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Jacobs, Kris Diebold, Francis X. Bollerslev, Tim Andersen, Torben Feunou, Bruno Heston, Steven L. Ornthanalai, Chayawat Chang, Bo Young Errunza, Vihang R. Jin, Xisong Fournier, Mathieu Langlois, Hugues Jeon, Yoontae Karoui, Mehdi Giorgianni, Lorenzo Dorion, Christian Mimouni, Karim Pelletier, Denis Doyle, Peter Elkamhi, Redouane Sløk, Torsten Pan, Xuhui Mazzotta, Stefano Karoui, Lotfi Yintian Wang Berkowitz, Jeremy Li, Bingxin Pan, Xuhui (Nick) Goyenko, Ruslan Hahn, Jinyong Meddahi, Nour Wescott, Robert F. Vasquez, Aurelio Lunde, Asger Inoue, Atsushi Du, Du Amaya, Diego Swanson, Norman R. All co-authors option model returns market models time management forecasting financial volatility valuation volatilität dependence using equity return evidence data asset forecastability optionspreistheorie dynamics economic prognoseverfahren long prices structure realized conditional forecasts empirical jump measures results implied stock based section information
Composed option valuation option pricing theory forecasting model volatility forecastability capital income arch modell arch model portfolio management portfolio selection stochastic volatility market risk time varying option implied risk premium time series analysis sign dependence risk management option prices stock returns volatility models long horizon value risk asset returns discrete time kalman filter stochastischer prozess stochastic process oil futures volatility forecasting non normal option data risk measure capital market returns equity options returns option direction change daily returns stock market skewness kurtosis factor structure volatility jump equity returns index option rate arbitrage yield curve index options risk measurement management volatility volatility dynamics financial market tail dependence affine models volatility forecasts crash risk beta risk oil volatility structure models
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The information on the author is retrieved from: Entity Facts (by DNB = German National Library data service), DBPedia and Wikidata
Peter F. Christoffersen Alternative spellings: Peter Christoffersen P. Christoffersen B: 1967 D: 2018Biblio: Am Dept. of Economics, Univ. of Pennsylvania (1994), an der McGill Univ. (2003) ; Tätig beim Internat. Monetary Fund, Washington, DC
Profession Economist
Affiliations Handelshøjskolen i København Aarhus Universitet. Center for Research in Econometric Analysis of Time Series Joseph L. Rotman School of Management
Q41800266
Publishing years Series CREATES research paper (21) Working papers / Financial Institutions Center (12) Rotman School of Management Working Paper (10) NBER Working Paper (7) IMF working papers (5) IMF working paper (5) Working paper / National Bureau of Economic Research, Inc. (5) IMF Working Paper (3) Rotman School of Management working paper / University of Toronto Rotman School of Management (3) Staff working paper / Bank of Canada (3) CFS working paper series (3) CREATES Research Paper (3) NYU Working Paper (2) Working papers / Federal Reserve Bank of Philadelphia, Economic Research Division (2) Working paper series / Economic Policy Research Unit, Institute of Economics, University of Copenhagen (2) Technical working paper / National Bureau of Economic Research (2) PIER Working Paper (2) Journal of financial econometrics (2) EFA 2007 Ljubljana Meetings Paper (1) Working paper series (1) AFA 2016 Meetings Paper Forthcoming, Review of Financial Studies (1) Symposium on forecasting and empirical methods in macroeconomics and finance (1) Financial services at the crossroads: capital regulation in the twenty-first century (1) IMF staff country report (1) Working paper series / New York University, Salomon Center, Leonard N. Stern School of Business (1) Financial Institutions Center (1) Handbook of Economic Forecasting (1) AFA 2013 San Diego Meetings Paper (1) IMF Working Papers, Vol. , pp. 1-0, 1999 (1) AFA 2011 Denver Meetings Paper (1) Working papers / Penn Institute for Economic Research (1) Working papers / Rodney L. White Center for Financial Research (1) Working paper series / European Central Bank ; Eurosystem (1) CREATES Research Paper Series 2009 (1) IMF Working Paper, Vol. , pp. 1-30, 1999 (1) IMF Working Paper, Vol. , pp. 1-31, 1999 (1) IMF Working Paper, Vol. , pp. 1-36, 1998 (1) 
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