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Option-based estimation of the price of co-skewness and co-kurtosis risk
Christoffersen, Peter F.; Fournier, Mathieu; Jacobs, Kris; … - 2015
Persistent link: https://www.econbiz.de/10011398632
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The factor structure in equity options
Christoffersen, Peter F.; Fournier, Mathieu; Jacobs, Kris - 2013
Persistent link: https://www.econbiz.de/10010226837
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Dating the turning points of nordic business cycles
Christoffersen, Peter F. - 2000
Persistent link: https://www.econbiz.de/10014378777
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Volatility forecasting
Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2005
Persistent link: https://www.econbiz.de/10002685057
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Practical volatility and correlation modeling for financial market risk management
Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2005
Persistent link: https://www.econbiz.de/10003350610
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Volatility forecasting
Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2005
Persistent link: https://www.econbiz.de/10003350800
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Option valuation with conditional heteroskedasticity and non-normality
Christoffersen, Peter F. (contributor) - 2009
Persistent link: https://www.econbiz.de/10003865667
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The shape and term structure of the index option smirk : why multifactor stochastic volatility models work so well
Christoffersen, Peter F.; Heston, Steven L.; Jacobs, Kris - 2009
Persistent link: https://www.econbiz.de/10003865680
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Evaluating value-at-risk models with desk-level data
Christoffersen, Peter F.; Berkowitz, Jeremy; Pelletier, … - 2009
Persistent link: https://www.econbiz.de/10003865687
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Option valuation with volatility components, fat tails, and nonlinear pricing kernels
Babaoğlu, Kadir; Christoffersen, Peter F.; Heston, … - 2015
Persistent link: https://www.econbiz.de/10011398641