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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-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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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
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GARCH option valuation : theory and evidence
Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - 2012
Persistent link: https://www.econbiz.de/10009667377
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Nonlinear Kalman filtering in affine term structure models
Christoffersen, Peter F.; Dorion, Christian; Jacobs, Kris; … - 2012
Persistent link: https://www.econbiz.de/10009667381
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Is the potential for international diversivication disappearing? : a dynamic copula approach
Christoffersen, Peter F.; Errunza, Vihang R.; Jacobs, Kris - 2012
Persistent link: https://www.econbiz.de/10009667396
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Correlation dynamics and international diversification benefits
Christoffersen, Peter F.; Errunza, Vihang R.; Jacobs, Kris - 2013
Persistent link: https://www.econbiz.de/10010226790
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Illiquidity premia in the equity options market
Christoffersen, Peter F.; Goyenko, Ruslan; Jacobs, Kris; … - 2013
Persistent link: https://www.econbiz.de/10010226833