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~person:"Christoffersen, Peter F."
~subject:"Capital income"
~subject:"Volatility"
~type_genre:"Article in journal"
~type_genre:"Aufsatz im Buch"
~type_genre:"Bibliografie enthalten"
~type_genre:"Bibliography included"
~type_genre:"Konferenzschrift"
~type_genre:"Statistik"
~type_genre:"Übersichtsarbeit"
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Capital income
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18
Theory
18
Volatilität
17
Option pricing theory
15
Optionspreistheorie
15
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10
ARCH-Modell
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Christoffersen, Peter F.
Gupta, Rangan
40
Zaremba, Adam
40
Fabozzi, Frank J.
38
McAleer, Michael
36
Bollerslev, Tim
31
Andersen, Torben
28
Kumar, Dilip
27
Tiwari, Aviral Kumar
27
Todorov, Viktor
27
Wang, Yudong
27
Zhang, Jin E.
27
Bali, Turan G.
26
Madan, Dilip B.
26
Guidolin, Massimo
25
McMillan, David G.
25
Tauchen, George Eugene
25
Escobar, Marcos
24
Hammoudeh, Shawkat
24
Satchell, Stephen
24
Timmermann, Allan
24
Carr, Peter
23
Wohar, Mark E.
23
Cui, Zhenyu
22
Zhou, Guofu
22
Asai, Manabu
21
Auer, Benjamin R.
21
Bouri, Elie
21
Chiarella, Carl
21
Diebold, Francis X.
21
Račev, Svetlozar T.
21
Benth, Fred Espen
20
Brooks, Robert
20
Caporin, Massimiliano
20
Mensi, Walid
20
Zhang, Wei
20
Ghysels, Eric
19
Li, Jia
19
Renault, Eric
19
Aït-Sahalia, Yacine
18
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Journal of financial economics
5
Journal of banking & finance
2
The review of financial studies
2
Economic policy review
1
Financial services at the crossroads: capital regulation in the twenty-first century
1
Handbook of economic forecasting ; Vol. 1
1
Handbook of economic forecasting ; Volume 2A
1
International journal of forecasting
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial and quantitative analysis : JFQA
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
Review of asset pricing studies
1
Review of finance : journal of the European Finance Association
1
The review of economics and statistics
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ECONIS (ZBW)
19
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1
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19
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1
The factor structure in equity options
Christoffersen, Peter F.
;
Fournier, Mathieu
;
Jacobs, Kris
- In:
The review of financial studies
31
(
2018
)
2
,
pp. 595-637
Persistent link: https://www.econbiz.de/10011925246
Saved in:
2
Time-varying crash risk embedded in index options : the role of stock market liquidity
Christoffersen, Peter F.
;
Feunou, Bruno
;
Jeon, Yoontae
; …
- In:
Review of finance : journal of the European Finance …
25
(
2021
)
4
,
pp. 1261-1298
Persistent link: https://www.econbiz.de/10012594641
Saved in:
3
Rare disasters, credit, and option market puzzles
Christoffersen, Peter F.
;
Du, Du
;
Elkamhi, Redouane
- In:
Management science : journal of the Institute for …
63
(
2017
)
5
,
pp. 1341-1364
Persistent link: https://www.econbiz.de/10011684726
Saved in:
4
Correlation dynamics and international diversification benefits
Christoffersen, Peter F.
;
Errunza, Vihang R.
;
Jacobs, Kris
- In:
International journal of forecasting
30
(
2014
)
3
,
pp. 807-824
Persistent link: https://www.econbiz.de/10010516049
Saved in:
5
Option valuation with volatility components, fat tails, and nonmonotonic pricing Kernels
Babaoğlu, Kadir
;
Christoffersen, Peter F.
;
Heston, …
- In:
Review of asset pricing studies
8
(
2018
)
2
,
pp. 183-231
Persistent link: https://www.econbiz.de/10012002169
Saved in:
6
Oil volatility risk and expected stock returns
Christoffersen, Peter F.
;
Pan, Xuhui
- In:
Journal of banking & finance
95
(
2018
),
pp. 5-26
Persistent link: https://www.econbiz.de/10011966688
Saved in:
7
Option valuation with long-run and short-run volatility components
Christoffersen, Peter F.
;
Jacobs, Kris
;
Ornthanalai, …
- In:
Journal of financial economics
90
(
2008
)
3
,
pp. 272-297
Persistent link: https://www.econbiz.de/10003833351
Saved in:
8
A comment on Christoffersen, Jacobs, and Ornthanalai (2012), "Dynamic jump intensities and risk premiums : evidence from S&P 500 returns and options"
Durham, Garland
;
Geweke, John
;
Ghosh, Pulak
- In:
Journal of financial economics
115
(
2015
)
1
,
pp. 210-214
Persistent link: https://www.econbiz.de/10011327221
Saved in:
9
Option valuation with observable volatility and jump dynamics
Christoffersen, Peter F.
;
Feunou, Bruno
;
Jeon, Yoontae
- In:
Journal of banking & finance
61
(
2015
)
2
,
pp. 101-120
Persistent link: https://www.econbiz.de/10011585489
Saved in:
10
The economic value of realized volatility : using high-frequency returns for option valuation
Christoffersen, Peter F.
;
Feunou, Bruno
;
Jacobs, Kris
; …
- In:
Journal of financial and quantitative analysis : JFQA
49
(
2014
)
3
,
pp. 663-697
Persistent link: https://www.econbiz.de/10010487742
Saved in:
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