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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 - In: Management science : journal of the Institute for … 55 (2009) 12, pp. 1914-1932
Persistent link: https://www.econbiz.de/10003928488
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Evaluating value-at-risk models with desk-level data
Berkowitz, Jeremy; Christoffersen, Peter F.; Pelletier, … - In: Management science : journal of the Institute for … 57 (2011) 12, pp. 2213-2227
Persistent link: https://www.econbiz.de/10009428250
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Nonlinear Kalman filtering in affine term structure models
Christoffersen, Peter F.; Dorion, Christian; Jacobs, Kris; … - In: Management science : journal of the Institute for … 60 (2014) 9, pp. 2248-2268
Persistent link: https://www.econbiz.de/10010461908
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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
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Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics
Christoffersen, Peter F.; Diebold, Francis X. - In: Management science : journal of the Institute for … 52 (2006) 8, pp. 1273-1287
Persistent link: https://www.econbiz.de/10007290190
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Which GARCH Model for Option Valuation?
Christoffersen, Peter; Jacobs, Kris - In: Management science : journal of the Institute for … 50 (2004) 9, pp. 1204-1221
Persistent link: https://www.econbiz.de/10006080250
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Evaluating Value-at-Risk Models with Desk-Level Data
Berkowitz, Jeremy; Christoffersen, Peter; Pelletier, Denis - In: Management science : journal of the Institute for … 57 (2011) 12, pp. 2213-2228
Persistent link: https://www.econbiz.de/10009809941