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

SCHOLARLY PAPERS

73

DOWNLOADS
Rank 491

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Top 491

in Total Papers Downloads

71,693

SSRN CITATIONS
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Top 761

in Total Papers Citations

1,386

CROSSREF CITATIONS

591

Scholarly Papers (73)

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 4,300 (4,540)
Citation 115

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

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 2,189 (13,276)
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 1,579 (22,150)
Citation 38

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

3.
Downloads 3,211 ( 7,350)
Citation 8

Volatility Forecasting

Number of pages: 114 Posted: 28 Feb 2005
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 2,582 (10,197)

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Volatility Forecasting

NBER Working Paper No. w11188
Number of pages: 113 Posted: 20 May 2005 Last Revised: 29 Jul 2022
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 629 (80,183)
Citation 4

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4.
Downloads 3,050 ( 7,962)
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 2,530 (10,514)
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 520 (101,994)
Citation 22

Abstract:

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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, University of California, Los Angeles and Southern Methodist University
Downloads 2,562 (10,509)
Citation 12

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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 2,552 (10,564)
Citation 59

Abstract:

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

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 1,341 (28,203)
Citation 18

Abstract:

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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 857 (53,460)

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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 125 (427,006)

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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 Sep 2022
Peter Christoffersen and Francis X. Diebold
University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 77 (592,834)

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8.

Backtesting

Number of pages: 12 Posted: 23 Apr 2012
Peter Christoffersen
University of Toronto - Rotman School of Management
Downloads 2,087 (14,575)
Citation 2

Abstract:

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

Practical Volatility and Correlation Modeling for Financial Market Risk Management

Number of pages: 41 Posted: 21 Jan 2005
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 1,700 (19,732)
Citation 2

Abstract:

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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 Last Revised: 01 Oct 2022
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 274 (210,533)
Citation 24

Abstract:

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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 1,951 (16,176)
Citation 84

Abstract:

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Pricing kernel, stochastic volatility, overreaction, variance risk

11.

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 1,901 (16,866)
Citation 6

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

12.

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 1,825 (18,032)
Citation 13

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

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 1,766 (18,967)
Citation 24

Abstract:

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

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 1,687 (20,003)
Citation 48

Abstract:

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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

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GARCH, kurtosis, risk model evaluation

15.

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, UNSW Business School and University of Houston - C.T. Bauer College of Business
Downloads 1,668 (20,705)
Citation 32

Abstract:

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

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 1,547 (23,244)
Citation 29

Abstract:

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

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 1,541 (23,395)
Citation 68

Abstract:

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

18.
Downloads 1,425 (26,307)
Citation 39

Financial Risk Measurement for Financial Risk Management

PIER Working Paper No. 11-037
Number of pages: 130 Posted: 07 Nov 2011
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 1,291 (29,940)
Citation 1

Abstract:

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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: 01 Jun 2023
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 134 (404,234)
Citation 13

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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 909 (49,353)
Citation 3

Abstract:

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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 473 (114,269)
Citation 7

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

20.

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 1,329 (29,101)
Citation 34

Abstract:

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

21.

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 1,325 (29,233)
Citation 30

Abstract:

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capital regulation

22.

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 1,194 (34,012)
Citation 11

Abstract:

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

23.

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 1,124 (37,055)
Citation 28

Abstract:

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

24.

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 1,050 (40,877)
Citation 60

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Asset allocation, dynamic dependence, dynamic copula, asymmetric dependence

25.

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 1,008 (43,357)
Citation 10

Abstract:

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

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
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 948 (47,186)
Citation 5

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 909 (50,042)
Citation 21

Abstract:

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Realized volatility, index options, risk premium, heteroskedasticity

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 460 (118,157)
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 226 (253,839)
Citation 17

Abstract:

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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: 07 Nov 2022
Peter Christoffersen and Francis X. Diebold
University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 196 (289,818)
Citation 3

Abstract:

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29.

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 859 (54,073)
Citation 67

Abstract:

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Risk Management, Backtesting, Volatility, Disclosure

30.

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, Asger Lunde, Kasper Olesen and Kasper Olesen
University of Toronto - Rotman School of Management, CREATESAarhus University - School of Business and Social Sciences and CREATESBank of America - Bank of America Merrill Lynch
Downloads 852 (54,701)
Citation 18

Abstract:

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

31.

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 842 (55,577)
Citation 4

Abstract:

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

32.

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 821 (57,533)

Abstract:

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33.

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 771 (62,611)
Citation 54

Abstract:

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

34.

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 770 (62,730)
Citation 7

Abstract:

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Financial Asset Returns, Market Timing, and Volatility Dynamics

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 597 (85,880)
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 162 (343,870)
Citation 27

Abstract:

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

36.

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, UNSW Business School, University of Houston - C.T. Bauer College of Business and OMERS
Downloads 743 (65,740)
Citation 8

Abstract:

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

37.

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 741 (65,952)
Citation 46

Abstract:

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

38.
Downloads 737 (66,453)
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, UNSW Business School and University of Toronto - Department of Economics
Downloads 632 (79,710)
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 UNSW Business School
Downloads 105 (484,301)

Abstract:

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

39.

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, McMaster University - Michael G. DeGroote School of Business and University of Toronto - Rotman School of Management
Downloads 728 (67,596)
Citation 3

Abstract:

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

40.

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 721 (68,325)

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

41.
Downloads 688 (72,608)
Citation 4

Cointegration and Long-Horizon Forecasting

IMF Working Paper No. 1997/061
Number of pages: 31 Posted: 06 Nov 1997
Peter Christoffersen and Francis Diebold
University of Toronto - Rotman School of Management and affiliation not provided to SSRN
Downloads 544 (96,435)
Citation 5

Abstract:

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WP, mover accent

Cointegration and Long-Horizon Forecasting

NBER Working Paper No. t0217
Number of pages: 30 Posted: 25 Jul 2000 Last Revised: 05 Feb 2023
Peter Christoffersen and Francis X. Diebold
University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 75 (602,009)

Abstract:

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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 69 (631,291)

Abstract:

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42.

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 657 (76,967)
Citation 2

Abstract:

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

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 457 (119,084)

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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 167 (334,848)

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Time-varying Parameters, Cointegration, Exchange Rates

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 603 (85,641)
Citation 17

Abstract:

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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 587 (88,680)
Citation 15

Abstract:

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

46.

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
Volmex Labs, University of Toronto - Rotman School of Management, University of Maryland - Department of Finance and University of Houston - C.T. Bauer College of Business
Downloads 563 (93,417)
Citation 4

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volatility components, fat tails, jumps, pricing kernel

47.

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 552 (95,778)
Citation 1

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

48.

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 551 (96,001)
Citation 8

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term structure models, Kalman filtering, nonlinearity, swaps

49.
Downloads 524 (102,198)
Citation 1

From Inflation to Growth: Eight Years of Transition

IMF Working Paper No. 1998/100
Number of pages: 37 Posted: 17 Oct 2000
Peter Christoffersen
University of Toronto - Rotman School of Management
Downloads 359 (157,381)

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WP, exchange rate, export, output, Transition, growth, inflation, disinflation, disinflation dummy, export market growth, rate of inflation, inflation-output threshold, output loss, disinflation episode, sacrifice ratio, standard error, Exports, Export performance, Structural reforms, Baltics

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 165 (338,354)

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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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50.

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 476 (114,707)
Citation 5

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

51.

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 400 (140,629)
Citation 5

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

52.

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 393 (143,388)
Citation 2

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

53.

Let's Get 'Real' About Using Economic Data

Number of pages: 22 Posted: 24 Jul 2001
Peter Christoffersen, Eric Ghysels, Norman R. Swanson and Norman R. Swanson
University of Toronto - Rotman School of Management, University of North Carolina Kenan-Flagler Business School and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 370 (153,382)
Citation 3

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Market efficiency, expectations, news, data revision process

54.

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 358 (159,122)
Citation 6

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State price density; macroeconomic indicators; crude oil; stock index.

55.

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 McMaster University - Michael G. DeGroote School of Business
Downloads 342 (167,143)
Citation 2

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Dynamic volatility, dynamic jumps, realized volatility, realized jumps

56.

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 314 (183,008)

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57.

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 285 (202,595)
Citation 8

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58.

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 260 (222,277)
Citation 25

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

59.

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 223 (258,113)

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FX, volatility, interval, density, forecasting

60.

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

IMF Working Paper No. 2000/103
Number of pages: 27 Posted: 10 Nov 2000
Torsten Sloek and Peter Christoffersen
affiliation not provided to SSRN and University of Toronto - Rotman School of Management
Downloads 223 (258,113)

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WP, asset price, asset, price, Asset prices in transition countries, Leading indicator analysis, Tracking portfolio, way asset market, transition economy, asset return, market infrastructure, IP terms, leading indicator properties, asset prices in transition economy, current asset, market efficiency, market instrument, Industrial production, Asset prices, Cyclical indicators, Stocks, Stock markets, Eastern Europe

61.

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 191 (297,477)
Citation 6

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Revaluation effects, performance, volatility, correlation

62.

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 159 (349,365)

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

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 156 (355,080)
Citation 1

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

64.

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 154 (358,809)
Citation 7

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OTC currency options, volatility, interval and density forecasts evaluation

65.

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 117 (444,358)

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Interest rates, Exchange rates, Economic models

66.

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 95 (514,740)
Citation 2

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

67.

Optimal Prediction Under Asymmetric Loss

NBER Working Paper No. t0167
Number of pages: 38 Posted: 19 Jul 2000 Last Revised: 18 Jun 2023
Peter Christoffersen and Francis X. Diebold
University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 70 (616,579)
Citation 1

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68.

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 SOAS University of London - Centre for Financial and Management Studies
Downloads 48 (738,281)
Citation 2

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

69.

GARCH Option Valuation: Theory and Evidence

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 (1,166,545)
Citation 2

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GARCH, option valuation

70.

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

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

71.

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

72.

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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73.

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

Abstract:

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