Peter Christoffersen

University of Toronto - Rotman School of Management

University of Toronto, Rotman School of Management (deceased)

105 St. George Street

Toronto, Ontario M5S 3E6 M5P 3C4

Canada

Copenhagen Business School

Copenhagen Business School (deceased)

Solbjerg Plads 3

Frederiksberg C, DK - 2000

Denmark

Aarhus University - CREATES

Aarhus University, School of Business and Social Sciences, School of Economics and Management, CREATES (deceased)

School of Economics and Management

Building 1322, Bartholins Alle 10

DK-8000 Aarhus C

Denmark

  • University of Toronto - Rotman School of Management

    • Email
    • Tel: 416-946-5511
SCHOLARLY PAPERS

74

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60,753

SSRN CITATIONS
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753

CROSSREF CITATIONS

625

Scholarly Papers (74)

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1.

Does Realized Skewness Predict the Cross-Section of Equity Returns?

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 58 Posted: 31 Jul 2011 Last Revised: 10 Mar 2015
Diego Amaya, Peter Christoffersen, Kris Jacobs and Aurelio Vasquez
Wilfrid Laurier University, University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration
Downloads 3,275 (4,214)
Citation 45

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Realized volatility, skewness, kurtosis, equity markets, cross-section of stock returns

2.

The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well

Downloads 3,142 ( 4,528)
Citation 38

The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well

Number of pages: 48 Posted: 05 Feb 2007 Last Revised: 22 Feb 2009
Peter Christoffersen, Steven L. Heston and Kris Jacobs
University of Toronto - Rotman School of Management, University of Maryland - Department of Finance and University of Houston - C.T. Bauer College of Business
Downloads 1,937 (9,818)
Citation 5

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stochastic correlation, stochastic volatility, equity index options, multifactor model, persistence, affine, out-of-sample

The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well

CREATES Research Paper 2009-34
Number of pages: 43 Posted: 13 Aug 2009
Peter Christoffersen, Steven L. Heston and Kris Jacobs
University of Toronto - Rotman School of Management, University of Maryland - Department of Finance and University of Houston - C.T. Bauer College of Business
Downloads 1,205 (20,668)
Citation 38

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stochastic correlation, stochastic volatility, equity index options, multifactor model, persistence, affine, out-of-sample

3.

Volatility Forecasting

Downloads 2,713 ( 5,793)
Citation 7

Volatility Forecasting

Number of pages: 114 Posted: 28 Feb 2005
Torben G. Andersen, Tim Bollerslev, Peter Christoffersen and Francis X. Diebold
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 2,426 (6,826)

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Volatility Forecasting

NBER Working Paper No. w11188
Number of pages: 113 Posted: 20 May 2005 Last Revised: 29 Jul 2010
Torben G. Andersen, Tim Bollerslev, Peter Christoffersen and Francis X. Diebold
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 287 (130,189)
Citation 3

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4.

Forward-Looking Betas

Downloads 2,644 ( 6,033)
Citation 28

Forward-Looking Betas

EFA 2007 Ljubljana Meetings, AFA 2008 NEW ORLEANS MEETINGS
Number of pages: 59 Posted: 17 Mar 2006 Last Revised: 02 May 2008
Peter Christoffersen, Kris Jacobs and Gregory Vainberg
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and McGill University - Desautels Faculty of Management
Downloads 2,257 (7,680)
Citation 14

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Market beta, CAPM, historical, forward-looking, option-implied, capital budgeting, event studies, model-free volatility, model-free skewness

Forward-Looking Betas

CREATES Research Paper No. 2007-39
Number of pages: 61 Posted: 24 Jun 2008
Peter Christoffersen, Kris Jacobs and Gregory Vainberg
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and McGill University - Desautels Faculty of Management
Downloads 387 (93,434)
Citation 22

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market beta, CAPM, historical, forward-looking, option-implied, capital budgeting, event studies, model-free moments

5.

Testing, Comparing, and Combining Value-at-Risk Measures

Number of pages: 27 Posted: 16 Nov 1999
Peter Christoffersen, Jinyong Hahn and Atsushi Inoue
University of Toronto - Rotman School of Management, affiliation not provided to SSRN and Southern Methodist University
Downloads 2,506 (6,605)
Citation 8

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6.

Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns and Option Prices

EFA 2007 Ljubljana Meetings Paper, AFA 2008 New Orleans Meetings Paper
Number of pages: 49 Posted: 24 Aug 2006 Last Revised: 25 Sep 2009
Peter Christoffersen, Kris Jacobs and Karim Mimouni
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and McGill University - Desautels Faculty of Management
Downloads 2,336 (7,375)
Citation 44

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Stochastic volatility, option valuation, particle filtering, skewness, kurtosis, mean reversion

7.

How Relevant is Volatility Forecasting for Financial Risk Management?

Downloads 2,273 ( 7,738)
Citation 11

How Relevant is Volatility Forecasting for Financial Risk Management?

97-45
Number of pages: 31 Posted: 18 Jan 1998
Peter Christoffersen and Francis X. Diebold
University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 1,273 (19,027)
Citation 11

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How Relevant is Volatility Forecasting for Financial Risk Management?

Number of pages: 40 Posted: 07 Oct 1999
Peter Christoffersen and Francis X. Diebold
University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 837 (34,934)

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How Relevant is Volatility Forecasting for Financial Risk Management?

NYU Working Paper No. FIN-98-080
Number of pages: 32 Posted: 11 Nov 2008
Peter Christoffersen and Francis X. Diebold
University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 108 (307,119)

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How Relevant is Volatility Forecasting for Financial Risk Management?

NBER Working Paper No. w6844
Number of pages: 27 Posted: 17 Sep 1999 Last Revised: 15 Mar 2021
Peter Christoffersen and Francis X. Diebold
University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 55 (456,177)

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8.

Practical Volatility and Correlation Modeling for Financial Market Risk Management

Downloads 1,842 ( 10,858)
Citation 96

Practical Volatility and Correlation Modeling for Financial Market Risk Management

Number of pages: 41 Posted: 21 Jan 2005
Torben G. Andersen, Tim Bollerslev, Peter Christoffersen and Francis X. Diebold
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 1,632 (12,946)
Citation 2

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Practical Volatility and Correlation Modeling for Financial Market Risk Management

NBER Working Paper No. w11069
Number of pages: 41 Posted: 16 Feb 2005
Torben G. Andersen, Tim Bollerslev, Peter Christoffersen and Francis X. Diebold
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 210 (177,762)
Citation 10

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9.

Is the Potential for International Diversification Disappearing?

Number of pages: 41 Posted: 21 Mar 2010
Peter Christoffersen, Vihang R. Errunza, Kris Jacobs and Xisong Jin
University of Toronto - Rotman School of Management, McGill University - Desautels Faculty of Management, University of Houston - C.T. Bauer College of Business and Universite du Luxembourg - Luxembourg School of Finance
Downloads 1,798 (11,308)
Citation 10

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international asset pricing, asset allocation, dynamic conditional correlation (DCC), dynamic equicorrelation (DECO), dynamic copula

10.

Capturing Option Anomalies with a Variance-Dependent Pricing Kernel

AFA 2011 Denver Meetings Paper
Number of pages: 55 Posted: 22 Jan 2010 Last Revised: 07 Jun 2012
Peter Christoffersen, Kris Jacobs and Steven L. Heston
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and University of Maryland - Department of Finance
Downloads 1,689 (12,474)
Citation 40

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Pricing kernel, stochastic volatility, overreaction, variance risk

11.

Forecasting with Option-Implied Information

Handbook of Economic Forecasting, Volume 2, G. Elliott and A. Timmermann (eds.)
Number of pages: 72 Posted: 08 Dec 2011 Last Revised: 11 Jul 2012
Peter Christoffersen, Kris Jacobs and Bo Young Chang
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and Bank of Canada
Downloads 1,537 (14,485)
Citation 13

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Volatility, skewness, kurtosis, density forecasting, risk-neutral

12.

Option-Implied Measures of Equity Risk

Review of Finance, Forthcoming
Number of pages: 44 Posted: 11 Jun 2009 Last Revised: 23 Jan 2012
Bo Young Chang, Peter Christoffersen, Kris Jacobs and Gregory Vainberg
Bank of Canada, University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and McGill University - Desautels Faculty of Management
Downloads 1,491 (15,201)
Citation 24

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market beta, CAPM, historical, capital budgeting, model-free moments

13.

The Factor Structure in Equity Options

Rotman School of Management Working Paper No. 2224270
Number of pages: 88 Posted: 25 Feb 2013 Last Revised: 14 Sep 2016
Peter Christoffersen, Mathieu Fournier and Kris Jacobs
University of Toronto - Rotman School of Management, HEC Montreal and University of Houston - C.T. Bauer College of Business
Downloads 1,407 (16,673)
Citation 6

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factor models, equity options, implied volatility, option-implied beta

14.

Financial Risk Measurement for Financial Risk Management

Downloads 1,330 ( 18,157)
Citation 32

Financial Risk Measurement for Financial Risk Management

PIER Working Paper No. 11-037
Number of pages: 130 Posted: 07 Nov 2011
Torben G. Andersen, Tim Bollerslev, Peter Christoffersen and Francis X. Diebold
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 1,234 (19,931)
Citation 1

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Market risk, volatility, GARCH

Financial Risk Measurement for Financial Risk Management

NBER Working Paper No. w18084
Number of pages: 130 Posted: 19 May 2012 Last Revised: 31 May 2021
Torben G. Andersen, Tim Bollerslev, Peter Christoffersen and Francis X. Diebold
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 96 (332,578)
Citation 5

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15.

Market Skewness Risk and the Cross-Section of Stock Returns

Number of pages: 43 Posted: 30 Sep 2009
Bo Young Chang, Peter Christoffersen and Kris Jacobs
Bank of Canada, University of Toronto - Rotman School of Management and University of Houston - C.T. Bauer College of Business
Downloads 1,313 (18,504)
Citation 68

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skewness risk, cross-section, ICAPM, volatility risk, option-implied moments

16.

Illiquidity Premia in the Equity Options Market

Review of Financial Studies
Number of pages: 72 Posted: 15 Mar 2011 Last Revised: 22 Sep 2017
Peter Christoffersen, Ruslan Goyenko, Kris Jacobs and Mehdi Karoui
University of Toronto - Rotman School of Management, McGill University - Desautels Faculty of Management, University of Houston - C.T. Bauer College of Business and OMERS
Downloads 1,310 (18,568)
Citation 29

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Illiquidity; equity options; cross-section; delta-hedged option returns

17.

Horizon Problems and Extreme Events in Financial Risk Management

Economic Policy Review, Vol. 4, No. 3, October 1998, Wharton Financial Institutions Center 98-16
Number of pages: 10 Posted: 10 Feb 1999
Peter Christoffersen, Francis X. Diebold and Til Schuermann
University of Toronto - Rotman School of Management, University of Pennsylvania - Department of Economics and Oliver Wyman
Downloads 1,202 (21,109)
Citation 29

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capital regulation

18.

Backtesting

Number of pages: 12 Posted: 23 Apr 2012
Peter Christoffersen
University of Toronto - Rotman School of Management
Downloads 1,196 (21,280)
Citation 2

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Value-at-Risk, expected shortfall, distribution, forecasting, model evaluation, testing, historical simulation

19.

Option Valuation with Long-Run and Short-Run Volatility Components

Journal of Financial Economics, Vol. 90, No. 3, pp. 272-297, CREATES Research Paper 2008-11
Number of pages: 51 Posted: 11 Feb 2005 Last Revised: 22 Jan 2012
Peter Christoffersen, Kris Jacobs, Chayawat Ornthanalai and Yintian Wang
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business, University of Toronto - Rotman School of Management and McGill University - Desautels Faculty of Management
Downloads 1,191 (21,412)
Citation 34

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Option valuation, long-run component, short-run component, unobserved components, persistence, GARCH, out-of-sample, Volatility term structure

20.

Option Valuation with Conditional Heteroskedasticity and Non-Normality

Downloads 1,189 ( 21,470)
Citation 6

Option Valuation with Conditional Heteroskedasticity and Non-Normality

Number of pages: 50 Posted: 08 Feb 2007 Last Revised: 13 Aug 2009
Peter Christoffersen, Redouane Elkamhi, Bruno Feunou and Kris Jacobs
University of Toronto - Rotman School of Management, University of Toronto - Rotman School of Management, Bank of Canada and University of Houston - C.T. Bauer College of Business
Downloads 761 (39,849)
Citation 3

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GARCH, risk-neutral valuation, no-arbitrage, non-normal innovations

Option Valuation with Conditional Heteroskedasticity and Non-Normality

Number of pages: 52 Posted: 13 Aug 2009
Peter Christoffersen, Redouane Elkamhi, Bruno Feunou and Kris Jacobs
University of Toronto - Rotman School of Management, University of Toronto - Rotman School of Management, Bank of Canada and University of Houston - C.T. Bauer College of Business
Downloads 428 (83,125)
Citation 6

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GARCH, risk-neutral valuation, no-arbitrage, non-normal innovations

21.

Dynamic Jump Intensities and Risk Premia: Evidence from S&P500 Returns and Options

Journal of Financial Economics, Forthcoming., EFA 2008 Athens Meetings Paper, AFA 2010 Atlanta Meetings Paper
Number of pages: 51 Posted: 07 Mar 2008 Last Revised: 22 Jan 2012
Peter Christoffersen, Kris Jacobs and Chayawat Ornthanalai
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and University of Toronto - Rotman School of Management
Downloads 1,064 (25,261)
Citation 11

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compound Poisson process, option valuation, filtering, volatility jumps, jump risk premia, time-varying jump intensity, heteroskedasticity

22.

Which GARCH Model for Option Valuation?

Number of pages: 46 Posted: 25 Apr 2002 Last Revised: 16 Jun 2008
Peter Christoffersen and Kris Jacobs
University of Toronto - Rotman School of Management and University of Houston - C.T. Bauer College of Business
Downloads 996 (27,791)
Citation 22

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option pricing, GARCH, risk-neutral pricing, parsimony, forecasting, out-of-sample

23.

Backtesting Value-at-Risk: A Duration-Based Approach

Downloads 923 ( 30,957)
Citation 41

Backtesting Value-at-Risk: A Duration-Based Approach

Number of pages: 27 Posted: 20 Jul 2003
Peter Christoffersen and Denis Pelletier
University of Toronto - Rotman School of Management and North Carolina State University - Department of Economics
Downloads 923 (30,495)
Citation 41

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Backtesting Value-at-Risk: A Duration-Based Approach

Journal of Financial Econometrics, Vol. 2, pp. 84-108, 2004
Posted: 29 Feb 2008
Peter Christoffersen and Denis Pelletier
University of Toronto - Rotman School of Management and North Carolina State University - Department of Economics

Abstract:

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GARCH, kurtosis, risk model evaluation

24.

The Joint Dynamics of Equity Market Factors

Journal of Financial and Quantitative Analysis (JFQA), 2013, Vol. 48, No. 5, pp. 1371–1404
Number of pages: 59 Posted: 10 Sep 2011 Last Revised: 17 Mar 2014
Peter Christoffersen and Hugues Langlois
University of Toronto - Rotman School of Management and HEC Paris - Finance Department
Downloads 912 (31,539)
Citation 10

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Factors, threshold correlation, copulas, portfolio optimization, asymmetry.

25.

Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach

Review of Financial Studies, 2012, Vol. 25, No. 12, pp. 3711-3751.
Number of pages: 53 Posted: 24 May 2012 Last Revised: 20 Jan 2013
Peter Christoffersen, Vihang R. Errunza, Kris Jacobs and Hugues Langlois
University of Toronto - Rotman School of Management, McGill University - Desautels Faculty of Management, University of Houston - C.T. Bauer College of Business and HEC Paris - Finance Department
Downloads 880 (33,094)
Citation 36

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Asset allocation, dynamic dependence, dynamic copula, asymmetric dependence

26.

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

PIER Working Paper No. 06-016
Number of pages: 32 Posted: 12 Jun 2006
Peter Christoffersen, Francis X. Diebold, Roberto S. Mariano, Anthony S. Tay and Yiu Kuen Tse
University of Toronto - Rotman School of Management, University of Pennsylvania - Department of Economics, Singapore Management University, Singapore Management University - School of Economics and Singapore Management University - School of Social Sciences
Downloads 838 (35,411)
Citation 4

Abstract:

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Volatility, variance, skewness, kurtosis, market timing, asset management, asset allocation, portfolio management

27.

The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation

AFA 2013 San Diego Meetings Paper
Number of pages: 51 Posted: 18 Mar 2010 Last Revised: 08 Dec 2012
Peter Christoffersen, Bruno Feunou, Kris Jacobs and Nour Meddahi
University of Toronto - Rotman School of Management, Bank of Canada, University of Houston - C.T. Bauer College of Business and University of Toulouse 1 - Toulouse School of Economics (TSE)
Downloads 790 (38,415)
Citation 9

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Realized volatility, index options, risk premium, heteroskedasticity

28.

Towards a Global Financial Architecture: Capital Mobility and Risk Management Issues

Number of pages: 26 Posted: 25 Nov 1999
Peter Christoffersen and Vihang R. Errunza
University of Toronto - Rotman School of Management and McGill University - Desautels Faculty of Management
Downloads 790 (38,415)

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29.

Oil Volatility Risk and Expected Stock Returns

Rotman School of Management Working Paper No. 2399677
Number of pages: 54 Posted: 23 Feb 2014 Last Revised: 04 Dec 2014
Peter Christoffersen and Xuhui (Nick) Pan
University of Toronto - Rotman School of Management and University of Oklahoma
Downloads 774 (39,503)
Citation 4

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option-implied volatility; oil prices; volatility risk; cross-section; factor-mimicking portfolios; financial intermediaries

30.

Evaluating Value-at-Risk Models with Desk-Level Data

CREATES Research Paper Series 2009
Number of pages: 33 Posted: 05 May 2008
Jeremy Berkowitz, Peter Christoffersen and Denis Pelletier
University of Houston - Department of Finance, University of Toronto - Rotman School of Management and North Carolina State University - Department of Economics
Downloads 757 (40,732)
Citation 55

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Risk Management, Backtesting, Volatility, Disclosure

31.

Factor Structure in Commodity Futures Return and Volatility

Rotman School of Management Working Paper No. 2495779
Number of pages: 64 Posted: 14 Sep 2014 Last Revised: 26 Jun 2017
Peter Christoffersen, Asger Lunde and Kasper Olesen
University of Toronto - Rotman School of Management, Aarhus University - School of Business and Social Sciences and CREATES
Downloads 697 (45,509)
Citation 12

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Factor structure, financial volatility, beta, high-frequency data, commodities, financialization

32.

Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics

Downloads 695 ( 45,683)
Citation 41

Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics

Number of pages: 41 Posted: 19 Apr 2004
Peter Christoffersen and Francis X. Diebold
University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 419 (85,219)
Citation 1

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Conditional Mean Dependence, Conditional Volatility

Financial Asset Returns, Direction-of-Change Forecasting and Volatility Dynamics

Rodney L. White Center for Financial Research Working Paper No. 05-04
Number of pages: 41 Posted: 08 Jul 2004
Peter Christoffersen and Francis X. Diebold
University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 197 (188,765)
Citation 19

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Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics

NBER Working Paper No. w10009
Number of pages: 40 Posted: 05 Oct 2003 Last Revised: 09 May 2021
Peter Christoffersen and Francis X. Diebold
University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 79 (375,830)
Citation 3

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33.

Financial Asset Returns, Market Timing, and Volatility Dynamics

Number of pages: 32 Posted: 19 Apr 2002
Peter Christoffersen and Francis X. Diebold
University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 676 (47,459)
Citation 7

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Financial Asset Returns, Market Timing, and Volatility Dynamics

34.

Which Volatility Model Should Be Used for Option Pricing?

Number of pages: 40 Posted: 04 Mar 2002
Kris Jacobs and Peter Christoffersen
University of Houston - C.T. Bauer College of Business and University of Toronto - Rotman School of Management
Downloads 662 (48,734)

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Option Pricing, GARCH, Risk-neutral Pricing, Parsimony, Forecasting, Out-of-sample

35.

Option Valuation with Conditional Skewness

Number of pages: 44 Posted: 23 Jun 2004
Peter Christoffersen, Steven L. Heston and Kris Jacobs
University of Toronto - Rotman School of Management, University of Maryland - Department of Finance and University of Houston - C.T. Bauer College of Business
Downloads 654 (49,471)
Citation 39

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GARCH, out-of-sample, jumps, discrete-time model, continuous-time limit

36.

Cointegration and Long-Horizon Forecasting

Downloads 637 ( 51,248)
Citation 4

Cointegration and Long-Horizon Forecasting

IMF Working Paper No. 97/61
Number of pages: 30 Posted: 22 Jan 1998
Peter Christoffersen and Francis X. Diebold
University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 533 (63,497)
Citation 5

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Cointegration and Long-Horizon Forecasting

NYU Working Paper No. SOR-98-8
Number of pages: 36 Posted: 31 Oct 2008
Peter Christoffersen and Francis X. Diebold
University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 52 (467,975)

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Cointegration and Long-Horizon Forecasting

NBER Working Paper No. t0217
Number of pages: 30 Posted: 25 Jul 2000 Last Revised: 05 Feb 2021
Peter Christoffersen and Francis X. Diebold
University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 52 (467,975)

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37.

Volatility Components, Affine Restrictions and Non-Normal Innovations

Downloads 613 ( 53,931)
Citation 34

Volatility Components, Affine Restrictions and Non-Normal Innovations

Number of pages: 41 Posted: 05 May 2008 Last Revised: 21 Nov 2008
Peter Christoffersen, Christian Dorion, Kris Jacobs and Yintian Wang
University of Toronto - Rotman School of Management, HEC Montreal, University of Houston - C.T. Bauer College of Business and McGill University - Desautels Faculty of Management
Downloads 490 (70,565)
Citation 8

Abstract:

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Volatility, Component Model, GARCH, Long Memory, Option Valuation, Affine, Normality

Volatility Components, Affine Restrictions and Non-Normal Innovations

CREATES Research Paper No. 2008-10
Number of pages: 43 Posted: 25 Jun 2008
Peter Christoffersen, Kris Jacobs, Christian Dorion and Yintian Wang
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business, HEC Montreal and McGill University - Desautels Faculty of Management
Downloads 123 (279,812)
Citation 26

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Volatility, Component Model, GARCH, Long Memory, Option Valuation, Affine, Normality

38.

Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity

Rotman School of Management Working Paper No. 2797308
Number of pages: 71 Posted: 20 Jun 2016 Last Revised: 02 Dec 2020
Peter Christoffersen, Bruno Feunou, Yoontae Jeon and Chayawat Ornthanalai
University of Toronto - Rotman School of Management, Bank of Canada, Ryerson University - Ted Rogers School of Management and University of Toronto - Rotman School of Management
Downloads 602 (55,129)
Citation 3

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Market liquidity, Crash risk, Jump intensity, Options, Filtering

39.

Beta Risk in the Cross-Section of Equities

Downloads 598 ( 55,602)
Citation 3

Beta Risk in the Cross-Section of Equities

Rotman School of Management Working Paper No. 2926511
Number of pages: 86 Posted: 03 Mar 2017 Last Revised: 23 Jul 2019
Ali Boloor, Peter Christoffersen, Mathieu Fournier and Christian Gourieroux
Concordia University, University of Toronto - Rotman School of Management, HEC Montreal and University of Toronto - Department of Economics
Downloads 531 (63,769)
Citation 4

Abstract:

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Factor Models, Stochastic Beta, Option-Implied Beta, Wishart Processes

Beta Risk in the Cross-Section of Equities

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 86 Posted: 05 Jun 2018
Ali Boloor, Peter Christoffersen, Christian Gourieroux and Mathieu Fournier
Concordia University, University of Toronto - Rotman School of Management, University of Toronto - Department of Economics and HEC Montreal
Downloads 67 (412,519)

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Factor models; stochastic beta; option-implied beta; Wishart processes

40.

The Importance of the Loss Function in Option Valuation

EFA 2003 Annual Conference Paper No. 604
Number of pages: 38 Posted: 03 Aug 2003
Peter Christoffersen and Kris Jacobs
University of Toronto - Rotman School of Management and University of Houston - C.T. Bauer College of Business
Downloads 596 (55,855)
Citation 36

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option valuation, implied volatility, practitioner Black-Scholes approach, pricing errors, loss functions, out-of-sample forecasting, parameter stability

41.

Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk

Rotman School of Management Working Paper No. 2656412
Number of pages: 51 Posted: 06 Sep 2015 Last Revised: 14 Oct 2017
Peter Christoffersen, Mathieu Fournier, Kris Jacobs and Mehdi Karoui
University of Toronto - Rotman School of Management, HEC Montreal, University of Houston - C.T. Bauer College of Business and OMERS
Downloads 566 (59,558)
Citation 8

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Co-skewness, co-kurtosis, risk premia, options, cross-section, out-of-sample

42.

Interest Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk

Downloads 562 ( 60,085)
Citation 1

Interest Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk

Journal of Business and Economic Statistics
Number of pages: 33 Posted: 26 Oct 1999
Peter Christoffersen and Lorenzo Giorgianni
University of Toronto - Rotman School of Management and International Monetary Fund (IMF)
Downloads 429 (82,906)

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Interest Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk

IMF Working Paper No. 99/16
Number of pages: 30 Posted: 10 Feb 2006
Peter Christoffersen and Lorenzo Giorgianni
University of Toronto - Rotman School of Management and International Monetary Fund (IMF)
Downloads 133 (263,723)

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Time-varying Parameters, Cointegration, Exchange Rates

43.

Nonlinear Kalman Filtering in Affine Term Structure Models

Number of pages: 46 Posted: 24 May 2012 Last Revised: 04 Oct 2013
Peter Christoffersen, Christian Dorion, Kris Jacobs and Lotfi Karoui
University of Toronto - Rotman School of Management, HEC Montreal, University of Houston - C.T. Bauer College of Business and Goldman, Sachs & Co
Downloads 541 (63,055)
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Kalman filtering, nonlinearity, term structure models, swaps, caps

44.

Dynamic Dependence and Diversification in Corporate Credit

Rotman School of Management Working Paper No. 2314027, Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper
Number of pages: 47 Posted: 22 Aug 2013 Last Revised: 07 Jul 2016
Peter Christoffersen, Kris Jacobs, Xisong Jin and Hugues Langlois
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business, Universite du Luxembourg - Luxembourg School of Finance and HEC Paris - Finance Department
Downloads 522 (65,889)
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Credit risk, default risk, CDS, dynamic dependence, copula

45.

Models for S&P 500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices

CREATES Research Paper No. 2007-37
Number of pages: 39 Posted: 24 Jun 2008
Peter Christoffersen, Kris Jacobs and Karim Mimouni
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and McGill University - Desautels Faculty of Management
Downloads 498 (69,933)
Citation 15

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Stochastic volatility, option valuation, particle filtering, skewness, kurtosis, mean

46.

Equity Portfolio Management Using Option Price Information

Rotman School of Management Working Paper No. 2419587
Number of pages: 29 Posted: 04 Apr 2014
Peter Christoffersen and Xuhui (Nick) Pan
University of Toronto - Rotman School of Management and University of Oklahoma
Downloads 482 (72,759)
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option-implied volatility; commodity futures; cross-section of stocks; option-implied beta; mean-variance optimization.

47.

Nonlinear Filtering in Affine Term Structure Models: Evidence from the Term Structure of Swap Rates

Number of pages: 56 Posted: 18 Jun 2008 Last Revised: 01 Aug 2009
Peter Christoffersen, Kris Jacobs, Lotfi Karoui and Karim Mimouni
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business, Goldman, Sachs & Co and McGill University - Desautels Faculty of Management
Downloads 476 (73,841)
Citation 8

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term structure models, Kalman filtering, nonlinearity, swaps

48.

Option Valuation with Volatility Components, Fat Tails, and Non-Monotonic Pricing Kernels

Rotman School of Management Working Paper No. 2690888, Robert H. Smith School Research Paper No. RHS 2690888
Number of pages: 53 Posted: 14 Nov 2015 Last Revised: 30 Apr 2017
Kadir Babaoglu, Peter Christoffersen, Steven L. Heston and Kris Jacobs
Royal Bank of Canada, Capital Markets (Toronto), University of Toronto - Rotman School of Management, University of Maryland - Department of Finance and University of Houston - C.T. Bauer College of Business
Downloads 427 (84,099)
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volatility components, fat tails, jumps, pricing kernel

49.

Correlation Dynamics and International Diversification Benefits

Rotman School of Management Working Paper No. 2313954
Number of pages: 35 Posted: 22 Aug 2013
Peter Christoffersen, Vihang R. Errunza, Kris Jacobs and Xisong Jin
University of Toronto - Rotman School of Management, McGill University - Desautels Faculty of Management, University of Houston - C.T. Bauer College of Business and Universite du Luxembourg - Luxembourg School of Finance
Downloads 399 (90,978)
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Aasset pricing, asset allocation, dynamic conditional correlation (DCC), dynamic equicorrelation (DECO)

50.

Rare Disasters, Credit and Option Market Puzzles

Rotman School of Management Working Paper No. 2270517
Number of pages: 56 Posted: 22 Aug 2013 Last Revised: 22 Feb 2016
Peter Christoffersen, Du Du and Redouane Elkamhi
University of Toronto - Rotman School of Management, Hong Kong University of Science & Technology (HKUST) and University of Toronto - Rotman School of Management
Downloads 344 (107,685)
Citation 4

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Credit spreads, volatility, term structure, option skewness, stochastic recovery, consumption risk

51.

Exploring Dynamic Default Dependence

Number of pages: 43 Posted: 07 May 2009
Peter Christoffersen, Jan Ericsson, Kris Jacobs and Xisong Jin
University of Toronto - Rotman School of Management, McGill University, University of Houston - C.T. Bauer College of Business and Universite du Luxembourg - Luxembourg School of Finance
Downloads 339 (109,491)
Citation 1

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credit risk, structured products, dynamic equicorrelation, CDS, CDO, default

52.

Let's Get 'Real' About Using Economic Data

Number of pages: 22 Posted: 24 Jul 2001
Peter Christoffersen, Eric Ghysels and Norman R. Swanson
University of Toronto - Rotman School of Management, University of North Carolina Kenan-Flagler Business School and Rutgers University - Department of Economics
Downloads 334 (111,385)
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Market efficiency, expectations, news, data revision process

53.

From Inflation to Growth

Downloads 297 (126,259)

From Inflation to Growth

IMF Working Paper No. 98/100
Number of pages: 36 Posted: 17 Oct 2000
Peter Christoffersen and Peter Doyle
University of Toronto - Rotman School of Management and International Monetary Fund (IMF) - European Department
Downloads 297 (125,565)

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From Inflation to Growth

Posted: 17 Oct 2000
Peter Christoffersen and Peter Doyle
University of Toronto - Rotman School of Management and International Monetary Fund (IMF) - European Department

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54.

Option Valuation with Observable Volatility and Jump Dynamics

Rotman School of Management Working Paper No. 2494379
Number of pages: 53 Posted: 12 Sep 2014 Last Revised: 20 May 2016
Peter Christoffersen, Bruno Feunou and Yoontae Jeon
University of Toronto - Rotman School of Management, Bank of Canada and Ryerson University - Ted Rogers School of Management
Downloads 295 (127,089)
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Dynamic volatility, dynamic jumps, realized volatility, realized jumps

55.

Company Flexibility, the Value of Management and Managerial Compensation

Number of pages: 25 Posted: 06 Aug 2003
Peter Christoffersen and Andrey D. Pavlov
University of Toronto - Rotman School of Management and Simon Fraser University (SFU) - Finance Area
Downloads 294 (127,588)

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56.

Dating the Turning Points of Nordic Business Cycles

EPRU Working Paper No. 00/13
Number of pages: 17 Posted: 27 Nov 2000
Peter Christoffersen
University of Toronto - Rotman School of Management
Downloads 250 (150,684)
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57.

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

IMF Working Paper No. 00/103
Number of pages: 26 Posted: 28 Feb 2001
Peter Christoffersen and Torsten Sløk
University of Toronto - Rotman School of Management and Deutsche Bank, New York
Downloads 210 (178,036)
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58.

The Information Content of Over-the-Counter Currency Options

Number of pages: 52 Posted: 01 Dec 2004
Peter Christoffersen and Stefano Mazzotta
University of Toronto - Rotman School of Management and Kennesaw State University - Michael J. Coles College of Business
Downloads 197 (188,869)

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FX, volatility, interval, density, forecasting

59.

The State Price Density Implied by Crude Oil Futures and Option Prices

AFA 2016 Meetings Paper Forthcoming, Review of Financial Studies
Number of pages: 57 Posted: 20 Jan 2012 Last Revised: 30 Oct 2020
Peter Christoffersen, Kris Jacobs and Xuhui (Nick) Pan
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and University of Oklahoma
Downloads 174 (210,699)
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State price density; macroeconomic indicators; crude oil; stock index.

60.

Size Matters: The Impact of Capital Market Liberalization on Individual Firms

McGill Finance Research Centre Working Paper
Number of pages: 29 Posted: 31 Aug 2003
Peter Christoffersen, Hyunchul Chung and Vihang R. Errunza
University of Toronto - Rotman School of Management, Hanyang University-School of Business and McGill University - Desautels Faculty of Management
Downloads 171 (213,923)
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Revaluation effects, performance, volatility, correlation

61.

Nonlinear Kalman Filtering in Affine Term Structure Models: Internet Appendix

Rotman School of Management Working Paper No. 2322760
Number of pages: 4 Posted: 10 Sep 2013
Peter Christoffersen, Christian Dorion, Kris Jacobs and Lotfi Karoui
University of Toronto - Rotman School of Management, HEC Montreal, University of Houston - C.T. Bauer College of Business and Goldman, Sachs & Co
Downloads 158 (228,709)
Citation 16

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Kalman filtering, nonlinearity, term structure models, swaps, caps

62.

The Informational Content of Over-the-Counter Currency Options

Number of pages: 36 Posted: 24 Feb 2004
Peter Christoffersen and Stefano Mazzotta
University of Toronto - Rotman School of Management and Kennesaw State University - Michael J. Coles College of Business
Downloads 136 (258,375)
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OTC currency options, volatility, interval and density forecasts evaluation

63.

From Inflation to Growth: Eight Years of Transition

Downloads 128 (270,361)

From Inflation to Growth: Eight Years of Transition

IMF Working Paper No. 98/100
Number of pages: 36 Posted: 15 Feb 2006
Peter Christoffersen and Peter Doyle
University of Toronto - Rotman School of Management and International Monetary Fund (IMF) - European Department
Downloads 128 (271,411)

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Transition, growth, inflation, disinflation

From Inflation to Growth: Eight Years of Transition

Posted: 24 Sep 2001
Peter Christoffersen and Peter Doyle
University of Toronto - Rotman School of Management and International Monetary Fund (IMF) - European Department

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64.

Is Poland Ready for Inflation Targeting?

IMF Working Paper No. 99/41
Number of pages: 31 Posted: 12 Feb 2006
Peter Christoffersen and Robert Wescott
University of Toronto - Rotman School of Management and International Monetary Fund (IMF) - European Department
Downloads 120 (283,739)

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leading indicators, inflation, monetary policy, inflation targeting, robust statistics, administered prices

65.

Time-Varying Jump Intensities and Fat Tail Dynamics: Evidence from S&P500 Returns and Options

Rotman School of Management Working Paper No. 2360737
Number of pages: 49 Posted: 07 Dec 2013
Peter Christoffersen, Kris Jacobs and Chayawat Ornthanalai
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and University of Toronto - Rotman School of Management
Downloads 105 (311,283)
Citation 1

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compound Poisson, fi…ltering, jumps, fat tails, risk premia

66.

Interest Rate Arbitrage in Currency Baskets--Forecasting Weights and Measuring Risk

IMF Working Paper No. 99/16
Number of pages: 30 Posted: 17 Aug 2007
Lorenzo Giorgianni and Peter Christoffersen
International Monetary Fund (IMF) and University of Toronto - Rotman School of Management
Downloads 91 (341,497)

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Interest rates, Exchange rates, Economic models

67.

Optimal Prediction Under Asymmetric Loss

NBER Working Paper No. t0167
Number of pages: 38 Posted: 19 Jul 2000
Peter Christoffersen and Francis X. Diebold
University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 55 (449,054)
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68.

Dynamic Jump Intensities and Risk Premiums in Crude Oil Futures and Options Markets

Journal of Derivatives 24 (2), 8-30, 2016
Number of pages: 38 Posted: 19 Feb 2019 Last Revised: 19 Aug 2020
Peter Christoffersen, Kris Jacobs and Bingxin Li
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and West Virginia University
Downloads 29 (568,614)
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Crude oil, Futures, Options, Discrete-time models, Jump intensities, Risk premiums

69.

Interest Rate Cycles and Corporate Risk Management

Number of pages: 42 Posted: 18 Mar 2009
Peter Christoffersen, Amrita Nain and Jaideep S. Oberoi
University of Toronto - Rotman School of Management, University of Iowa - Henry B. Tippie College of Business and Kent Business School
Downloads 15 (662,849)
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corporate risk management, hedging, market timing, derivatives, interest rate swaps

70.

GARCH Option Valuation: Theory and Evidence

https://doi.org/10.3905/jod.2013.21.2.008
Posted: 20 May 2019
Peter Christoffersen, Kris Jacobs and Chayawat Ornthanalai
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and University of Toronto - Rotman School of Management
Downloads 0 (793,642)
Citation 2

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GARCH, option valuation

71.

Dynamic Jump Intensities and Risk Premiums in Crude Oil Futures and Options Markets

Journal of Derivatives, 24 (2), 8-30, Rotman School of Management Working Paper No. 2861911, https://doi.org/10.3905/jod.2016.24.2.008
Posted: 20 May 2019 Last Revised: 18 Aug 2020
Peter Christoffersen, Kris Jacobs and Bingxin Li
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and West Virginia University

Abstract:

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Crude oil; Futures; Options; Discrete-time models; Jump intensities; Risk premiums

72.

The Accuracy of Density Forecasts from Foreign Exchange Options

Journal of Financial Econometrics, Vol. 3, No. 4, pp. 578-605, 2005
Posted: 29 Feb 2008
Peter Christoffersen and Stefano Mazzotta
University of Toronto - Rotman School of Management and Kennesaw State University - Michael J. Coles College of Business

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density, forecasting, FX, interval, volatility

73.

Estimation Risk in Financial Risk Management

Posted: 25 Apr 2005
Peter Christoffersen and Sílvia Gonçalves
University of Toronto - Rotman School of Management and University of Montreal - Department of Economics

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Value-at-risk, VAR, portfolio risk management, risk capital allocation, performance attribution, expected shortfall

74.

Is Inflation Targeting Feasible in Poland?

Posted: 27 Sep 2001
Peter Christoffersen, Torsten Sløk and Robert Wescott
University of Toronto - Rotman School of Management, Deutsche Bank, New York and International Monetary Fund (IMF) - European Department

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