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Does realized skewness predict the cross-section of equity returns?

Amaya, Diego; Christoffersen, Peter F.; Jacobs, Kris; … - In: Journal of financial economics 118 (2015) 1, pp. 135-167

Persistent link: https://www.econbiz.de/10011480389

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

Do Asset Prices in Transition Countries Contain Information About Future Economic Activity?

Sløk, Torsten; Christoffersen, Peter F. - International Monetary Fund (IMF) - 2000

There is ample empirical evidence for developed economies that asset prices contain information about future economic developments. But is this also the case in transition economies? Using a panel of monthly data for the Czech Republic, Hungary, Poland, Russia, Slovakia, and Slovenia for the...

Persistent link: https://www.econbiz.de/10005599776

Time-varying crash risk : the role of stock market liquidity

Christoffersen, Peter F.; Feunou, Bruno; Jeon, Yoontae; … - 2016

embedded in index options. While market illiquidity and return volatility play complementary roles in explaining the time …-varying crash risk, the relative contribution of the volatility factor is weakened once we include market illiquidity as an economic …

Persistent link: https://www.econbiz.de/10011547569

Time-varying crash risk : the role of stock market liquidity

Christoffersen, Peter F.; Feunou, Bruno; Jeon, Yoontae; … - 2016

We estimate a continuous-time model with stochastic volatility and dynamic crash probability for the S&P 500 index and …

Persistent link: https://www.econbiz.de/10011517122

The joint dynamics of equity market factors

Christoffersen, Peter F.; Langlois, Hugues - 2011

Persistent link: https://www.econbiz.de/10009385098

Is the potential for international diversification disappearing? : a dynamic copula approach

Christoffersen, Peter F.; Errunza, Vihang R.; Jacobs, Kris - In: The review of financial studies 25 (2012) 12, pp. 3611-3751

Persistent link: https://www.econbiz.de/10009714147

The joint dynamics of equity market factors

Christoffersen, Peter F.; Langlois, Hugues - In: Journal of financial and quantitative analysis : JFQA 48 (2013) 5, pp. 1371-1404

Persistent link: https://www.econbiz.de/10010343643

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

Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence

Christoffersen, Peter F.; Diebold, Francis X.; Mariano, … - East Asian Bureau of Economic Research (EABER) - 2006

Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset … return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced …

Persistent link: https://www.econbiz.de/10009363828