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Peter Christoffersen

University of Toronto - Rotman School of Management

Professor of Finance

105 St. George Street

Toronto, Ontario M5S 3E6 M5P 3C4

Canada

http://www.christoffersen.com

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

  • University of Toronto - Rotman School of Management

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

72

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Rank 201

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Top 201

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51,837

CITATIONS
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Top 707

in Total Papers Citations

720

Scholarly Papers (72)

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1.

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

Downloads 2,685 ( 3,365)
Citation 25

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 1,697 (7,305)
Citation 25

Abstract:

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 988 (17,198)
Citation 25

Abstract:

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

2.

Volatility Forecasting

Downloads 2,391 ( 4,084)
Citation 13

Volatility Forecasting

PIER Working Paper No. 05-011; CFS Working Paper No. 2005/08
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 2,207 (4,593)
Citation 13

Abstract:

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 184 (136,478)
Citation 13

Abstract:

3.

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 2,379 (3,907)
Citation 23

Abstract:

4.

Forward-Looking Betas

Downloads 2,307 ( 4,357)
Citation 10

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 1,962 (5,608)
Citation 10

Abstract:

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 345 (70,316)
Citation 10

Abstract:

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

5.

How Relevant is Volatility Forecasting for Financial Risk Management?

Downloads 2,220 ( 4,651)
Citation 45

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 1,251 (11,924)
Citation 45

Abstract:

How Relevant Is Volatility Forecasting for Financial Risk Management?

Review of Economics and Statistics
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 818 (22,829)
Citation 45

Abstract:

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 101 (222,752)
Citation 45

Abstract:

How Relevant is Volatility Forecasting for Financial Risk Management?

NBER Working Paper No. w6844
Number of pages: 27 Posted: 17 Sep 1999
Peter Christoffersen and Francis X. Diebold
University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 50 (334,140)
Citation 45

Abstract:

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 2,008 (4,957)
Citation 23

Abstract:

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

7.

Practical Volatility and Correlation Modeling for Financial Market Risk Management

Downloads 1,740 ( 7,123)
Citation 26

Practical Volatility and Correlation Modeling for Financial Market Risk Management

PIER Working Paper No. 05-007, CFS Working Paper 2005/02
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 1,569 (8,266)
Citation 26

Abstract:

None

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 171 (145,956)
Citation 26

Abstract:

8.

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 1,647 (4,210)
Citation 1

Abstract:

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

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 Central Bank of Luxembourg
Downloads 1,574 (7,593)
Citation 11

Abstract:

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

10.

Financial Risk Measurement for Financial Risk Management

Downloads 1,202 ( 12,975)
Citation 46

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 1,121 (14,178)
Citation 46

Abstract:

Market risk, volatility, GARCH

Financial Risk Measurement for Financial Risk Management

NBER Working Paper No. w18084
Number of pages: 130 Posted: 19 May 2012
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 81 (257,567)
Citation 46

Abstract:

11.

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 1,183 (9,738)
Citation 3

Abstract:

Pricing kernel, stochastic volatility, overreaction, variance risk

12.

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 1,069 (15,604)
Citation 31

Abstract:

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

13.

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 1,068 (12,714)
Citation 16

Abstract:

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

14.

Option Valuation with Conditional Heteroskedasticity and Non-Normality

Downloads 1,055 ( 15,933)
Citation 33

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 689 (29,133)
Citation 33

Abstract:

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 366 (65,512)
Citation 33

Abstract:

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

15.

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 955 (15,858)
Citation 20

Abstract:

capital regulation

16.

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 927 (13,011)
Citation 2

Abstract:

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

17.

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 862 (16,274)
Citation 19

Abstract:

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

18.

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

Journal of Financial Economics, Forthcoming., AFA 2010 Atlanta Meetings Paper, EFA 2008 Athens 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 829 (19,393)
Citation 1

Abstract:

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

19.

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 769 (25,088)
Citation 1

Abstract:

20.

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 744 (22,809)
Citation 30

Abstract:

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

21.

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 677 (26,712)
Citation 4

Abstract:

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

22.

GARCH Option Valuation: Theory and Evidence

Number of pages: 58 Posted: 08 May 2012 Last Revised: 22 Aug 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 669 (22,030)
Citation 2

Abstract:

GARCH, option valuation

23.

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
Downloads 639 (25,629)

Abstract:

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

24.

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

Downloads 636 ( 32,992)
Citation 24

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 636 (32,506)
Citation 24

Abstract:

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:

GARCH, kurtosis, risk model evaluation

25.

Illiquidity Premia in the Equity Options Market

Number of pages: 63 Posted: 15 Mar 2011 Last Revised: 24 May 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 McGill University
Downloads 635 (17,258)
Citation 3

Abstract:

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

26.

Which Volatility Model Should be Used for Option Pricing?

EFA 2002 Berlin Meetings Discussion Paper
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 626 (32,866)

Abstract:

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

27.

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 623 (30,028)
Citation 29

Abstract:

Risk Management, Backtesting, Volatility, Disclosure

28.

Cointegration and Long-Horizon Forecasting

Downloads 603 ( 35,404)
Citation 14

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 514 (43,108)
Citation 14

Abstract:

Cointegration and Long-Horizon Forecasting

NBER Working Paper No. t0217
Number of pages: 30 Posted: 25 Jul 2000
Peter Christoffersen and Francis X. Diebold
University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 45 (350,014)
Citation 14

Abstract:

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 44 (353,385)
Citation 14

Abstract:

29.

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

Downloads 590 ( 36,481)
Citation 26

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

PIER Working Paper No. 04-009; EFA 2004 Maastricht Meetings Paper No. 4809
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 394 (60,054)
Citation 26

Abstract:

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 160 (154,809)
Citation 26

Abstract:

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

NBER Working Paper No. w10009
Number of pages: 40 Posted: 05 Oct 2003
Peter Christoffersen and Francis X. Diebold
University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 36 (382,467)
Citation 26

Abstract:

30.

Option Valuation with Conditional Skewness

EFA 2004 Maastricht Meetings Paper No. 2964
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 571 (35,885)
Citation 38

Abstract:

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

31.

Backtesting

Number of pages: 12 Posted: 23 Apr 2012
Peter Christoffersen
University of Toronto - Rotman School of Management
Downloads 568 (24,311)
Citation 5

Abstract:

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

32.

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 567 (30,137)
Citation 4

Abstract:

Realized volatility, index options, risk premium, heteroskedasticity

33.

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
Downloads 556 (29,598)
Citation 6

Abstract:

Asset allocation, dynamic dependence, dynamic copula, asymmetric dependence

34.

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

Downloads 536 ( 41,392)
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 418 (55,846)
Citation 1

Abstract:

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 118 (198,725)
Citation 1

Abstract:

Time-varying Parameters, Cointegration, Exchange Rates

35.

Volatility Components, Affine Restrictions and Non-Normal Innovations

Downloads 526 ( 42,363)
Citation 8

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 417 (56,021)
Citation 8

Abstract:

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 109 (210,796)
Citation 8

Abstract:

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

36.

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 504 (42,168)
Citation 37

Abstract:

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

37.

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 502 (42,363)
Citation 9

Abstract:

Financial Asset Returns, Market Timing, and Volatility Dynamics

38.

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 465 (18,125)

Abstract:

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

39.

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 429 (52,286)
Citation 3

Abstract:

term structure models, Kalman filtering, nonlinearity, swaps

40.

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 Tulane University
Downloads 423 (34,088)

Abstract:

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

41.

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 399 (48,818)
Citation 1

Abstract:

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

42.

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 Central Bank of Luxembourg
Downloads 321 (75,602)
Citation 1

Abstract:

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

43.

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 307 (59,602)
Citation 23

Abstract:

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

44.

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 294 (79,120)
Citation 5

Abstract:

Market efficiency, expectations, news, data revision process

45.

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 286 (86,553)

Abstract:

46.

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 Central Bank of Luxembourg
Downloads 282 (71,141)

Abstract:

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

47.

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, Central Bank of Luxembourg and HEC Paris
Downloads 278 (55,732)
Citation 2

Abstract:

Credit risk, default risk, CDS, dynamic dependence, copula

48.

From Inflation to Growth

Downloads 269 ( 93,726)

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 269 (93,230)
Citation 16

Abstract:

From Inflation to Growth

Economics of Transition, Vol. 8, No. 2, July 2000
Posted: 17 Oct 2000
Peter Christoffersen and Peter Doyle
University of Toronto - Rotman School of Management and International Monetary Fund (IMF) - European Department

Abstract:

49.

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 Tulane University
Downloads 265 (61,776)

Abstract:

option-implied volatility; commodity futures; cross-section of stocks; option-implied beta; mean-variance optimization.

50.

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 227 (106,052)

Abstract:

51.

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 Vinther Olesen
University of Toronto - Rotman School of Management, University of Aarhus - School of Economics and Management and CREATES
Downloads 204 (67,659)

Abstract:

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

52.

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 192 (127,054)
Citation 3

Abstract:

53.

The Information Content of Over-the-Counter Currency Options

ECB Working Paper No. 366
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 180 (133,849)
Citation 6

Abstract:

FX, volatility, interval, density, forecasting

54.

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 160 (150,616)
Citation 6

Abstract:

Revaluation effects, performance, volatility, correlation

55.

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 138 (106,052)

Abstract:

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

56.

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 135 (114,741)

Abstract:

Dynamic volatility, dynamic jumps, realized volatility, realized jumps

57.

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 130 (182,515)
Citation 6

Abstract:

OTC currency options, volatility, interval and density forecasts evaluation

58.

From Inflation to Growth: Eight Years of Transition

Downloads 111 (207,044)

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 111 (207,979)
Citation 18

Abstract:

Transition, growth, inflation, disinflation

From Inflation to Growth: Eight Years of Transition

Economics of Transition, Vol. 8, No. 2, July 2000
Posted: 24 Sep 2001
Peter Christoffersen and Peter Doyle
University of Toronto - Rotman School of Management and International Monetary Fund (IMF) - European Department

Abstract:

59.

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 97 (212,611)
Citation 6

Abstract:

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

60.

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

Journal of Derivatives, Forthcoming, Rotman School of Management Working Paper No. 2861911
Number of pages: 38 Posted: 01 Nov 2016
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 95 (230,796)

Abstract:

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

61.

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 84 (240,695)
Citation 1

Abstract:

Interest rates, Exchange rates, Economic models

62.

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 72 (211,160)
Citation 1

Abstract:

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

63.

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 62 (255,283)

Abstract:

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

64.

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

Rotman School of Management Working Paper No. 2656412
Number of pages: 56 Posted: 06 Sep 2015 Last Revised: 16 Jan 2016
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 McGill University
Downloads 53 (82,966)

Abstract:

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

65.

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 44 (337,675)
Citation 27

Abstract:

66.

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 University of Kent, Canterbury - School of Mathematics, Statistics and Actuarial Science
Downloads 2 (503,051)

Abstract:

corporate risk management, hedging, market timing, derivatives, interest rate swaps

67.

Beta Risk in the Cross-Section of Equities

Rotman School of Management Working Paper No. 2926511
Number of pages: 52 Posted: 03 Mar 2017
Ali Boloorforoosh, 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 0 (140,105)

Abstract:

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

68.

Time-Varying Crash Risk: The Role of Stock Market Liquidity

Rotman School of Management Working Paper No. 2797308
Number of pages: 54 Posted: 20 Jun 2016 Last Revised: 22 Sep 2016
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 0 (79,972)

Abstract:

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

69.

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 0 (95,978)

Abstract:

volatility components, fat tails, jumps, pricing kernel

70.

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

Abstract:

density, forecasting, FX, interval, volatility

71.

Estimation Risk in Financial Risk Management

Journal of Risk, Vol. 7, No. 3, pp. 1-28, Spring 2005
Posted: 25 Apr 2005
Peter Christoffersen and Sílvia Gonçalves
University of Toronto - Rotman School of Management and University of Montreal - Department of Economics

Abstract:

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

72.

Is Inflation Targeting Feasible in Poland?

Economics of Transition, Vol. 9, No. 1, March 2001
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

Abstract:

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