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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
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Market skewness risk and the cross section of stock returns
Chang, Bo Young; Christoffersen, Peter F.; Jakobs, Kris - In: Journal of financial economics 107 (2013) 1, pp. 46-68
Persistent link: https://www.econbiz.de/10009715175
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GARCH option valuation : theory and evidence
Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - In: The journal of derivatives : the official publication … 21 (2013) 2, pp. 8-41
Persistent link: https://www.econbiz.de/10010358127
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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
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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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Dynamic diversi cation in corporate credit
Christoffersen, Peter F.; Jacobs, Kris; Jin, Xisong; … - 2013
Persistent link: https://www.econbiz.de/10010226838
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Rare disasters and credit market puzzles
Christoffersen, Peter F.; Du, Du; Elkamhi, Redouane - 2013
Persistent link: https://www.econbiz.de/10010226839
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Does realized skewness predict the cross-section of equity returns?
Amaya, Diego; Christoffersen, Peter F.; Jacobs, Kris; … - 2013
Persistent link: https://www.econbiz.de/10010226861
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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 dynamic crash probability using the S&P500 index options and high-frequency information. We find that market illiquidity is an important factor in explaining the time-varying stock market crash risk embedded in index options. While market illiquidity and...
Persistent link: https://www.econbiz.de/10011547569