28
H index
43
i10 index
3656
Citations
| 28 H index 43 i10 index 3656 Citations RESEARCH PRODUCTION: 39 Articles 85 Papers 2 Books 4 Chapters RESEARCH ACTIVITY:
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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: | Cites to: |
Year | Title of citing document | |
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2020 | Predicting bond return predictability. (2020). Thyrsgaard, Martin ; Kjar, Mads M ; Eriksen, Jonas N ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2020-09. Full description at Econpapers || Download paper | |
2020 | Gated Neural Networks for Option Pricing: Rationality by Design. (2016). Yang, Yongxin ; Hospedales, Timothy M ; Zheng, YU. In: Papers. RePEc:arx:papers:1609.07472. Full description at Econpapers || Download paper | |
2020 | Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:1708.09520. Full description at Econpapers || Download paper | |
2020 | Improving Value-at-Risk prediction under model uncertainty. (2018). Yao, Jianfeng ; Yang, Shuzhen. In: Papers. RePEc:arx:papers:1805.03890. Full description at Econpapers || Download paper | |
2021 | A 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. Full description at Econpapers || Download paper | |
2020 | Common Decomposition of Correlated Brownian Motions and its Financial Applications. (2019). Yang, Jingping ; Cheng, Xue. In: Papers. RePEc:arx:papers:1907.03295. Full description at Econpapers || Download paper | |
2021 | An analytical perturbative solution to the Merton Garman model using symmetries. (2019). Shaw, Nathaniel Wiesendanger ; Calmet, Xavier. In: Papers. RePEc:arx:papers:1909.01413. Full description at Econpapers || Download paper | |
2020 | Trading Strategies and Market Color: The Benefits of Friendship with Quantitative Analysts and Financial Engineers. (2019). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1910.02144. Full description at Econpapers || Download paper | |
2020 | Robust portfolio optimization with multi-factor stochastic volatility. (2019). Zhu, Song-Ping ; Ma, Guiyuan ; Lu, Xiaoping ; Yang, Ben-Zhang. In: Papers. RePEc:arx:papers:1910.06872. Full description at Econpapers || Download paper | |
2020 | Testing Forecast Rationality for Measures of Central Tendency. (2019). Schmidt, Patrick ; Patton, Andrew J ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1910.12545. Full description at Econpapers || Download paper | |
2020 | Data-driven covariance estimators for high-dimensional minimum-variance portfolios. (2019). Steinert, Rick ; Shivarova, Antoniya ; Husmann, Sven . In: Papers. RePEc:arx:papers:1910.13960. Full description at Econpapers || Download paper | |
2020 | Focused Bayesian Prediction. (2019). Frazier, David T ; Martin, Gael M ; Loaiza-Maya, Ruben. In: Papers. RePEc:arx:papers:1912.12571. Full description at Econpapers || Download paper | |
2020 | Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets. (2020). Scaillet, Olivier ; Shen, Yiwen. In: Papers. RePEc:arx:papers:2004.10096. Full description at Econpapers || Download paper | |
2020 | The Murphy Decomposition and the Calibration-Resolution Principle: A New Perspective on Forecast Evaluation. (2020). Pohle, Marc-Oliver. In: Papers. RePEc:arx:papers:2005.01835. Full description at Econpapers || Download paper | |
2020 | Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204. Full description at Econpapers || Download paper | |
2020 | Daily Middle-Term Probabilistic Forecasting of Power Consumption in North-East England. (2020). Messuti, Giuseppe ; Baviera, Roberto. In: Papers. RePEc:arx:papers:2005.13005. Full description at Econpapers || Download paper | |
2020 | Explicit approximations for option prices via Malliavin calculus for the stochastic Verhulst volatility model. (2020). Langren, Nicolas ; Das, Kaustav. In: Papers. RePEc:arx:papers:2006.01542. Full description at Econpapers || Download paper | |
2020 | Dynamic Network Risk. (2020). BarunÃÂk, Jozef ; Ellington, Michael ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2006.04639. Full description at Econpapers || Download paper | |
2020 | Hidden Markov Models Applied To Intraday Momentum Trading With Side Information. (2020). Turner, Richard ; Godsill, Simon ; Christensen, Hugh. In: Papers. RePEc:arx:papers:2006.08307. Full description at Econpapers || Download paper | |
2020 | Proper scoring rules for evaluating asymmetry in density forecasting. (2020). Ravazzolo, Francesco ; Iacopini, Matteo ; Rossini, Luca. In: Papers. RePEc:arx:papers:2006.11265. Full description at Econpapers || Download paper | |
2020 | Option Pricing Under a Discrete-Time Markov Switching Stochastic Volatility with Co-Jump Model. (2020). Li, Bingqing ; Fu, Michael C ; Zhang, Tianqi ; Wu, Rongwen . In: Papers. RePEc:arx:papers:2006.15054. Full description at Econpapers || Download paper | |
2020 | A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: Papers. RePEc:arx:papers:2006.15312. Full description at Econpapers || Download paper | |
2020 | Testing error distribution by kernelized Stein discrepancy in multivariate time series models. (2020). Li, Dong ; Gong, Huan ; Zhu, KE ; Luo, Donghang. In: Papers. RePEc:arx:papers:2008.00747. Full description at Econpapers || Download paper | |
2020 | Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.01714. Full description at Econpapers || Download paper | |
2020 | Volatility Depend on Market Trades and Macro Theory. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2008.07907. Full description at Econpapers || Download paper | |
2020 | Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary. (2020). Schnaitmann, Julie ; Liu, Xiaochun ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2009.07341. Full description at Econpapers || Download paper | |
2020 | CoVaR with volatility clustering, heavy tails and non-linear dependence. (2020). Rivieccio, Giorgia ; de Luca, Giovanni ; Bianchi, Michele Leonardo. In: Papers. RePEc:arx:papers:2009.10764. Full description at Econpapers || Download paper | |
2020 | Price, Volatility and the Second-Order Economic Theory. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2009.14278. Full description at Econpapers || Download paper | |
2020 | Tail-risk protection: Machine Learning meets modern Econometrics. (2020). Hardle, Wolfgang Karl ; Spilak, Bruno. In: Papers. RePEc:arx:papers:2010.03315. Full description at Econpapers || Download paper | |
2020 | Cryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart risk. (2020). Kim, Youngshin ; Kurosaki, Tetsuo. In: Papers. RePEc:arx:papers:2010.08900. Full description at Econpapers || Download paper | |
2020 | Bridging the gap between Markowitz planning and deep reinforcement learning. (2020). Saltiel, David ; Benhamou, Eric ; Mukhopadhyay, Abhishek ; Ungari, Sandrine. In: Papers. RePEc:arx:papers:2010.09108. Full description at Econpapers || Download paper | |
2020 | Forecasting With Factor-Augmented Quantile Autoregressions: A Model Averaging Approach. (2020). Phella, Anthoulla. In: Papers. RePEc:arx:papers:2010.12263. Full description at Econpapers || Download paper | |
2020 | Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552. Full description at Econpapers || Download paper | |
2020 | The Uncertain Shape of Grey Swans: Extreme Value Theory with Uncertain Threshold. (2020). Poorvasei, Hossein ; Arian, Hamidreza ; Zamani, Shiva ; Sharifi, Azin. In: Papers. RePEc:arx:papers:2011.06693. Full description at Econpapers || Download paper | |
2021 | Estimating real-world probabilities: A forward-looking behavioral framework. (2020). Crisóstomo, Ricardo. In: Papers. RePEc:arx:papers:2012.09041. Full description at Econpapers || Download paper | |
2020 | The Term Structures of Loss and Gain Uncertainty. (2020). Feunou, Bruno ; Xu, Lai ; Tedongap, Romeo ; Aliouchkin, Ricardo Lopez. In: Staff Working Papers. RePEc:bca:bocawp:20-19. Full description at Econpapers || Download paper | |
2020 | Too Connected to Fail? Evidence from a Chinese Financial Risk Spillover Network. (2020). Hu, Jie ; Chen, YU ; Zhang, Weiping. In: China & World Economy. RePEc:bla:chinae:v:28:y:2020:i:6:p:78-100. Full description at Econpapers || Download paper | |
2020 | Estimating portfolio risk for tail risk protection strategies. (2020). Lohre, Harald ; Happersberger, David ; Nolte, Ingmar. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:4:p:1107-1146. Full description at Econpapers || Download paper | |
2020 | Mispriced index option portfolios. (2020). Perrakis, Stylianos ; Czerwonko, Michal ; Constantinides, George M. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:2:p:297-330. Full description at Econpapers || Download paper | |
2020 | Option trading after the opening bell and intraday stock return predictability. (2020). Fodor, Andy ; Bergsma, Kelley ; Tayal, Jitendra ; Singal, Vijay. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:3:p:769-804. Full description at Econpapers || Download paper | |
2020 | Unveiling Contemporaneous Relations Between Jump Risk and Cross Section of Stock Returns. (2020). Prasanna, Krishna ; Kshatriya, Saranya. In: International Review of Finance. RePEc:bla:irvfin:v:20:y:2020:i:3:p:581-604. Full description at Econpapers || Download paper | |
2020 | Market Excess Returns, Variance and the Third Cumulant. (2020). Zhao, Huimin ; Chang, Eric C ; Zhang, Jin E. In: International Review of Finance. RePEc:bla:irvfin:v:20:y:2020:i:3:p:605-637. Full description at Econpapers || Download paper | |
2020 | MORE THAN A FEELING: CONFIDENCE, UNCERTAINTY, AND MACROECONOMIC FLUCTUATIONS. (2020). Stracca, Livio ; Nowzohour, Laura . In: Journal of Economic Surveys. RePEc:bla:jecsur:v:34:y:2020:i:4:p:691-726. Full description at Econpapers || Download paper | |
2020 | Lowâ€Risk Anomalies?. (2020). Zechner, Josef ; Wagner, Christian ; Schneider, Paul. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2673-2718. Full description at Econpapers || Download paper | |
2020 | PREDICTING SYSTEMATIC RISK WITH MACROECONOMIC AND FINANCIAL VARIABLES. (2020). Ibrushi, Denada ; Cenesizoglu, Tolga. In: Journal of Financial Research. RePEc:bla:jfnres:v:43:y:2020:i:3:p:649-673. Full description at Econpapers || Download paper | |
2020 | Backtesting portfolio valueâ€atâ€risk with estimated portfolio weights. (2020). Pei, Pei ; Du, Zaichao. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:5:p:605-619. Full description at Econpapers || Download paper | |
2020 | Selfâ€similarity in longâ€horizon returns. (2020). Schoutens, Wim ; Madan, Dilip B. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1368-1391. Full description at Econpapers || Download paper | |
2020 | An autoregressive model based on the generalized hyperbolic distribution. (2020). Karttunen, Henri. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:47:y:2020:i:3:p:787-816. Full description at Econpapers || Download paper | |
2020 | Proper scoring rules for evaluating asymmetry in density forecasting. (2020). Rossini, Luca ; Ravazzolo, Francesco ; Iacopini, Matteo. In: Working Papers. RePEc:bny:wpaper:0089. Full description at Econpapers || Download paper | |
2021 | Testing and Modelling Time Series with Time Varying Tails. (2021). Palumbo, D. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2111. Full description at Econpapers || Download paper | |
2020 | Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, Stephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: CIRANO Working Papers. RePEc:cir:cirwor:2020s-42. Full description at Econpapers || Download paper | |
2021 | Estimación de probabilidades representativas del mundo real: importancia de los sesgos conductuales. (2021). Crisostomo, Ricardo . In: CNMV Documentos de Trabajo. RePEc:cnv:docutr:dt_73es. Full description at Econpapers || Download paper | |
2020 | Exchange rate predictive densities and currency risks: A quantile regression approach. (2020). Joseph, Niango Ange. In: EconomiX Working Papers. RePEc:drm:wpaper:2020-16. Full description at Econpapers || Download paper | |
2020 | Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach. (2020). Hallin, Marc ; Trucios, Carlos. In: Working Papers ECARES. RePEc:eca:wpaper:2013/315983. Full description at Econpapers || Download paper | |
2020 | Trading volume and realized higher-order moments in the Australian stock market. (2020). Jeyasreedharan, Nagaratnam ; Ahadzie, Richard Mawulawoe. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:28:y:2020:i:c:s2214635020303403. Full description at Econpapers || Download paper | |
2020 | Optimal consumption and portfolio decision with stochastic covariance in incomplete markets. (2020). Hu, Zhijun ; Wang, Hang. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:138:y:2020:i:c:s0960077920301776. Full description at Econpapers || Download paper | |
2020 | A cost-benefit analysis of capital requirements adjusted for model risk. (2020). Tunaru, Radu ; Fringuellotti, Fulvia ; Farkas, Walter. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920301978. Full description at Econpapers || Download paper | |
2020 | The contribution of intraday jumps to forecasting the density of returns. (2020). Sevi, Benoit ; Ielpo, Florian ; Chorro, Christophe. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300233. Full description at Econpapers || Download paper | |
2020 | Time to build and bond risk premia. (2020). Li, Kai ; Huang, Fuzhe ; Guo, Bin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:121:y:2020:i:c:s0165188920301925. Full description at Econpapers || Download paper | |
2020 | Financialization of agricultural commodities: Evidence from China. (2020). Ouyang, Ruolan ; Zhang, Xuan. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:381-389. Full description at Econpapers || Download paper | |
2020 | A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage. (2020). Gradojevic, Nikola ; Genay, Ramazan ; Erdemlioglu, Deniz. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:57-73. Full description at Econpapers || Download paper | |
2020 | Time-varying dependence in European equity markets: A contagion and investor sentiment driven analysis. (2020). Pochea, Maria Miruna ; Nioi, Mihai. In: Economic Modelling. RePEc:eee:ecmode:v:86:y:2020:i:c:p:133-147. Full description at Econpapers || Download paper | |
2020 | Asymmetric signals and skewness. (2020). Zhen, Fang. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:32-42. Full description at Econpapers || Download paper | |
2020 | Mixed data sampling expectile regression with applications to measuring financial risk. (2020). Yu, Keming ; Jiang, Cuixia ; Chen, LU ; Xu, Qifa. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:469-486. Full description at Econpapers || Download paper | |
2020 | The macroeconomic drivers in hedge fund beta management. (2020). Platania, Federico ; Lambert, Marie. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:65-80. Full description at Econpapers || Download paper | |
2020 | Global predictive power of the upside and downside variances of the U.S. equity market. (2020). Zhang, Liguo ; Xiao, Jun ; Xu, Yahua. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:605-619. Full description at Econpapers || Download paper | |
2020 | Which types of commodity price information are more useful for predicting US stock market volatility?. (2020). Li, Yan ; Ma, Feng ; Liang, Chao. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:642-650. Full description at Econpapers || Download paper | |
2020 | A TVM-Copula-MIDAS-GARCH model with applications to VaR-based portfolio selection. (2020). Tong, Yongbo ; Xu, Qifa ; Ding, Xiaoyi ; Jiang, Cuixia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819300993. Full description at Econpapers || Download paper | |
2020 | Site visit information content and return predictability: Evidence from China. (2020). Cao, Jiawei ; Yue, Sishi ; Dong, Dayong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819304280. Full description at Econpapers || Download paper | |
2020 | The economic and financial properties of crude oil: A review. (2020). Auer, Benjamin R ; Lang, Korbinian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940818302559. Full description at Econpapers || Download paper | |
2020 | Risk dependence and cointegration between pharmaceutical stock markets: The case of China and the USA. (2020). Pérez-RodrÃÂguez, Jorge ; Lopez-Valcarcel, Beatriz Gonzalez ; Perez-Rodriguez, Jorge V ; Qian, Huanhuan ; Zhou, Xinmiao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300723. Full description at Econpapers || Download paper | |
2020 | VIX forecasting based on GARCH-type model with observable dynamic jumps: A new perspective. (2020). Li, Weiping ; Yang, Jiyu ; Qiao, Gaoxiu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300838. Full description at Econpapers || Download paper | |
2020 | Forecasting oil futures market volatility in a financialized world: Why speculative activities matter. (2020). Nguyen, Chi M ; Chan, Leo H. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818301153. Full description at Econpapers || Download paper | |
2020 | Retrieving the implicit risk neutral density of WTI options with a semi-nonparametric approach. (2020). Perote, Javier ; Mora-Valencia, Andrés ; Cortes, Lina M. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818301980. Full description at Econpapers || Download paper | |
2020 | Implied risk aversion and pricing kernel in the FTSE 100 index. (2020). Sung, Hao-Chang ; Ju, Wen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818302092. Full description at Econpapers || Download paper | |
2020 | Model specification of conditional jump intensity: Evidence from S&P 500 returns and option prices. (2020). Tsai, Jeffrey Tzuhao ; Lo, Chien-Ling ; Cheng, Hung-Wen . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818303772. Full description at Econpapers || Download paper | |
2020 | Forecasting risk in the US Dollar exchange rate under volatility shifts. (2020). Malik, Farooq ; Anjum, Hassan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301546. Full description at Econpapers || Download paper | |
2020 | Valuing spread options with counterparty risk and jump risk. (2020). Wang, Xingchun ; Li, Zelei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301650. Full description at Econpapers || Download paper | |
2020 | Trends in distributional characteristics: Existence of global warming. (2020). Gonzalo, Jesus ; Gadea, Maria Dolores. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:153-174. Full description at Econpapers || Download paper | |
2020 | Variance disparity and market frictions. (2020). Park, Yang-Ho. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:326-348. Full description at Econpapers || Download paper | |
2020 | Nonparametric assessment of hedge fund performance. (2020). Garcia, René ; Ardison, Kym ; Almeida, Caio. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:349-378. Full description at Econpapers || Download paper | |
2020 | Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals. (2020). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:4-34. Full description at Econpapers || Download paper | |
2020 | Option market trading activity and the estimation of the pricing kernel: A Bayesian approach. (2020). Fusari, Nicola ; Barone-Adesi, Giovanni ; Sala, Carlo ; Mira, Antonietta. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:2:p:430-449. Full description at Econpapers || Download paper | |
2020 | The leverage effect puzzle revisited: Identification in discrete time. (2020). Khrapov, Stanislav ; Han, Hyojin ; Renault, Eric. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:230-258. Full description at Econpapers || Download paper | |
2020 | Virtual Historical Simulation for estimating the conditional VaR of large portfolios. (2020). Zakoian, Jean-Michel ; Francq, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:356-380. Full description at Econpapers || Download paper | |
2020 | Multivariate leverage effects and realized semicovariance GARCH models. (2020). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:411-430. Full description at Econpapers || Download paper | |
2020 | The term structure of equity and variance risk premia. (2020). Ait-Sahalia, Yacine ; Mancini, Loriano ; Karaman, Mustafa. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:2:p:204-230. Full description at Econpapers || Download paper | |
2020 | High-dimensional predictive regression in the presence of cointegration. (2020). Anderson, Heather ; Yao, Wenying ; Seo, Myung Hwan ; Koo, Bonsoo. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:2:p:456-477. Full description at Econpapers || Download paper | |
2020 | Estimating the term structure of commodity market preferences. (2020). Christodoulakis, George . In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:3:p:1146-1163. Full description at Econpapers || Download paper | |
2020 | VIX derivatives, hedging and vol-of-vol risk. (2020). Kaeck, Andreas ; Seeger, Norman J. In: European Journal of Operational Research. RePEc:eee:ejores:v:283:y:2020:i:2:p:767-782. Full description at Econpapers || Download paper | |
2020 | A comparison of tail dependence estimators. (2020). Weiss, Gregor ; Irresberger, Felix ; Supper, Hendrik . In: European Journal of Operational Research. RePEc:eee:ejores:v:284:y:2020:i:2:p:728-742. Full description at Econpapers || Download paper | |
2021 | Option pricing with conditional GARCH models. (2021). Stentoft, Lars ; Escobar Anel, Marcos ; Escobar-Anel, Marcos ; Rastegari, Javad. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:1:p:350-363. Full description at Econpapers || Download paper | |
2021 | A data-driven framework for consistent financial valuation and risk measurement. (2021). Kirkby, Lars J ; Cui, Zhenyu ; Nguyen, Duy. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:1:p:381-398. Full description at Econpapers || Download paper | |
2020 | Is there an illiquidity premium in frontier markets?. (2020). Umar, Zaghum ; Zaremba, Adam ; Stereczak, Szymon. In: Emerging Markets Review. RePEc:eee:ememar:v:42:y:2020:i:c:s1566014119302481. Full description at Econpapers || Download paper | |
2020 | Factor state–space models for high-dimensional realized covariance matrices of asset returns. (2020). Gribisch, Bastian ; Liesenfeld, Roman ; Hartkopf, Jan Patrick. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:1-20. Full description at Econpapers || Download paper | |
2020 | The time-varying asymmetry of exchange rate returns: A stochastic volatility – stochastic skewness model. (2020). Iseringhausen, Martin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:275-292. Full description at Econpapers || Download paper | |
2020 | A comparison of non-Gaussian VaR estimation and portfolio construction techniques. (2020). Lizieri, Colin ; Satchell, Stephen ; Allen, David. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:356-368. Full description at Econpapers || Download paper | |
2020 | Conditional extreme risk, black swan hedging, and asset prices. (2020). Wu, Feng ; Rhee, Ghon S. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:412-435. Full description at Econpapers || Download paper | |
2020 | Economic determinants of oil futures volatility: A term structure perspective. (2020). Prokopczuk, Marcel ; Nikitopoulos-Sklibosios, Christina ; Kang, Boda. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320300827. Full description at Econpapers || Download paper | |
2020 | Forecasting crude oil and refined products volatilities and correlations: New evidence from fractionally integrated multivariate GARCH models. (2020). Di Iorio, Francesca ; Tamvakis, Michael ; Kyriakou, Ioannis ; Marchese, Malvina. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320300967. Full description at Econpapers || Download paper | |
2020 | Moments-based spillovers across gold and oil markets. (2020). Lau, Chi Keung ; GUPTA, RANGAN ; Bonato, Matteo ; Wang, Shixuan ; Marco, Chi Keung. In: Energy Economics. RePEc:eee:eneeco:v:89:y:2020:i:c:s0140988320301390. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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2007 | Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 5 |
2007 | Forward-Looking Betas In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
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2010 | Volatility Components, Affine Restrictions, and Nonnormal Innovations.(2010) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 28 | article | |
2008 | Option Valuation with Long-run and Short-run Volatility Components In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 81 |
2004 | Option Valuation with Long-run and Short-run Volatility Components.(2004) In: CIRANO Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 81 | paper | |
2008 | Option valuation with long-run and short-run volatility components.(2008) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 81 | article | |
2009 | Option Valuation with Conditional Heteroskedasticity and Non-Normality In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 58 |
2009 | Option Valuation with Conditional Heteroskedasticity and Non-Normality.(2009) In: CIRANO Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 58 | paper | |
2010 | Option Valuation with Conditional Heteroskedasticity and Nonnormality.(2010) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 58 | article | |
2009 | The 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] | paper | 138 |
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2014 | Factor Structure in Commodity Futures Return and Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 11 |
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2014 | Equity Portfolio Management Using Option Price Information In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
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2014 | Option Valuation with Observable Volatility and Jump Dynamics In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 12 |
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2015 | Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
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1997 | Cointegration and Long-Horizon Forecasting.(1997) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 106 | paper | |
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2001 | Value Creation through Real Options Management In: CIRANO Project Reports. [Full Text][Citation analysis] | paper | 0 |
2001 | Testing and Comparing Value-at-Risk Measures In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 70 |
2001 | Testing and comparing Value-at-Risk measures.(2001) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 70 | article | |
2001 | Lets Get Real about Using Economic Data In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 21 |
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2001 | The Importance of the Loss Function in Option Pricing In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 8 |
2002 | Financial Asset Returns, Market Timing, and Volatility Dynamics In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 7 |
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2003 | Company Flexibility, the Value of Management and Managerial Compensation In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 1 |
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2004 | The Informational Content of Over-the-Counter Currency Options In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 4 |
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2009 | Option-Implied Measures of Equity Risk In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 35 |
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2009 | Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 3 |
1997 | Optimal Prediction Under Asymmetric Loss In: Econometric Theory. [Full Text][Citation analysis] | article | 180 |
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2006 | Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence.(2006) In: Finance Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2006 | Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence.(2006) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2010 | Option Anomalies and the Pricing Kernel In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
2010 | Market Skewness Risk and the Cross-Section of Stock Returns In: Working Papers. [Full Text][Citation analysis] | paper | 121 |
2013 | Market skewness risk and the cross section of stock returns.(2013) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 121 | article | |
2010 | Time-Varying Jump Intensities and Fat Tail Dynamics: Evidence from S&P500 Returns and Options In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2010 | Is the Potential for International Diversification Disappearing? In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
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2006 | Size matters: The impact of financial liberalization on individual firms In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 13 |
2003 | Elements of Financial Risk Management In: Elsevier Monographs. [Full Text][Citation analysis] | book | 146 |
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1998 | Horizon problems and extreme events in financial risk management In: Economic Policy Review. [Full Text][Citation analysis] | article | 23 |
1998 | Horizon Problems and Extreme Events in Financial Risk Management.(1998) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
1998 | How Relevant is Volatility Forecasting for Financial Risk Management? In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] | paper | 119 |
1998 | How Relevant is Volatility Forecasting for Financial Risk Management?.(1998) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 119 | paper | |
2000 | How Relevant is Volatility Forecasting for Financial Risk Management?.(2000) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 119 | article | |
1997 | How Relevant is Volatility Forecasting for Financial Risk Management?.(1997) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 119 | paper | |
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2006 | Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics In: Management Science. [Full Text][Citation analysis] | article | 97 |
2003 | Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics.(2003) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 97 | paper | |
2003 | Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics.(2003) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 97 | paper | |
2003 | Financial asset returns, direction-of-change forecasting, and volatility dynamics.(2003) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 97 | paper | |
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2007 | Practical Volatility and Correlation Modeling for Financial Market Risk Management In: NBER Chapters. [Full Text][Citation analysis] | chapter | 22 |
2005 | Practical Volatility and Correlation Modeling for Financial Market Risk Management.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
2005 | Practical Volatility and Correlation Modeling for Financial Market Risk Management.(2005) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
2005 | Practical volatility and correlation modeling for financial market risk management.(2005) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
2005 | Volatility Forecasting In: NBER Working Papers. [Full Text][Citation analysis] | paper | 49 |
2005 | Volatility Forecasting.(2005) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 49 | paper | |
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2005 | The Accuracy of Density Forecasts from Foreign Exchange Options In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 32 |
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1999 | Testing, Comparing, and Combining Value at Risk Measures In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] | paper | 7 |
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