017). Lonnbark, Carl . In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:202-209.

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2017The effect of non-trading days on volatility forecasts in equity markets. (2017). Molnár, Peter ; Lyócsa, Štefan ; Molnar, Peter ; Lyocsa, Tefan. In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:39-49.

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2017Does prudential regulation contribute to effective measurement and management of interest rate risk? Evidence from Italian banks. (2017). Cocozza, Rosa ; Gianfrancesco, Igor ; Curcio, Domenico ; Cerrone, Rosaria . In: Journal of Financial Stability. RePEc:eee:finsta:v:30:y:2017:i:c:p:126-138.

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2017International stock market leadership and its determinants. (2017). Cai, Charlie X ; Zhang, QI ; Mobarek, Asma. In: Journal of Financial Stability. RePEc:eee:finsta:v:33:y:2017:i:c:p:150-162.

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2017Range-based and GARCH volatility estimation: Evidence from the French asset market. (2017). Benlagha, Noureddine ; Chargui, Sana . In: Global Finance Journal. RePEc:eee:glofin:v:32:y:2017:i:c:p:149-165.

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2018Performance ranking (dis)similarities in commodity markets. (2018). Zhang, Hanxiong ; Vortelinos, Dimitrios I ; Auer, Benjamin R. In: Global Finance Journal. RePEc:eee:glofin:v:35:y:2018:i:c:p:115-137.

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2018Multiple days ahead realized volatility forecasting: Single, combined and average forecasts. (2018). Degiannakis, Stavros. In: Global Finance Journal. RePEc:eee:glofin:v:36:y:2018:i:c:p:41-61.

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2017Efficient option risk measurement with reduced model risk. (2017). Mitra, Sovan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:163-174.

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2018Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates. (2018). Kang, Boda ; Ziveyi, Jonathan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:43-56.

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2017Value-at-Risk under Lévy GARCH models: Evidence from global stock markets. (2017). BenSaïda, Ahmed ; Slim, Skander ; Bensaida, Ahmed ; Koubaa, Yosra. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:46:y:2017:i:c:p:30-53.

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2017The Copula ADCC-GARCH model can help PIIGS to fly. (2017). del Mar, Maria ; Miralles-Quiros, Jose Luis. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:50:y:2017:i:c:p:1-12.

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2017Dependence in credit default swap and equity markets: Dynamic copula with Markov-switching. (2017). Fuertes, Ana-Maria ; Kalotychou, Elena ; Fei, Fei . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:662-678.

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2017Evaluation of exchange rate point and density forecasts: An application to Brazil. (2017). Gaglianone, Wagner ; Moura, Jaqueline Terra. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:707-728.

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2017Volatility measures and Value-at-Risk. (2017). Bams, Dennis ; Blanchard, Gildas ; Lehnert, Thorsten. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:848-863.

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

Works by Peter F. Christoffersen:

YearTitleTypeCited
2007Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices In: CREATES Research Papers.
[Full Text][Citation analysis]		paper5
2007Forward-Looking Betas In: CREATES Research Papers.
[Full Text][Citation analysis]		paper3
2008Volatility Components, Affine Restrictions and Non-Normal Innovations In: CREATES Research Papers.
[Full Text][Citation analysis]		paper19
2010Volatility Components, Affine Restrictions, and Nonnormal Innovations.(2010) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19		article
2008Option Valuation with Long-run and Short-run Volatility Components In: CREATES Research Papers.
[Full Text][Citation analysis]		paper55
2004Option Valuation with Long-run and Short-run Volatility Components.(2004) In: CIRANO Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 55		paper
2008Option valuation with long-run and short-run volatility components.(2008) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 55		article
2009Option Valuation with Conditional Heteroskedasticity and Non-Normality In: CREATES Research Papers.
[Full Text][Citation analysis]		paper45
2009Option Valuation with Conditional Heteroskedasticity and Non-Normality.(2009) In: CIRANO Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 45		paper
2010Option Valuation with Conditional Heteroskedasticity and Nonnormality.(2010) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 45		article
2009The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well In: CREATES Research Papers.
[Full Text][Citation analysis]		paper73
2009The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well.(2009) In: Management Science.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 73		article
2008Evaluating Value-at-Risk Models with Desk-Level Data In: CREATES Research Papers.
[Full Text][Citation analysis]		paper76
2011Evaluating Value-at-Risk Models with Desk-Level Data.(2011) In: Management Science.
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This paper has another version. Agregated cites: 76		article
2011Financial Risk Measurement for Financial Risk Management In: CREATES Research Papers.
[Full Text][Citation analysis]		paper14
2013Financial Risk Measurement for Financial Risk Management.(2013) In: Handbook of the Economics of Finance.
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This paper has another version. Agregated cites: 14		chapter
2012Financial Risk Measurement for Financial Risk Management.(2012) In: NBER Working Papers.
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This paper has another version. Agregated cites: 14		paper
2011Financial Risk Measurement for Financial Risk Management.(2011) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14		paper
2011Illiquidity Premia in the Equity Options Market In: CREATES Research Papers.
[Full Text][Citation analysis]		paper2
2013Illiquidity Premia in the Equity Options Market.(2013) In: CREATES Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2011Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns? In: CREATES Research Papers.
[Full Text][Citation analysis]		paper2
2011The Joint Dynamics of Equity Market Factors In: CREATES Research Papers.
[Full Text][Citation analysis]		paper18
2013The Joint Dynamics of Equity Market Factors.(2013) In: Journal of Financial and Quantitative Analysis.
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This paper has another version. Agregated cites: 18		article
2011Forecasting with Option Implied Information In: CREATES Research Papers.
[Full Text][Citation analysis]		paper18
2013Forecasting with Option-Implied Information.(2013) In: Handbook of Economic Forecasting.
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This paper has another version. Agregated cites: 18		chapter
2012Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach In: CREATES Research Papers.
[Full Text][Citation analysis]		paper87
2012Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach.(2012) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 87		article
2012Nonlinear Kalman Filtering in Affine Term Structure Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper9
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9		paper
2012GARCH Option Valuation: Theory and Evidence In: CREATES Research Papers.
[Full Text][Citation analysis]		paper1
2013Does Realized Skewness Predict the Cross-Section of Equity Returns? In: CREATES Research Papers.
[Full Text][Citation analysis]		paper29
2015Does realized skewness predict the cross-section of equity returns?.(2015) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 29		article
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.
[Full Text][Citation analysis]		paper10
2014Correlation dynamics and international diversification benefits.(2014) In: International Journal of Forecasting.
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This paper has another version. Agregated cites: 10		article
2014Factor Structure in Commodity Futures Return and Volatility In: CREATES Research Papers.
[Full Text][Citation analysis]		paper2
2014Equity Portfolio Management Using Option Price Information In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2014Oil Volatility Risk and Expected Stock Returns In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2014Option Valuation with Observable Volatility and Jump Dynamics In: CREATES Research Papers.
[Full Text][Citation analysis]		paper3
2015Option Valuation with Observable Volatility and Jump Dynamics.(2015) In: Staff Working Papers.
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This paper has another version. Agregated cites: 3		paper
2015Option valuation with observable volatility and jump dynamics.(2015) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 3		article
2015Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2014Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels In: CREATES Research Papers.
[Full Text][Citation analysis]		paper1
2012The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation In: Staff Working Papers.
[Full Text][Citation analysis]		paper22
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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This paper has another version. Agregated cites: 22		article
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.
[Citation analysis]		article87
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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This paper has another version. Agregated cites: 87		paper
2000Interest-Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk. In: Journal of Business & Economic Statistics.
[Citation analysis]		article6
1999Interest Rate Arbitrage in Currency Baskets; Forecasting Weights and Measuring Risk.(1999) In: IMF Working Papers.
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This paper has another version. Agregated cites: 6		paper
2000From Inflation to Growth In: The Economics of Transition.
[Full Text][Citation analysis]		article18
2001Is inflation targeting feasible in Poland? In: The Economics of Transition.
[Full Text][Citation analysis]		article13
2003Création de valeur, gestion de risque et options réelles In: CIRANO Burgundy Reports.
[Full Text][Citation analysis]		paper0
2003Value creation, risk management, and real options In: CIRANO Burgundy Reports.
[Full Text][Citation analysis]		paper2
2001Value Creation through Real Options Management In: CIRANO Project Reports.
[Full Text][Citation analysis]		paper0
2001Testing and Comparing Value-at-Risk Measures In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper61
2001Testing and comparing Value-at-Risk measures.(2001) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 61		article
2001Lets Get Real about Using Economic Data In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper21
2000Lets Get Real About Using Economic Data.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21		paper
2002Lets get real about using economic data.(2002) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21		article
2001Lets Get Real about Using Economic Data..(2001) In: EPRU Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21		paper
2001The Importance of the Loss Function in Option Pricing In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper8
2002Financial Asset Returns, Market Timing, and Volatility Dynamics In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper6
2002Which Volatility Model for Option Valuation? In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper3
2003Backtesting Value-at-Risk: A Duration-Based Approach In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper118
2004Backtesting Value-at-Risk: A Duration-Based Approach.(2004) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 118		article
2003Company Flexibility, the Value of Management and Managerial Compensation In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper1
2003Size Matters: The Impact of Capital Market Liberalization on Individual Firms In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper1
2003Option Valuation with Conditional Skewness In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper73
2006Option valuation with conditional skewness.(2006) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 73		article
2003The Importance of the Loss Function in Option Valuation In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper60
2004The importance of the loss function in option valuation.(2004) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 60		article
2004Estimation Risk in Financial Risk Management In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper19
2004The Informational Content of Over-the-Counter Currency Options In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper5
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.
[Full Text][Citation analysis]		paper23
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.
[Full Text][Citation analysis]		article150
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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Optimal Prediction Under Asymmetric Loss.() In: Home Pages.
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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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This paper has another version. Agregated cites: 7		paper
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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2013Market skewness risk and the cross section of stock returns In: Journal of Financial Economics.
[Full Text][Citation analysis]		article52
2006Size matters: The impact of financial liberalization on individual firms In: Journal of International Money and Finance.
[Full Text][Citation analysis]		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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This paper has another version. Agregated cites: 62		paper
2003Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics.(2003) In: PIER Working Paper Archive.
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This paper has another version. Agregated cites: 62		paper
2003Financial asset returns, direction-of-change forecasting, and volatility dynamics.(2003) In: CFS Working Paper Series.
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1996Further Results on Forecasting and Model Selection under Asymmetric Loss. In: Journal of Applied Econometrics.
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2000Dating the Turning Points of Nordic Business Cycles. In: EPRU Working Paper Series.
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2007Practical Volatility and Correlation Modeling for Financial Market Risk Management In: NBER Chapters.
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2005Practical Volatility and Correlation Modeling for Financial Market Risk Management.(2005) In: NBER Working Papers.
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2005Practical Volatility and Correlation Modeling for Financial Market Risk Management.(2005) In: PIER Working Paper Archive.
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2005Practical volatility and correlation modeling for financial market risk management.(2005) In: CFS Working Paper Series.
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2005Volatility Forecasting In: NBER Working Papers.
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2005Volatility Forecasting.(2005) In: PIER Working Paper Archive.
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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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