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~institution:"Europäische Kommission / Generaldirektion Wirtschaft und Finanzen"
~institution:"Europäischer Ausschuss der Regionen"
~institution:"School of Economics and Management, University of Aarhus"
~person:"Christoffersen, Peter"
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Christoffersen, Peter
Nielsen, Morten Ørregaard
18
Haldrup, Niels
15
Kruse, Robinson
15
Teräsvirta, Timo
13
Christensen, Bent Jesper
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Johansen, Søren
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Magistris, Paolo Santucci de
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Sørensen, Michael
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Bollerslev, Tim
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Kristensen, Dennis
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Carone, Giuseppe
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Christiansen, Charlotte
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Dahl, Christian M.
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Kock, Anders Bredahl
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Nielsen, Frank S.
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Nielsen, Morten Oe.
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Nonejad, Nima
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Proietti, Tommaso
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Rossi, Eduardo
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Sibbertsen, Philipp
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Andersen, Torben G.
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Aslanidis, Nektarios
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Medeiros, Marcelo C.
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Nielsen, Morten Oerregaard
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Europäische Kommission / Generaldirektion Wirtschaft und Finanzen
Europäischer Ausschuss der Regionen
School of Economics and Management, University of Aarhus
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
4
Department of Economics, Poole College of Management
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Volatility
Components, Affine Restrictions and Non-Normal Innovations
Christoffersen, Peter
;
Dorion, Kris
;
Wang, Yintian
-
School of Economics and Management, University of Aarhus
-
2008
Recent work by Engle and Lee (1999) shows that allowing for long-run and short-run components greatly enhances a GARCH model’s ability fit daily equity return dynamics. Using the risk-neutralization in Duan (1995), we assess the option valuation performance of the Engle-Lee model and compare...
Persistent link: https://www.econbiz.de/10005440037
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2
Rare Disasters and Credit Market Puzzles
Christoffersen, Peter
;
Du, Du
;
Elkamhi, Redouane
-
School of Economics and Management, University of Aarhus
-
2013
empirical regularities in credit markets. Our model captures the empirical level and
volatility
of credit spreads, generates a …
Persistent link: https://www.econbiz.de/10010851248
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3
Forecasting with Option Implied Information
Christoffersen, Peter
;
Jacobs, Kris
;
Chang, Bo Young
-
School of Economics and Management, University of Aarhus
-
2011
volatility
, skewness, kurtosis, and density forecasting. More generally, we discuss how any forecasting object which is a twice …
Persistent link: https://www.econbiz.de/10009385753
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4
Evaluating Value-at-Risk Models with Desk-Level Data
Christoffersen, Peter
;
Berkowitz, Jeremy
;
Pelletier, Denis
-
School of Economics and Management, University of Aarhus
-
2008
We present new evidence on disaggregated profit and loss (P/L) and Value-at-Risk (VaR) forecasts obtained from a large international commercial bank. Our dataset includes the actual daily P/L generated by four separate business lines within the bank. All four business lines are involved in...
Persistent link: https://www.econbiz.de/10005037434
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