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Beta risk in the cross-section...
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Theorie
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Gouriéroux, Christian
433
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195
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192
Jacobs, Kris
149
Monfort, Alain
111
Diebold, Francis X.
100
Jasiak, Joann
61
Bollerslev, Tim
40
Gagliardini, Patrick
35
Andersen, Torben G.
29
Darolles, Serge
28
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24
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Ornthanalai, Chayawat
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20
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Renne, Jean-Paul
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Broze, Laurence
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Scaillet, Olivier
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Chang, Bo Young
13
Heston, Steven L.
13
Elkamhi, Redouane
12
Gouriéroux, C.
12
Jin, Xisong
12
Lu, Yang
12
Szafarz, Ariane
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Wang, Yintian
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11
Dorion, Christian
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Errunza, Vihang R.
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11
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11
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10
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10
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Série des documents de travail / Centre de Recherche en Économie et Statistique
99
Journal of econometrics
35
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
33
CREATES Research Papers
25
Centre d'Etudes Prospectives d'Economie Mathématique Appliquées à la Planification : CEPREMAP
22
CREATES research paper
21
CIRANO Working Papers
20
Working Papers / Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES)
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Annales d'économie et de statistique
18
Série des documents de travail
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Econometric theory
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Rotman School of Management Working Paper
13
The review of financial studies
13
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12
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10
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ECONIS (ZBW)
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61
The economic value of realized volatility : using high-frequency returns for option valuation
Christoffersen, Peter F.
;
Feunou, Bruno
;
Jacobs, Kris
; …
- In:
Journal of financial and quantitative analysis : JFQA
49
(
2014
)
3
,
pp. 663-697
Persistent link: https://www.econbiz.de/10010487742
Saved in:
62
Forecasting with option implied information
Christoffersen, Peter F.
;
Jacobs, Kris
;
Chang, Bo Young
-
2011
Persistent link: https://www.econbiz.de/10009385092
Saved in:
63
The joint dynamics of equity market factors
Christoffersen, Peter F.
;
Langlois, Hugues
-
2011
Persistent link: https://www.econbiz.de/10009385098
Saved in:
64
Illiquidity premia in the equity options market
Christoffersen, Peter F.
(
contributor
)
-
2011
Persistent link: https://www.econbiz.de/10009385121
Saved in:
65
Financial risk measurement for financial risk management
Andersen, Torben
;
Bollerslev, Tim
;
Christoffersen, Peter F.
-
2011
Persistent link: https://www.econbiz.de/10009389307
Saved in:
66
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
Saved in:
67
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
Saved in:
68
Financial asset returns, direction-of-change forecasting, and volatility dynamics
Christoffersen, Peter F.
(
contributor
); …
-
2003
Persistent link: https://www.econbiz.de/10003349891
Saved in:
69
Backtesting value-at-risk : a duration-based approach
Christoffersen, Peter F.
;
Pelletier, Denis
- In:
Journal of financial econometrics : official journal of …
2
(
2004
)
1
,
pp. 84-108
Persistent link: https://www.econbiz.de/10002214210
Saved in:
70
Option valuation with conditional skewness
Christoffersen, Peter F.
;
Heston, Steven L.
;
Jacobs, Kris
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 253-284
Persistent link: https://www.econbiz.de/10003298580
Saved in:
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