Peter Christoffersen
Peter Christoffersen
Rotman School of Management, University of Toronto
Verified email at rotman.utoronto.ca - Homepage
Title
Cited by
Cited by
Year
Evaluating interval forecasts
PF Christoffersen
International economic review, 841-862, 1998
28961998
Elements of financial risk management
P Christoffersen
Academic Press, 2011
8282011
Volatility and correlation forecasting
TG Andersen, T Bollerslev, PF Christoffersen, FX Diebold
Handbook of economic forecasting 1, 777-878, 2006
5392006
Backtesting value-at-risk: A duration-based approach
P Christoffersen, D Pelletier
Journal of Financial Econometrics 2 (1), 84-108, 2004
5222004
The shape and term structure of the index option smirk: Why multifactor stochastic volatility models work so well
P Christoffersen, S Heston, K Jacobs
Management Science 55 (12), 1914-1932, 2009
4672009
Is the potential for international diversification disappearing? A dynamic copula approach
P Christoffersen, V Errunza, K Jacobs, H Langlois
The Review of Financial Studies 25 (12), 3711-3751, 2012
4182012
Evaluating value-at-risk models with desk-level data
J Berkowitz, P Christoffersen, D Pelletier
Management Science 57 (12), 2213-2227, 2011
4122011
Optimal prediction under asymmetric loss
PF Christoffersen, FX Diebold
National Bureau of Economic Research Working Paper Series, 1994
4081994
How relevant is volatility forecasting for financial risk management?
PF Christoffersen, FX Diebold
Review of Economics and Statistics 82 (1), 12-22, 2000
3862000
Market skewness risk and the cross section of stock returns
BY Chang, P Christoffersen, K Jacobs
Journal of Financial Economics 107 (1), 46-68, 2013
3522013
Option valuation with long-run and short-run volatility components
P Christoffersen, K Jacobs, C Ornthanalai, Y Wang
Journal of Financial Economics 90 (3), 272-297, 2008
3132008
Testing and comparing value-at-risk measures
P Christoffersen, J Hahn, A Inoue
Journal of empirical finance 8 (3), 325-342, 2001
2972001
The importance of the loss function in option valuation
P Christoffersen, K Jacobs
Journal of Financial Economics 72 (2), 291-318, 2004
2942004
Which GARCH model for option valuation?
P Christoffersen, K Jacobs
Management science 50 (9), 1204-1221, 2004
2872004
Option valuation with conditional skewness
P Christoffersen, S Heston, K Jacobs
Journal of Econometrics 131 (1-2), 253-284, 2006
2762006
Does realized skewness predict the cross-section of equity returns?
D Amaya, P Christoffersen, K Jacobs, A Vasquez
Journal of Financial Economics 118 (1), 135-167, 2015
2752015
Financial asset returns, direction-of-change forecasting, and volatility dynamics
PF Christoffersen, FX Diebold
Management Science 52 (8), 1273-1287, 2006
2642006
Volatility dynamics for the S&P500: Evidence from realized volatility, daily returns, and option prices
P Christoffersen, K Jacobs, K Mimouni
The Review of Financial Studies 23 (8), 3141-3189, 2010
2622010
From inflation to growth
P Christoffersen, P Doyle
Economics of Transition 8 (2), 421-451, 2000
2412000
Cointegration and long-horizon forecasting
PF Christoffersen, FX Diebold
Journal of Business & Economic Statistics 16 (4), 450-456, 1998
2381998
The system can't perform the operation now. Try again later.
Articles 1–20