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~person:"Christoffersen, Peter F."
~subject:"Volatility"
~type_genre:"Article in journal"
~type_genre:"Aufsatz im Buch"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Bibliografie enthalten"
~type_genre:"Bibliography included"
~type_genre:"Konferenzschrift"
~type_genre:"Statistik"
~type_genre:"Übersichtsarbeit"
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Volatility
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18
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17
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15
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10
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Christoffersen, Peter F.
McAleer, Michael
34
Bollerslev, Tim
30
Andersen, Torben
27
Todorov, Viktor
27
Gupta, Rangan
26
Kumar, Dilip
26
Escobar, Marcos
23
Zhang, Jin E.
23
Carr, Peter
22
Cui, Zhenyu
22
Tauchen, George Eugene
22
Wang, Yudong
20
Benth, Fred Espen
19
Chiarella, Carl
19
Fabozzi, Frank J.
19
Asai, Manabu
18
Li, Jia
18
Mensi, Walid
18
Renault, Eric
18
Aït-Sahalia, Yacine
17
Ghysels, Eric
17
Hammoudeh, Shawkat
17
Tiwari, Aviral Kumar
17
Fouque, Jean-Pierre
16
Maheswaran, S.
16
Wang, Xingchun
16
Bouri, Elie
15
Caporin, Massimiliano
15
Elliott, Robert J.
15
Herwartz, Helmut
15
Härdle, Wolfgang
15
Kang, Sang Hoon
15
Madan, Dilip B.
15
Renò, Roberto
15
Takahashi, Akihiko
15
Bali, Turan G.
14
Wu, Liuren
14
Clements, Adam
13
Hafner, Christian M.
13
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Journal of financial economics
4
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
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)
17
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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
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:
5
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:
6
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:
7
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:
8
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:
9
Market skewness risk and the cross section of stock returns
Chang, Bo Young
;
Christoffersen, Peter F.
;
Jakobs, Kris
- In:
Journal of financial economics
107
(
2013
)
1
,
pp. 46-68
Persistent link: https://www.econbiz.de/10009715175
Saved in:
10
Forecasting with option-implied information
Christoffersen, Peter F.
;
Jacobs, Kris
;
Chang, Bo Young
-
2013
Persistent link: https://www.econbiz.de/10011507021
Saved in:
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