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Christoffersen, Peter's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
34,876 |
Total
Citations
685 |
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1.
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Christoffersen, Peter
University of Toronto - Rotman School of Management Hahn, Jinyong
University of California, Los Angeles Inoue, Atsushi
North Carolina State University - Department of Agricultural & Resource Economics
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2,276
(2,260)
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21
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2.
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How Relevant is Volatility Forecasting for Financial Risk Management?
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Versions (4)
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Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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Posted:
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18 Jan 98
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Last Revised:
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11 Oct 10
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2,143
(2,515)
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44
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Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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87
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44
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Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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795
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44
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Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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40
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44
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Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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1,221
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44
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3.
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The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well
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Versions (2)
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Christoffersen, Peter
University of Toronto - Rotman School of Management Heston, Steven L.
University of Maryland - Department of Finance Jacobs, Kris
University of Houston - C.T. Bauer College of Business
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Posted:
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05 Feb 07
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Last Revised:
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13 Aug 09
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2,114
(2,581)
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21
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Christoffersen, Peter
University of Toronto - Rotman School of Management Heston, Steven L.
University of Maryland - Department of Finance Jacobs, Kris
University of Houston - C.T. Bauer College of Business
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646
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21
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stochastic correlation, stochastic volatility, equity index options, multifactor model, persistence, affine, out-of-sample
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Christoffersen, Peter
University of Toronto - Rotman School of Management Heston, Steven L.
University of Maryland - Department of Finance Jacobs, Kris
University of Houston - C.T. Bauer College of Business
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05 Feb 07
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Last Revised:
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22 Feb 09
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1,468
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21
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stochastic correlation, stochastic volatility, equity index options, multifactor model, persistence, affine, out-of-sample
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4.
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Forward-Looking Betas
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Christoffersen, Peter
University of Toronto - Rotman School of Management Jacobs, Kris
University of Houston - C.T. Bauer College of Business Vainberg, Gregory
McGill University - Desautels Faculty of Management
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Posted:
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17 Mar 06
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Last Revised:
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13 Aug 08
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1,970
(2,903)
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13
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Christoffersen, Peter
University of Toronto - Rotman School of Management Jacobs, Kris
University of Houston - C.T. Bauer College of Business Vainberg, Gregory
McGill University - Desautels Faculty of Management
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267
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13
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market beta, CAPM, historical, forward-looking, option-implied, capital budgeting, event studies, model-free moments
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Christoffersen, Peter
University of Toronto - Rotman School of Management Jacobs, Kris
University of Houston - C.T. Bauer College of Business Vainberg, Gregory
McGill University - Desautels Faculty of Management
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| Posted: |
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17 Mar 06
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Last Revised:
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02 May 08
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1,703
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13
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Market beta, CAPM, historical, forward-looking, option-implied, capital budgeting, event studies, model-free volatility, model-free skewness
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5.
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Volatility Forecasting
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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Posted:
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28 Feb 05
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Last Revised:
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29 Jul 10
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1,927
(3,009)
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13
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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121
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13
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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1,806
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13
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6.
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Christoffersen, Peter
University of Toronto - Rotman School of Management Jacobs, Kris
University of Houston - C.T. Bauer College of Business Mimouni, Karim
McGill University - Desautels Faculty of Management
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| Posted: |
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24 Aug 06
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Last Revised:
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25 Sep 09
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1,687
(3,801)
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25
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Stochastic volatility, option valuation, particle filtering, skewness, kurtosis, mean reversion
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7.
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Practical Volatility and Correlation Modeling for Financial Market Risk Management
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Versions (2)
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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Posted:
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21 Jan 05
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Last Revised:
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13 Mar 05
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1,619
(4,069)
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27
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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127
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27
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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1,492
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27
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None
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8.
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Christoffersen, Peter
University of Toronto - Rotman School of Management Errunza, Vihang R.
McGill University - Desautels Faculty of Management Jacobs, Kris
University of Houston - C.T. Bauer College of Business Jin, Xisong
University of Luxembourg - Luxembourg School of Finance
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1,419
(5,138)
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5
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international asset pricing, asset allocation, dynamic conditional correlation (DCC), dynamic equicorrelation (DECO), dynamic copula
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9.
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Christoffersen, Peter
University of Toronto - Rotman School of Management Jacobs, Kris
University of Houston - C.T. Bauer College of Business Heston, Steven L.
University of Maryland - Department of Finance
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| Posted: |
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22 Jan 10
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Last Revised:
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07 Jun 12
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876
(11,389)
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2
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Pricing kernel, stochastic volatility, overreaction, variance risk
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10.
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Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics Schuermann, Til
Oliver Wyman
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866
(11,636)
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20
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capital regulation
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11.
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Chang, Bo Young
Bank of Canada Christoffersen, Peter
University of Toronto - Rotman School of Management Jacobs, Kris
University of Houston - C.T. Bauer College of Business Vainberg, Gregory
McGill University - Desautels Faculty of Management
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| Posted: |
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11 Jun 09
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Last Revised:
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23 Jan 12
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856
(11,826)
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13
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market beta, CAPM, historical, capital budgeting, model-free moments
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12.
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Amaya, Diego
University of Quebec at Montreal (UQAM) - Finance Department Christoffersen, Peter
University of Toronto - Rotman School of Management Jacobs, Kris
University of Houston - C.T. Bauer College of Business Vasquez, Aurelio
Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration
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| Posted: |
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31 Jul 11
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Last Revised:
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22 Feb 13
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781
(13,613)
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2
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Realized volatility, skewness, kurtosis, equity markets, cross-section of stock returns
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13.
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Christoffersen, Peter
University of Toronto - Rotman School of Management Jacobs, Kris
University of Houston - C.T. Bauer College of Business Ornthanalai, Chayawat
University of Toronto - Rotman School of Management Wang, Yintian
McGill University - Desautels Faculty of Management
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| Posted: |
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11 Feb 05
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Last Revised:
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22 Jan 12
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774
(13,821)
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34
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Option valuation, long-run component, short-run component, unobserved components, persistence, GARCH, out-of-sample, Volatility term structure
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14.
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Christoffersen, Peter
University of Toronto - Rotman School of Management Errunza, Vihang R.
McGill University - Desautels Faculty of Management
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758
(14,257)
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1
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15.
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Option Valuation with Conditional Heteroskedasticity and Non-Normality
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Christoffersen, Peter
University of Toronto - Rotman School of Management Elkamhi, Redouane
University of Iowa - Henry B. Tippie College of Business Feunou, Bruno
Bank of Canada Jacobs, Kris
University of Houston - C.T. Bauer College of Business
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Posted:
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08 Feb 07
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Last Revised:
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13 Aug 09
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750
(14,454)
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33
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Christoffersen, Peter
University of Toronto - Rotman School of Management Elkamhi, Redouane
University of Iowa - Henry B. Tippie College of Business Feunou, Bruno
Bank of Canada Jacobs, Kris
University of Houston - C.T. Bauer College of Business
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159
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33
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GARCH, risk-neutral valuation, no-arbitrage, non-normal innovations
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Christoffersen, Peter
University of Toronto - Rotman School of Management Elkamhi, Redouane
University of Iowa - Henry B. Tippie College of Business Feunou, Bruno
Bank of Canada Jacobs, Kris
University of Houston - C.T. Bauer College of Business
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| Posted: |
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08 Feb 07
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Last Revised:
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13 Aug 09
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591
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33
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GARCH, risk-neutral valuation, no-arbitrage, non-normal innovations
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16.
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Financial Risk Measurement for Financial Risk Management
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Show Abstracts |
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Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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Posted:
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07 Nov 11
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Last Revised:
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19 May 12
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749
(14,482)
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44
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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44
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44
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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705
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44
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Market risk, volatility, GARCH
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17.
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Christoffersen, Peter
University of Toronto - Rotman School of Management Jacobs, Kris
University of Houston - C.T. Bauer College of Business Ornthanalai, Chayawat
University of Toronto - Rotman School of Management
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| Posted: |
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07 Mar 08
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Last Revised:
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22 Jan 12
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690
(16,332)
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1
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compound Poisson process, option valuation, filtering, volatility jumps, jump risk premia, time-varying jump intensity, heteroskedasticity
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18.
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Chang, Bo Young
Bank of Canada Christoffersen, Peter
University of Toronto - Rotman School of Management Jacobs, Kris
University of Houston - C.T. Bauer College of Business
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669
(17,072)
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13
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skewness risk, cross-section, ICAPM, volatility risk, option-implied moments
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19.
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Christoffersen, Peter
University of Toronto - Rotman School of Management Jacobs, Kris
University of Houston - C.T. Bauer College of Business
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| Posted: |
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25 Apr 02
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Last Revised:
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16 Jun 08
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629
(18,673)
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29
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option pricing, GARCH, risk-neutral pricing, parsimony, forecasting, out-of-sample
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20.
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Jacobs, Kris
University of Houston - C.T. Bauer College of Business Christoffersen, Peter
University of Toronto - Rotman School of Management
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609
(19,561)
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Option Pricing, GARCH, Risk-neutral Pricing, Parsimony, Forecasting, Out-of-sample
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21.
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Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics Mariano, Roberto S.
Singapore Management University Tay, Anthony S.
National University of Singapore (NUS) - Department of Economics Tse, Yiu Kuen
Singapore Management University - School of Economics & Social Sciences
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589
(20,444)
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4
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Volatility, variance, skewness, kurtosis, market timing, asset management, asset allocation, portfolio management
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22.
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Cointegration and Long-Horizon Forecasting
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Versions (3)
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Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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Posted:
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22 Jan 98
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Last Revised:
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07 Aug 10
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578
(20,997)
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14
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Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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39
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14
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Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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39
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14
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Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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500
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14
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23.
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Backtesting Value-at-Risk: A Duration-Based Approach
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Christoffersen, Peter
University of Toronto - Rotman School of Management Pelletier, Denis
North Carolina State University - Department of Economics
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Posted:
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20 Jul 03
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Last Revised:
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29 Jul 10
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576
(21,081)
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22
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Christoffersen, Peter
University of Toronto - Rotman School of Management Pelletier, Denis
North Carolina State University - Department of Economics
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0
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GARCH, kurtosis, risk model evaluation
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Christoffersen, Peter
University of Toronto - Rotman School of Management Pelletier, Denis
North Carolina State University - Department of Economics
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576
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22
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24.
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Financial Asset Returns, Direction-of-Change Forecasting and Volatility Dynamics
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Versions (3)
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Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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Posted:
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05 Oct 03
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Last Revised:
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19 Sep 09
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547
(22,639)
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26
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Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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146
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26
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Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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373
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26
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Conditional Mean Dependence, Conditional Volatility
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Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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28
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26
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25.
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Berkowitz, Jeremy
University of Houston - Department of Finance Christoffersen, Peter
University of Toronto - Rotman School of Management Pelletier, Denis
North Carolina State University - Department of Economics
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535
(23,287)
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25
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Risk Management, Backtesting, Volatility, Disclosure
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26.
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Christoffersen, Peter
University of Toronto - Rotman School of Management Heston, Steven L.
University of Maryland - Department of Finance Jacobs, Kris
University of Houston - C.T. Bauer College of Business
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533
(23,417)
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40
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GARCH, out-of-sample, jumps, discrete-time model, continuous-time limit
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27.
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Interest Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk
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Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Christoffersen, Peter
University of Toronto - Rotman School of Management Giorgianni, Lorenzo
International Monetary Fund (IMF)
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Posted:
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26 Oct 99
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Last Revised:
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10 Feb 06
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517
(24,476)
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1
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Christoffersen, Peter
University of Toronto - Rotman School of Management Giorgianni, Lorenzo
International Monetary Fund (IMF)
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109
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1
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Time-varying Parameters, Cointegration, Exchange Rates
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Christoffersen, Peter
University of Toronto - Rotman School of Management Giorgianni, Lorenzo
International Monetary Fund (IMF)
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408
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1
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28.
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Christoffersen, Peter
University of Toronto - Rotman School of Management Jacobs, Kris
University of Houston - C.T. Bauer College of Business Chang, Bo Young
Bank of Canada
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| Posted: |
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08 Dec 11
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Last Revised:
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11 Jul 12
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512
(24,740)
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3
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Volatility, skewness, kurtosis, density forecasting, risk-neutral
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29.
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Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
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464
(28,112)
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9
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Financial Asset Returns, Market Timing, and Volatility Dynamics
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30.
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Christoffersen, Peter
University of Toronto - Rotman School of Management Jacobs, Kris
University of Houston - C.T. Bauer College of Business
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422
(31,808)
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38
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option valuation, implied volatility, practitioner Black-Scholes approach, pricing errors, loss functions, out-of-sample forecasting, parameter stability
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31.
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Volatility Components, Affine Restrictions and Non-Normal Innovations
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Show Abstracts |
Hide Abstracts |
Versions (2)
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Export Bibliographic Info |
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Christoffersen, Peter
University of Toronto - Rotman School of Management Dorion, Christian
HEC Montreal Jacobs, Kris
University of Houston - C.T. Bauer College of Business Wang, Yintian
McGill University - Desautels Faculty of Management
|
|
Posted:
|
|
05 May 08
|
|
Last Revised:
|
|
13 Jan 09
|
|
412
(32,863)
|
8
|
|
|
|
|
Christoffersen, Peter
University of Toronto - Rotman School of Management Jacobs, Kris
University of Houston - C.T. Bauer College of Business Dorion, Christian
HEC Montreal Wang, Yintian
McGill University - Desautels Faculty of Management
|
|
93
|
8
|
|
| |
|
| |
Volatility, Component Model, GARCH, Long Memory, Option Valuation, Affine, Normality
|
|
|
|
|
|
|
Christoffersen, Peter
University of Toronto - Rotman School of Management Dorion, Christian
HEC Montreal Jacobs, Kris
University of Houston - C.T. Bauer College of Business Wang, Yintian
McGill University - Desautels Faculty of Management
|
| Posted: |
|
05 May 08
|
|
Last Revised:
|
|
21 Nov 08
|
|
319
|
8
|
|
| |
|
| |
Volatility, Component Model, GARCH, Long Memory, Option Valuation, Affine, Normality
|
|
|
|
|
|
32.
|
|
|
Christoffersen, Peter
University of Toronto - Rotman School of Management Langlois, Hugues
McGill University - Desautels Faculty of Management
|
| Posted: |
|
10 Sep 11
|
|
Last Revised:
|
|
11 Jul 12
|
|
398
(34,333)
|
|
|
| |
|
| |
Factors, threshold correlation, copulas, portfolio optimization, asymmetry.
|
|
|
33.
|
|
|
Christoffersen, Peter
University of Toronto - Rotman School of Management Jacobs, Kris
University of Houston - C.T. Bauer College of Business Karoui, Lotfi
Goldman, Sachs & Co Mimouni, Karim
McGill University - Desautels Faculty of Management
|
| Posted: |
|
18 Jun 08
|
|
Last Revised:
|
|
01 Aug 09
|
|
398
(34,235)
|
3
|
|
| |
|
| |
term structure models, Kalman filtering, nonlinearity, swaps
|
|
|
34.
|
|
|
Christoffersen, Peter
University of Toronto - Rotman School of Management Errunza, Vihang R.
McGill University - Desautels Faculty of Management Jacobs, Kris
University of Houston - C.T. Bauer College of Business Langlois, Hugues
McGill University - Desautels Faculty of Management
|
| Posted: |
|
24 May 12
|
|
Last Revised:
|
|
20 Jan 13
|
|
353
(39,836)
|
1
|
|
| |
|
| |
Asset allocation, dynamic dependence, dynamic copula, asymmetric dependence
|
|
|
35.
|
|
|
Christoffersen, Peter
University of Toronto - Rotman School of Management Feunou, Bruno
Bank of Canada Jacobs, Kris
University of Houston - C.T. Bauer College of Business Meddahi, Nour
University of Toulouse 1 - Toulouse School of Economics (TSE)
|
| Posted: |
|
18 Mar 10
|
|
Last Revised:
|
|
08 Dec 12
|
|
318
(45,187)
|
|
|
| |
|
| |
Realized volatility, index options, risk premium, heteroskedasticity
|
|
|
36.
|
|
|
Christoffersen, Peter
University of Toronto - Rotman School of Management Ericsson, Jan
McGill University Jacobs, Kris
University of Houston - C.T. Bauer College of Business Jin, Xisong
University of Luxembourg - Luxembourg School of Finance
|
|
294
(49,316)
|
1
|
|
| |
|
| |
credit risk, structured products, dynamic equicorrelation, CDS, CDO, default
|
|
|
37.
|
|
|
Christoffersen, Peter
University of Toronto - Rotman School of Management Ghysels, Eric
University of North Carolina (UNC) at Chapel Hill - Department of Economics Swanson, Norman R.
Rutgers University - Department of Economics
|
|
285
(51,149)
|
5
|
|
| |
|
| |
Market efficiency, expectations, news, data revision process
|
|
|
38.
|
|
|
Christoffersen, Peter
University of Toronto - Rotman School of Management Jacobs, Kris
University of Houston - C.T. Bauer College of Business Ornthanalai, Chayawat
University of Toronto - Rotman School of Management
|
|
283
(51,573)
|
1
|
|
| |
|
| |
GARCH, option valuation
|
|
|
39.
|
|
|
Christoffersen, Peter
University of Toronto - Rotman School of Management Pavlov, Andrey D.
Simon Fraser University (SFU) - Finance Area
|
|
283
(51,573)
|
|
|
| |
|
| |
|
|
|
40.
|
|
|
Christoffersen, Peter
University of Toronto - Rotman School of Management Goyenko, Ruslan
McGill University - Desautels Faculty of Management Jacobs, Kris
University of Houston - C.T. Bauer College of Business Karoui, Mehdi
McGill University
|
| Posted: |
|
15 Mar 11
|
|
Last Revised:
|
|
16 Mar 12
|
|
274
(53,455)
|
5
|
|
| |
|
| |
illiquidity, equity options, cross-section, option returns, option smile
|
|
|
41.
|
|
|
Christoffersen, Peter
University of Toronto - Rotman School of Management
|
|
250
(59,239)
|
4
|
|
| |
|
| |
Value-at-Risk, expected shortfall, distribution, forecasting, model evaluation, testing, historical simulation
|
|
|
42.
|
|
From Inflation to Growth
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
Christoffersen, Peter
University of Toronto - Rotman School of Management Doyle, Peter
International Monetary Fund (IMF) - European Department
|
|
Posted:
|
|
17 Oct 00
|
|
Last Revised:
|
|
14 Dec 05
|
|
231
(64,482)
|
17
|
|
|
|
|
Christoffersen, Peter
University of Toronto - Rotman School of Management Doyle, Peter
International Monetary Fund (IMF) - European Department
|
|
231
|
17
|
|
| |
|
| |
|
|
|
|
|
|
|
Christoffersen, Peter
University of Toronto - Rotman School of Management Doyle, Peter
International Monetary Fund (IMF) - European Department
|
|
0
|
|
|
| |
|
| |
|
|
|
|
|
|
43.
|
|
|
Christoffersen, Peter
University of Toronto - Rotman School of Management
|
|
218
(68,475)
|
|
|
| |
|
| |
|
|
|
44.
|
|
|
Christoffersen, Peter
University of Toronto - Rotman School of Management Jacobs, Kris
University of Houston - C.T. Bauer College of Business Mimouni, Karim
McGill University - Desautels Faculty of Management
|
|
204
(73,327)
|
24
|
|
| |
|
| |
Stochastic volatility, option valuation, particle filtering, skewness, kurtosis, mean
|
|
|
45.
|
|
|
Christoffersen, Peter
University of Toronto - Rotman School of Management Sløk, Torsten
Deutsche Bank, New York
|
|
189
(79,429)
|
3
|
|
| |
|
| |
|
|
|
46.
|
|
|
Christoffersen, Peter
University of Toronto - Rotman School of Management Dorion, Christian
HEC Montreal Jacobs, Kris
University of Houston - C.T. Bauer College of Business Karoui, Lotfi
Goldman, Sachs & Co
|
|
187
(79,871)
|
|
|
| |
|
| |
Kalman filtering, nonlinearity, term structure models, swaps, caps
|
|
|
47.
|
|
|
Christoffersen, Peter
University of Toronto - Rotman School of Management Mazzotta, Stefano
Kennesaw State University - Michael J. Coles College of Business
|
|
171
(86,938)
|
6
|
|
| |
|
| |
FX, volatility, interval, density, forecasting
|
|
|
48.
|
|
|
Christoffersen, Peter
University of Toronto - Rotman School of Management Chung, Hyunchul
Dankook University - Faculty of Business and Economics Errunza, Vihang R.
McGill University - Desautels Faculty of Management
|
|
154
(95,642)
|
6
|
|
| |
|
| |
Revaluation effects, performance, volatility, correlation
|
|
|
49.
|
|
|
Christoffersen, Peter
University of Toronto - Rotman School of Management Mazzotta, Stefano
Kennesaw State University - Michael J. Coles College of Business
|
|
128
(111,991)
|
6
|
|
| |
|
| |
OTC currency options, volatility, interval and density forecasts evaluation
|
|
|
50.
|
|
|
Christoffersen, Peter
University of Toronto - Rotman School of Management Fournier, Mathieu
Rotman School of Management Jacobs, Kris
University of Houston - C.T. Bauer College of Business
|
|
102
(133,336)
|
|
|
| |
|
| |
factor models, equity options, implied volatility, option-implied beta
|
|
|
51.
|
|
From Inflation to Growth: Eight Years of Transition
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
Christoffersen, Peter
University of Toronto - Rotman School of Management Doyle, Peter
International Monetary Fund (IMF) - European Department
|
|
Posted:
|
|
24 Sep 01
|
|
Last Revised:
|
|
15 Feb 06
|
|
96
(138,968)
|
18
|
|
|
|
|
Christoffersen, Peter
University of Toronto - Rotman School of Management Doyle, Peter
International Monetary Fund (IMF) - European Department
|
|
96
|
18
|
|
| |
|
| |
Transition, growth, inflation, disinflation
|
|
|
|
|
|
|
Christoffersen, Peter
University of Toronto - Rotman School of Management Doyle, Peter
International Monetary Fund (IMF) - European Department
|
|
0
|
|
|
| |
|
| |
|
|
|
|
|
|
52.
|
|
|
Christoffersen, Peter
University of Toronto - Rotman School of Management Wescott, Robert
International Monetary Fund (IMF) - European Department
|
|
92
(143,017)
|
6
|
|
| |
|
| |
leading indicators, inflation, monetary policy, inflation targeting, robust statistics, administered prices
|
|
|
53.
|
|
|
Giorgianni, Lorenzo
International Monetary Fund (IMF) Christoffersen, Peter
University of Toronto - Rotman School of Management
|
|
82
(153,958)
|
1
|
|
| |
|
| |
Interest rates, Exchange rates, Economic models
|
|
|
54.
|
|
|
Christoffersen, Peter
University of Toronto - Rotman School of Management Diebold, Francis X.
University of Pennsylvania - Department of Economics
|
|
39
(221,887)
|
27
|
|
| |
|
| |
|
|
|
55.
|
|
|
Christoffersen, Peter
University of Toronto - Rotman School of Management Mazzotta, Stefano
Kennesaw State University - Michael J. Coles College of Business
|
|
|
|
|
| |
|
| |
density, forecasting, FX, interval, volatility
|
|
|
56.
|
|
|
Christoffersen, Peter
University of Toronto - Rotman School of Management Goncalves, Silvia
University of Montreal - Department of Economics
|
|
|
|
|
| |
|
| |
Value-at-risk, VAR, portfolio risk management, risk capital allocation, performance attribution, expected shortfall
|
|
|
57.
|
|
|
Christoffersen, Peter
University of Toronto - Rotman School of Management Sløk, Torsten
Deutsche Bank, New York Wescott, Robert
International Monetary Fund (IMF) - European Department
|
|
|
|
|
| |
|
| |
|
|
