Peter F. Christoffersen
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author of:
- Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices (RePEc:aah:create:2007-37)
by Peter Christoffersen & Kris Jacobs & Karim Mimouni - Forward-Looking Betas (RePEc:aah:create:2007-39)
by Peter Christoffersen & Kris Jacobs & Gregory Vainberg - Volatility Components, Affine Restrictions and Non-Normal Innovations (RePEc:aah:create:2008-10)
by Peter Christoffersen & Kris Dorion & Yintian Wang - Option Valuation with Long-run and Short-run Volatility Components (RePEc:aah:create:2008-11)
by Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai & Yintian Wang - Option Valuation with Conditional Heteroskedasticity and Non-Normality (RePEc:aah:create:2009-33)
by Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs - The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well (RePEc:aah:create:2009-34)
by Peter Christoffersen & Steven Heston & Kris Jacobs - Evaluating Value-at-Risk Models with Desk-Level Data (RePEc:aah:create:2009-35)
by Peter Christoffersen & Jeremy Berkowitz & Denis Pelletier - Financial Risk Measurement for Financial Risk Management (RePEc:aah:create:2011-37)
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold - Illiquidity Premia in the Equity Options Market (RePEc:aah:create:2011-43)
by Peter Christoffersen & Ruslan Goyenko & Kris Jacobs & Mehdi Karoui - Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns? (RePEc:aah:create:2011-44)
by Diego Amaya & Peter Christoffersen & Kris Jacobs & Aurelio Vasquez - The Joint Dynamics of Equity Market Factors (RePEc:aah:create:2011-45)
by Peter Christoffersen & Hugues Langlois - Forecasting with Option Implied Information (RePEc:aah:create:2011-46)
by Peter Christoffersen & Kris Jacobs & Bo Young Chang - Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach (RePEc:aah:create:2012-48)
by Peter Christoffersen & Vihang Errunza & Kris Jacobs & Hugues Langlois - Nonlinear Kalman Filtering in Affine Term Structure Models (RePEc:aah:create:2012-49)
by Peter Christoffersen & Christian Dorion & Kris Jacobs & Lotfi Karoui - GARCH Option Valuation: Theory and Evidence (RePEc:aah:create:2012-50)
by Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai - Does Realized Skewness Predict the Cross-Section of Equity Returns? (RePEc:aah:create:2013-41)
by Diego Amaya & Peter Christoffersen & Kris Jacobs & Aurelio Vasquez - Rare Disasters and Credit Market Puzzles (RePEc:aah:create:2013-45)
by Peter Christoffersen & Du Du & Redouane Elkamhi - Dynamic Diversification in Corporate Credit (RePEc:aah:create:2013-46)
by Peter Christoffersen & Kris Jacobs & Xisong Jin & Hugues Langlois - The Factor Structure in Equity Options (RePEc:aah:create:2013-47)
by Peter Christoffersen & Mathieu Fournier & Kris Jacobs - Illiquidity Premia in the Equity Options Market (RePEc:aah:create:2013-48)
by Peter Christoffersen & Ruslan Goyenko & Kris Jacobs & Mehdi Karoui - Correlation Dynamics and International Diversification Benefits (RePEc:aah:create:2013-49)
by Peter Christoffersen & Vihang R. Errunza & Kris Jacobs & Xisong Jin - Factor Structure in Commodity Futures Return and Volatility (RePEc:aah:create:2014-31)
by Peter Christoffersen & Asger Lunde & Kasper V. Olesen - Equity Portfolio Management Using Option Price Information (RePEc:aah:create:2015-05)
by Peter Christoffersen & Xuhui (Nick) Pan - Oil Volatility Risk and Expected Stock Returns (RePEc:aah:create:2015-06)
by Peter Christoffersen & Xuhui (Nick) Pan - Option Valuation with Observable Volatility and Jump Dynamics (RePEc:aah:create:2015-07)
by Peter Christoffersen & Bruno Feunou & Yoontae Jeon - Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk (RePEc:aah:create:2015-54)
by Peter Christoffersen & Mathieu Fournier & Kris Jacobs & Mehdi Karoui - Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels (RePEc:aah:create:2015-55)
by Kadir G. Babaoglou & Peter Christoffersen & Steven L. Heston & Kris Jacobs - The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation (RePEc:bca:bocawp:12-34)
by Peter Christoffersen & Bruno Feunou & Kris Jacobs & Nour Meddahi - Option Valuation with Observable Volatility and Jump Dynamics (RePEc:bca:bocawp:15-39)
by Peter Christoffersen & Bruno Feunou & Yoontae Jeon - Time-Varying Crash Risk: The Role of Stock Market Liquidity (RePEc:bca:bocawp:16-35)
by Peter Christoffersen & Bruno Feunou & Yoontae Jeon & Chayawat Ornthanalai - Cointegration and Long-Horizon Forecasting (RePEc:bes:jnlbes:v:16:y:1998:i:4:p:450-58)
by Christoffersen, Peter F & Diebold, Francis X - Interest-Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk (RePEc:bes:jnlbes:v:18:y:2000:i:2:p:242-53)
by Christoffersen, Peter F & Giorgianni, Lorenzo - Volatility Components, Affine Restrictions, and Nonnormal Innovations (RePEc:bes:jnlbes:v:28:i:4:y:2010:p:483-502)
by Christoffersen, Peter & Dorion, Christian & Jacobs, Kris & Wang, Yintian - From Inflation to Growth (RePEc:bla:etrans:v:8:y:2000:i:2:p:421-451)
by Peter Christoffersen & Peter Doyle - Is inflation targeting feasible in Poland? (RePEc:bla:etrans:v:9:y:2001:i:1:p:153-174)
by Peter Christoffersen & Torsten Sløk & Robert Wescott - Unknown item RePEc:cfs:cfswop:wp200408 (paper)
- Unknown item RePEc:cfs:cfswop:wp200502 (paper)
- Unknown item RePEc:cfs:cfswop:wp200508 (paper)
- Création de valeur, gestion de risque et options réelles (RePEc:cir:cirbur:2003rb-01)
by Marcel Boyer & Peter Christoffersen & Pierre Lasserre & Andrey Pavlov - Value creation, risk management, and real options (RePEc:cir:cirbur:2003rb-02)
by Marcel Boyer & Peter Christoffersen & Pierre Lasserre & Andrey Pavlov - Value Creation through Real Options Management (RePEc:cir:cirpro:2001rp-04)
by Marcel Boyer & Peter Christoffersen & Pierre Lasserre & Andrey Pavlov - Testing and Comparing Value-at-Risk Measures (RePEc:cir:cirwor:2001s-03)
by Peter Christoffersen & Jinyong Hahn & Atsushi Inoue - Let's Get "Real"" about Using Economic Data" (RePEc:cir:cirwor:2001s-44)
by Peter Christoffersen & Eric Ghysels & Norman R. Swanson - The Importance of the Loss Function in Option Pricing (RePEc:cir:cirwor:2001s-45)
by Peter Christoffersen & Kris Jacobs - Financial Asset Returns, Market Timing, and Volatility Dynamics (RePEc:cir:cirwor:2002s-02)
by Peter Christoffersen & Francis X. Diebold - Which Volatility Model for Option Valuation? (RePEc:cir:cirwor:2002s-33)
by Peter Christoffersen & Kris Jacobs - Backtesting Value-at-Risk: A Duration-Based Approach (RePEc:cir:cirwor:2003s-05)
by Peter Christoffersen & Denis Pelletier - Company Flexibility, the Value of Management and Managerial Compensation (RePEc:cir:cirwor:2003s-06)
by Peter Christoffersen & Andrey Pavlov - Size Matters: The Impact of Capital Market Liberalization on Individual Firms (RePEc:cir:cirwor:2003s-13)
by Peter Christoffersen & Hyunchul Chung & Vihang Errunza - Option Valuation with Conditional Skewness (RePEc:cir:cirwor:2003s-50)
by Peter Christoffersen & Steve Heston & Kris Jacobs - The Importance of the Loss Function in Option Valuation (RePEc:cir:cirwor:2003s-52)
by Peter Christoffersen & Kris Jacobs - Estimation Risk in Financial Risk Management (RePEc:cir:cirwor:2004s-15)
by Peter Christoffersen & Silvia Gonçalves - The Informational Content of Over-the-Counter Currency Options (RePEc:cir:cirwor:2004s-16)
by Peter Christoffersen & Stefano Mazzotta - Option Valuation with Long-run and Short-run Volatility Components (RePEc:cir:cirwor:2004s-56)
by Peter Christoffersen & Kris Jacobs & Yintian Wang - Option Valuation with Conditional Heteroskedasticity and Non-Normality (RePEc:cir:cirwor:2009s-32)
by Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs - Option-Implied Measures of Equity Risk (RePEc:cir:cirwor:2009s-33)
by Bo-Young Chang & Peter Christoffersen & Kris Jacobs & Gregory Vainberg - Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options (RePEc:cir:cirwor:2009s-34)
by Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai - Optimal Prediction Under Asymmetric Loss (RePEc:cup:etheor:v:13:y:1997:i:06:p:808-817_00)
by Christoffersen, Peter F. & Diebold, Francis X. - The Joint Dynamics of Equity Market Factors (RePEc:cup:jfinqa:v:48:y:2013:i:05:p:1371-1404_00)
by Christoffersen, Peter & Langlois, Hugues - The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation (RePEc:cup:jfinqa:v:49:y:2014:i:03:p:663-697_00)
by Christoffersen, Peter & Feunou, Bruno & Jacobs, Kris & Meddahi, Nour - Factor Structure in Commodity Futures Return and Volatility (RePEc:cup:jfinqa:v:54:y:2019:i:03:p:1083-1115_00)
by Christoffersen, Peter & Lunde, Asger & Olesen, Kasper V. - Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk (RePEc:cup:jfinqa:v:56:y:2021:i:1:p:65-91_3)
by Christoffersen, Peter & Fournier, Mathieu & Jacobs, Kris & Karoui, Mehdi - Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence (RePEc:eab:financ:22075)
by Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Anthony S. Tay & Yiu Kuen Tse - Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence (RePEc:eab:financ:22481)
by Anthony S. Tay & Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Yiu Kuen Tse - The informational content of over-the-counter currency options (RePEc:ecb:ecbwps:2004366)
by Christoffersen, Peter & Mazzotta, Stefano - Option Anomalies and the Pricing Kernel (RePEc:ecl:upafin:11-17)
by Christoffersen, Peter & Heston, Steven & Jacobs, Kris - Market Skewness Risk and the Cross-Section of Stock Returns (RePEc:ecl:upafin:11-18)
by Chang, Bo Young & Christoffersen, Peter & Jacobs, Kris - Time-Varying Jump Intensities and Fat Tail Dynamics: Evidence from S&P500 Returns and Options (RePEc:ecl:upafin:11-19)
by Christoffersen, Peter & Jacobs, Kris & Ornthanalai, Chayawat - Is the Potential for International Diversification Disappearing? (RePEc:ecl:upafin:11-20)
by Christoffersen, Peter & Errunza, Vihang & Jacobs, Kris & Jin, Xisong - Martingale Tests of Value-at-Risk (RePEc:ecm:nawm04:236)
by Peter Christoffersen & Jeremy Berkowitz - Let's Get "Real" About Using Economic Data (RePEc:ecm:wc2000:1004)
by Peter Christoffersen & Eric Ghysels & Norman Swanson - Volatility and Correlation Forecasting (RePEc:eee:ecofch:1-15)
by Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X. - Forecasting with Option-Implied Information (RePEc:eee:ecofch:2-581)
by Christoffersen, Peter & Jacobs, Kris & Chang, Bo Young - Option valuation with conditional skewness (RePEc:eee:econom:v:131:y:2006:i:1-2:p:253-284)
by Christoffersen, Peter & Heston, Steve & Jacobs, Kris - Towards a global financial architecture: capital mobility and risk management issues (RePEc:eee:ememar:v:1:y:2000:i:1:p:3-20)
by Christoffersen, Peter & Errunza, Vihang - Testing and comparing Value-at-Risk measures (RePEc:eee:empfin:v:8:y:2001:i:3:p:325-342)
by Christoffersen, Peter & Hahn, Jinyong & Inoue, Atsushi - Let's get "real" about using economic data (RePEc:eee:empfin:v:9:y:2002:i:3:p:343-360)
by Christoffersen, Peter & Ghysels, Eric & Swanson, Norman R. - Financial Risk Measurement for Financial Risk Management (RePEc:eee:finchp:2-b-1127-1220)
by Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X. - Correlation dynamics and international diversification benefits (RePEc:eee:intfor:v:30:y:2014:i:3:p:807-824)
by Christoffersen, Peter & Errunza, Vihang & Jacobs, Kris & Jin, Xisong - Option valuation with observable volatility and jump dynamics (RePEc:eee:jbfina:v:61:y:2015:i:s2:p:s101-s120)
by Christoffersen, Peter & Feunou, Bruno & Jeon, Yoontae - Oil volatility risk and expected stock returns (RePEc:eee:jbfina:v:95:y:2018:i:c:p:5-26)
by Christoffersen, Peter & Pan, Xuhui (Nick) - Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options (RePEc:eee:jfinec:v:106:y:2012:i:3:p:447-472)
by Christoffersen, Peter & Jacobs, Kris & Ornthanalai, Chayawat - Market skewness risk and the cross section of stock returns (RePEc:eee:jfinec:v:107:y:2013:i:1:p:46-68)
by Chang, Bo Young & Christoffersen, Peter & Jacobs, Kris - Does realized skewness predict the cross-section of equity returns? (RePEc:eee:jfinec:v:118:y:2015:i:1:p:135-167)
by Amaya, Diego & Christoffersen, Peter & Jacobs, Kris & Vasquez, Aurelio - The importance of the loss function in option valuation (RePEc:eee:jfinec:v:72:y:2004:i:2:p:291-318)
by Christoffersen, Peter & Jacobs, Kris - Option valuation with long-run and short-run volatility components (RePEc:eee:jfinec:v:90:y:2008:i:3:p:272-297)
by Christoffersen, Peter & Jacobs, Kris & Ornthanalai, Chayawat & Wang, Yintian - Size matters: The impact of financial liberalization on individual firms (RePEc:eee:jimfin:v:25:y:2006:i:8:p:1296-1318)
by Christoffersen, Peter & Chung, Hyunchul & Errunza, Vihang - Elements of Financial Risk Management (RePEc:eee:monogr:9780121742324)
by Christoffersen, Peter - Elements of Financial Risk Management (RePEc:eee:monogr:9780123744487)
by Christoffersen, Peter - Horizon problems and extreme events in financial risk management (RePEc:fip:fednep:y:1998:i:oct:p:109-118:n:v.4no.3)
by Peter F. Christoffersen & Francis X. Diebold & Til Schuermann - Optimal prediction under asymmetric loss (RePEc:fip:fedpwp:97-11)
by Peter F. Christoffersen & Francis X. Diebold - Cointegration and long-horizon forecasting (RePEc:fip:fedpwp:97-14)
by Peter F. Christoffersen & Francis X. Diebold - How Relevant is Volatility Forecasting for Financial Risk Management? (RePEc:fth:nystfi:98-080)
by Peter F. Christoffersen & Francis X. Diebold - Evaluating Interval Forecasts (RePEc:ier:iecrev:v:39:y:1998:i:4:p:841-62)
by Christoffersen, Peter F - Cointegration and Long-Horizon Forecasting (RePEc:imf:imfwpa:1997/061)
by Mr. Francis X. Diebold & Mr. Peter F. Christoffersen - From Inflation to Growth: Eight Years of Transition (RePEc:imf:imfwpa:1998/100)
by Mr. Peter Doyle & Mr. Peter F. Christoffersen - Interest Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk (RePEc:imf:imfwpa:1999/016)
by Mr. Peter F. Christoffersen & Mr. Lorenzo Giorgianni - Is Poland Ready for Inflation Targeting? (RePEc:imf:imfwpa:1999/041)
by Mr. Peter F. Christoffersen & Mr. Robert F. Westcott - Do Asset Prices in Transition Countries Contain Information About Future Economic Activity? (RePEc:imf:imfwpa:2000/103)
by Mr. Torsten M Sloek & Mr. Peter F. Christoffersen - Which GARCH Model for Option Valuation? (RePEc:inm:ormnsc:v:50:y:2004:i:9:p:1204-1221)
by Peter Christoffersen & Kris Jacobs - Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics (RePEc:inm:ormnsc:v:52:y:2006:i:8:p:1273-1287)
by Peter F. Christoffersen & Francis X. Diebold - The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well (RePEc:inm:ormnsc:v:55:y:2009:i:12:p:1914-1932)
by Peter Christoffersen & Steven Heston & Kris Jacobs - Evaluating Value-at-Risk Models with Desk-Level Data (RePEc:inm:ormnsc:v:57:y:2011:i:12:p:2213-2227)
by Jeremy Berkowitz & Peter Christoffersen & Denis Pelletier - Nonlinear Kalman Filtering in Affine Term Structure Models (RePEc:inm:ormnsc:v:60:y:2014:i:9:p:2248-2268)
by Peter Christoffersen & Christian Dorion & Kris Jacobs & Lotfi Karoui - Rare Disasters, Credit, and Option Market Puzzles (RePEc:inm:ormnsc:v:63:y:2017:i:5:p:1341-1364)
by Peter Christoffersen & Du Du & Redouane Elkamhi - Further Results on Forecasting and Model Selection under Asymmetric Loss (RePEc:jae:japmet:v:11:y:1996:i:5:p:561-71)
by Christoffersen, Peter F & Diebold, Francis X - Dating the Turning Points of Nordic Business Cycles (RePEc:kud:epruwp:00-13)
by Peter F. Christoffersen - Let's Get "Real" about Using Economic Data (RePEc:kud:epruwp:01-15)
by Peter Christoffersen & Eric Ghysels & Norman R. Swanson - Nonlinear Kalman Filtering in Affine Term Structure Models (RePEc:lvl:lacicr:1404)
by Peter Christoffersen & Christian Dorion & Kris Jacobs & Lotfi Karoui - Practical Volatility and Correlation Modeling for Financial Market Risk Management (RePEc:nbr:nberch:9618)
by Torben G. Andersen & Tim Bollerslev & Peter Christoffersen & Francis X. Diebold - Optimal Prediction Under Asymmetric Loss (RePEc:nbr:nberte:0167)
by Peter F. Christoffersen & Francis X. Diebold - Cointegration and Long-Horizon Forecasting (RePEc:nbr:nberte:0217)
by Peter F. Christoffersen & Francis X. Diebold - Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics (RePEc:nbr:nberwo:10009)
by Peter F. Christoffersen & Francis X. Diebold - Practical Volatility and Correlation Modeling for Financial Market Risk Management (RePEc:nbr:nberwo:11069)
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold - Volatility Forecasting (RePEc:nbr:nberwo:11188)
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold - Financial Risk Measurement for Financial Risk Management (RePEc:nbr:nberwo:18084)
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold - How Relevant is Volatility Forecasting for Financial Risk Management? (RePEc:nbr:nberwo:6844)
by Peter F. Christoffersen & Francis X. Diebold - Evaluating Value-at-Risk models with desk-level data (RePEc:ncs:wpaper:010)
by Jeremy Berkowitz & Peter Christoffersen & Denis Pelletier - Backtesting Value-at-Risk: A Duration-Based Approach (RePEc:oup:jfinec:v:2:y:2004:i:1:p:84-108)
by Peter Christoffersen - The Accuracy of Density Forecasts from Foreign Exchange Options (RePEc:oup:jfinec:v:3:y:2005:i:4:p:578-605)
by Peter Christoffersen & Stefano Mazzotta - Option-Implied Measures of Equity Risk (RePEc:oup:revfin:v:16:y:2011:i:2:p:385-428)
by Bo-Young Chang & Peter Christoffersen & Kris Jacobs & Gregory Vainberg - Dynamic Dependence and Diversification in Corporate Credit
[Asymmetric correlations of equity portfolios] (RePEc:oup:revfin:v:22:y:2018:i:2:p:521-560.)
by Peter Christoffersen & Kris Jacobs & Xisong Jin & Hugues Langlois - Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity
[Does realized skewness predict the cross-section of equity returns?] (RePEc:oup:revfin:v:25:y:2021:i:4:p:1261-1298.)
by Peter Christoffersen & Bruno Feunou & Yoontae Jeon & Chayawat Ornthanalai - Option Valuation with Conditional Heteroskedasticity and Nonnormality (RePEc:oup:rfinst:v:23:y:2010:i:5:p:2139-2183)
by Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs - Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices (RePEc:oup:rfinst:v:23:y:2010:i:8:p:3141-3189)
by Peter Christoffersen & Kris Jacobs & Karim Mimouni - Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (RePEc:oup:rfinst:v:25:y:2012:i:12:p:3711-3751)
by Peter Christoffersen & Vihang Errunza & Kris Jacobs & Hugues Langlois - Capturing Option Anomalies with a Variance-Dependent Pricing Kernel (RePEc:oup:rfinst:v:26:y:2013:i:8:p:1963-2006)
by Peter Christoffersen & Steven Heston & Kris Jacobs - The Factor Structure in Equity Options (RePEc:oup:rfinst:v:31:y:2018:i:2:p:595-637.)
by Peter Christoffersen & Mathieu Fournier & Kris Jacobs - Illiquidity Premia in the Equity Options Market (RePEc:oup:rfinst:v:31:y:2018:i:3:p:811-851.)
by Peter Christoffersen & Ruslan Goyenko & Kris Jacobs & Mehdi Karoui - Beta Risk in the Cross-Section of Equities (RePEc:oup:rfinst:v:33:y:2020:i:9:p:4318-4366.)
by Ali Boloorforoosh & Peter Christoffersen & Mathieu Fournier & Christian Gouriéroux & Stijn Van Nieuwerburgh - The State Price Density Implied by Crude Oil Futures and Option Prices (RePEc:oup:rfinst:v:35:y:2022:i:2:p:1064-1103.)
by Peter Christoffersen & Kris Jacobs & Xuhui (Nick) Pan - Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics (RePEc:pen:papers:04-009)
by Peter F. Christoffersen & Francis X.Diebold - Practical Volatility and Correlation Modeling for Financial Market Risk Management (RePEc:pen:papers:05-007)
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold - Volatility Forecasting (RePEc:pen:papers:05-011)
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold - Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence (RePEc:pen:papers:06-016)
by Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Anthony S. Tay & Yiu Kuen Tse - Financial Risk Measurement for Financial Risk Management (RePEc:pen:papers:11-037)
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold - Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore (RePEc:siu:wpaper:02-2005)
by Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Anthony S. Tay & Yiu Kuen Tse - How Relevant is Volatility Forecasting for Financial Risk Management? (RePEc:tpr:restat:v:82:y:2000:i:1:p:12-22)
by Peter F. Christoffersen & Francis X. Diebold - Optimal Prediction Under Asymmetric Loss (RePEc:wop:pennca:97-20)
by Peter F. Christoffersen & Francis X. Diebold - Optimal Prediction Under Asymmetric Loss (RePEc:wop:pennhp:_060)
by Christoffersen & Diebold - How Relevant is Volatility Forecasting for Financial Risk Management? (RePEc:wop:pennin:97-45)
by Peter F. Christoffersen & Francis X. Diebold - Horizon Problems and Extreme Events in Financial Risk Management (RePEc:wop:pennin:98-16)
by Peter F. Christoffersen & Francis X. Diebold & Til Schuermann - Testing, Comparing, and Combining Value at Risk Measures (RePEc:wop:pennin:99-44)
by Peter Christoffersen & Jinyong Hahn & Atsushi Inoue - Financial asset returns, direction-of-change forecasting, and volatility dynamics (RePEc:zbw:cfswop:200408)
by Christoffersen, Peter F. & Diebold, Francis X. - Practical volatility and correlation modeling for financial market risk management (RePEc:zbw:cfswop:200502)
by Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X. - Volatility forecasting (RePEc:zbw:cfswop:200508)
by Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X.