Feedback to SSRN

 
  • Selected
  • Entire List
 

Christoffersen, Peter


 SSRN Author Rank: 200 by Downloads
 Professor of Finance
 

University of Toronto - Rotman School of Management


 105 St. George Street
 Toronto, Ontario M5S 3E6 M5P 3C4
 Canada
 416-946-5511 (Phone)
 HOME PAGE: http://www.christoffersen.com
 email address
 

Copenhagen Business School


 Solbjerg Plads 3
 Frederiksberg C, DK - 2000
 Denmark
 

University of Aarhus - CREATES


 School of Economics and Management
 Building 1322, Bartholins Alle 10
 DK-8000 Aarhus C
 Denmark

  SSRN's personal information usage policy
Authors: If anything on this page requires updating or correction, please go to your SSRN User HeadQuarters and make the change.
The RSS feed for this author will notify you of all new papers and revisions as soon as they are added to the SSRN eLibrary.
Popular RSS readers
. Christoffersen, Peter's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
38,767
Total
Citations
721
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Hahn, Jinyong
University of California, Los Angeles
Inoue, Atsushi
Southern Methodist University
Posted:
16 Nov 99
2,318
(2,562)
23

2.   Incl. Electronic Paper
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
Posted:
05 Feb 07
Last Revised:
13 Aug 09
2,239
(2,714)
26

3.   Incl. Electronic Paper
Christoffersen, Peter
University of Toronto - Rotman School of Management
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Posted:
18 Jan 98
Last Revised:
11 Oct 10
2,159
(2,881)
44

4.   Incl. Electronic Paper
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
Posted:
17 Mar 06
Last Revised:
13 Aug 08
2,049
(3,157)
10

5.   Incl. Electronic Paper
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
Posted:
28 Feb 05
Last Revised:
29 Jul 10
2,049
(3,157)
13

6.  
Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns and Option Prices | Show Abstract | Download |
EFA 2007 Ljubljana Meetings Paper, AFA 2008 New Orleans Meetings Paper
Working Paper Series
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
Posted:
24 Aug 06
Last Revised:
25 Sep 09
1,820
(3,848)
25

7.   Incl. Electronic Paper
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
Posted:
21 Jan 05
Last Revised:
13 Mar 05
1,643
(4,634)
27

8.  
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
Posted:
21 Mar 10
1,491
(5,518)
9

9.  
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
Posted:
31 Jul 11
Last Revised:
22 Feb 13
1,089
(9,319)
2

10.  
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
Posted:
22 Jan 10
Last Revised:
07 Jun 12
1,002
(10,626)
2

11.  
Option-Implied Measures of Equity Risk | Show Abstract | Download |
Review of Finance, Forthcoming
Accepted Paper Series
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
Posted:
11 Jun 09
Last Revised:
23 Jan 12
960
(11,353)
15

12.  
Horizon Problems and Extreme Events in Financial Risk Management | Show Abstract | Download |
Economic Policy Review, Vol. 4, No. 3, October 1998, Wharton Financial Institutions Center 98-16
Accepted Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Schuermann, Til
Oliver Wyman
Posted:
10 Feb 99
914
(12,231)
20

13.   Incl. Electronic Paper
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
Posted:
07 Nov 11
Last Revised:
19 May 12
888
(12,857)
44

14.  
Option Valuation with Long-Run and Short-Run Volatility Components | Show Abstract | Download |
Journal of Financial Economics, Vol. 90, No. 3, pp. 272-297, CREATES Research Paper 2008-11
Working Paper Series
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
Posted:
11 Feb 05
Last Revised:
22 Jan 12
886
(12,857)
32

15.   Incl. Electronic Paper
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
Posted:
08 Feb 07
Last Revised:
13 Aug 09
835
(14,060)
33

16.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Errunza, Vihang R.
McGill University - Desautels Faculty of Management
Posted:
25 Nov 99
766
(15,973)
1

17.  
Dynamic Jump Intensities and Risk Premia: Evidence from S&P500 Returns and Options | Show Abstract | Download |
Journal of Financial Economics, Forthcoming., EFA 2008 Athens Meetings Paper, AFA 2010 Atlanta Meetings Paper
Working Paper Series
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
Posted:
07 Mar 08
Last Revised:
22 Jan 12
757
(16,248)
2

18.  
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
Posted:
30 Sep 09
750
(16,488)
19

19.  
Forecasting with Option-Implied Information | Show Abstract | Download |
Handbook of Economic Forecasting, Volume 2, G. Elliott and A. Timmermann (eds.)
Working Paper Series
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
Posted:
08 Dec 11
Last Revised:
11 Jul 12
698
(18,298)
3

20.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Posted:
25 Apr 02
Last Revised:
16 Jun 08
673
(19,372)
29

21.  
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.
Singapore Management University - School of Economics
Tse, Yiu Kuen
Singapore Management University - School of Economics & Social Sciences
Posted:
12 Jun 06
617
(21,791)
4

22.  
Which Volatility Model Should be Used for Option Pricing? | Show Abstract | Download |
EFA 2002 Berlin Meetings Discussion Paper
Working Paper Series
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Christoffersen, Peter
University of Toronto - Rotman School of Management
Posted:
04 Mar 02
617
(21,791)
 

23.   Incl. Electronic Paper
Christoffersen, Peter
University of Toronto - Rotman School of Management
Pelletier, Denis
North Carolina State University - Department of Economics
Posted:
20 Jul 03
Last Revised:
29 Jul 10
591
(23,158)
23

24.   Incl. Electronic Paper
Christoffersen, Peter
University of Toronto - Rotman School of Management
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Posted:
22 Jan 98
Last Revised:
07 Aug 10
582
(23,583)
14

25.  
Evaluating Value-at-Risk Models with Desk-Level Data | Show Abstract | Download |
CREATES Research Paper Series 2009
Working Paper Series
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
Posted:
05 May 08
578
(23,811)
30

26.   Incl. Electronic Paper
Christoffersen, Peter
University of Toronto - Rotman School of Management
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Posted:
05 Oct 03
Last Revised:
19 Sep 09
551
(25,447)
26

27.  
Option Valuation with Conditional Skewness | Show Abstract | Download |
EFA 2004 Maastricht Meetings Paper No. 2964
Working Paper Series
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
Posted:
23 Jun 04
544
(25,898)
41

28.  
The Joint Dynamics of Equity Market Factors | Show Abstract | Download |
Journal of Financial and Quantitative Analysis (JFQA), 2013, Vol. 48, No. 5, pp. 1371–1404
Accepted Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Langlois, Hugues
McGill University - Desautels Faculty of Management
Posted:
10 Sep 11
Last Revised:
17 Mar 14
528
(27,051)
 

29.   Incl. Electronic Paper
Christoffersen, Peter
University of Toronto - Rotman School of Management
Giorgianni, Lorenzo
International Monetary Fund (IMF)
Posted:
26 Oct 99
Last Revised:
10 Feb 06
518
(27,668)
1

30.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Posted:
19 Apr 02
481
(30,504)
9

31.  
The Importance of the Loss Function in Option Valuation | Show Abstract | Download |
EFA 2003 Annual Conference Paper No. 604
Working Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Posted:
03 Aug 03
463
(32,100)
40

32.  
Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach | Show Abstract | Download |
Review of Financial Studies, 2012, Vol. 25, No. 12, pp. 3711-3751.
Accepted Paper Series
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
460
(32,470)
3

33.  
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
Posted:
08 May 12
Last Revised:
22 Aug 13
450
(33,300)
2

34.   Incl. Electronic Paper
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
Posted:
05 May 08
Last Revised:
13 Jan 09
442
(34,072)
7

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
423
(36,066)
2

36.  
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
415
(36,922)
3

37.  
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
405
(38,129)
6

38.  
Backtesting | Show Abstract | Download |
Working Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Posted:
23 Apr 12
398
(38,996)
4

39.  
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
Posted:
07 May 09
308
(52,868)
1

40.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Swanson, Norman R.
Rutgers University - Department of Economics
Posted:
24 Jul 01
291
(56,484)
5

41.  
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
Posted:
24 May 12
Last Revised:
04 Oct 13
290
(56,925)
1

42.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Pavlov, Andrey D.
Simon Fraser University (SFU) - Finance Area
Posted:
06 Aug 03
284
(58,081)
 

43.   Incl. Electronic Paper
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
241
(69,501)
17

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
Posted:
24 Jun 08
239
(70,088)
25

45.  
The Factor Structure in Equity Options | Show Abstract | Download |
Rotman School of Management Working Paper No. 2224270
Working Paper Series
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
Posted:
25 Feb 13
Last Revised:
22 Aug 13
231
(72,624)
 

46.  
Dating the Turning Points of Nordic Business Cycles | Show Abstract | Download |
EPRU Working Paper No. 00/13
Working Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Posted:
27 Nov 00
219
(76,745)
 

47.  
Correlation Dynamics and International Diversification Benefits | Show Abstract | Download |
Rotman School of Management Working Paper No. 2313954
Working Paper Series
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
Posted:
22 Aug 13
196
(85,884)
 

48.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Sløk, Torsten
Deutsche Bank, New York
Posted:
28 Feb 01
190
(88,597)
3

49.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Mazzotta, Stefano
Kennesaw State University - Michael J. Coles College of Business
Posted:
01 Dec 04
178
(94,248)
6

50.  
Size Matters: The Impact of Capital Market Liberalization on Individual Firms | Show Abstract | Download |
McGill Finance Research Centre Working Paper
Working Paper Series
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
Posted:
31 Aug 03
158
(105,006)
6

51.  
Oil Volatility Risk and Expected Stock Returns | Show Abstract | Download |
Rotman School of Management Working Paper No. 2399677
Working Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Pan, Xuhui (Nick)
Tulane University, A.B. Freeman School of Business
Posted:
23 Feb 14
Last Revised:
26 Mar 14
139
(121,091)
 

52.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Mazzotta, Stefano
Kennesaw State University - Michael J. Coles College of Business
Posted:
24 Feb 04
129
(124,970)
6

53.  
Dynamic Diversification in Corporate Credit | Show Abstract | Download |
Rotman School of Management Working Paper No. 2314027
Working Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Jin, Xisong
University of Luxembourg - Luxembourg School of Finance
Langlois, Hugues
McGill University - Desautels Faculty of Management
Posted:
22 Aug 13
Last Revised:
18 Feb 14
126
(128,197)
 

54.   Incl. Electronic Paper
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
98
(153,169)
18

55.  
Is Poland Ready for Inflation Targeting? | Show Abstract | Download |
IMF Working Paper No. 99/41
Working Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Wescott, Robert
International Monetary Fund (IMF) - European Department
Posted:
12 Feb 06
95
(156,417)
6

56.  
Giorgianni, Lorenzo
International Monetary Fund (IMF)
Christoffersen, Peter
University of Toronto - Rotman School of Management
Posted:
17 Aug 07
83
(170,687)
1

57.  
Rare Disasters and Credit Market Puzzles | Show Abstract | Download |
Rotman School of Management Working Paper No. 2270517
Working Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Du, Du
Hong Kong University of Science & Technology
Elkamhi, Redouane
University of Toronto
Posted:
22 Aug 13
79
(176,047)
 

58.  
Optimal Prediction Under Asymmetric Loss | Show Abstract | Download |
NBER Working Paper No. t0167
Working Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Posted:
19 Jul 00
41
(242,683)
27

59.  
Nonlinear Kalman Filtering in Affine Term Structure Models: Internet Appendix | Show Abstract | Download |
Rotman School of Management Working Paper No. 2322760
Working Paper Series
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
Posted:
10 Sep 13
39
(247,172)
1

60.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Pan, Xuhui (Nick)
Tulane University, A.B. Freeman School of Business
Posted:
04 Apr 14
32
(270,583)
 

61.  
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
Posted:
07 Dec 13
32
(264,838)
 

62.  
The Accuracy of Density Forecasts from Foreign Exchange Options | Show Abstract |
Journal of Financial Econometrics, Vol. 3, No. 4, pp. 578-605, 2005
Accepted Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Mazzotta, Stefano
Kennesaw State University - Michael J. Coles College of Business
Posted:
29 Feb 08
 

63.  
Estimation Risk in Financial Risk Management | Show Abstract |
Journal of Risk, Vol. 7, No. 3, pp. 1-28, Spring 2005
Accepted Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Goncalves, Silvia
University of Montreal - Department of Economics
Posted:
25 Apr 05
 

64.  
Is Inflation Targeting Feasible in Poland? | Show Abstract |
Economics of Transition, Vol. 9, No. 1, March 2001
Accepted Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Sløk, Torsten
Deutsche Bank, New York
Wescott, Robert
International Monetary Fund (IMF) - European Department
Posted:
27 Sep 01
 


Records 1 - 64 of 64 matches
[ 1 ]

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo5 in 1.407 seconds