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273 records from EconBiz based on author Name
1. From Inflation to Growth : Eight Years of Transition
abstractThis paper reexamines growth in transition using panel data to 1997. It suggests that output has been strongly affected by export market growth; that inflation has been associated with weaker output only above a threshold inflation rate; that structural reform has been associated with weaker output initially, but that it stimulates higher growth thereafter; and that rapid disinflation has been associated with output losses only in the presence of pegged exchange rates
Christoffersen, Peter F.;2021
Availability: Link Link
2. Is Poland Ready for Inflation Targeting?
abstractMonetary policymakers in advanced transition economies such as Poland are increasingly interested in how inflation responds to changes in policy instruments and other economic forces. In this paper, measures of underlying CPI inflation based upon optimal trimming concepts are developed. The sensitivity of these CPI measures to changes in a set of 25 policy and economic variables is then studied via Granger causality tests and impulse responses and a multivariate model of CPI inflation developed. The results show that a core set of variables characterize one-period-ahead underlying inflation moderately well but that statistical linkages are not yet robust
Christoffersen, Peter F.; Wescott, Robert;2021
Availability: Link Link
Citations: 2 (based on OpenCitations)
3. Optimal Prediction Under Asymmetric Loss
abstractPrediction problems involving asymmetric loss functions arise routinely in many fields, yet the theory of optimal prediction under asymmetric loss is not well developed. We study the optimal prediction problem under general loss structures and characterize the optimal predictor. We compute the optimal predictor analytically in two leading cases. Analytic solutions for the optimal predictor are not available in more complicated cases, so we develop numerical procedures for computing it. We illustrate the results by forecasting the GARCH(1,1) process which, although white noise, is non-trivially forecastable under asymmetric loss
Christoffersen, Peter F.; Diebold, Francis X.;2021
Availability: Link
4. Dynamic Jump Intensities and Risk Premiums in Crude Oil Futures and Options Markets
abstractOptions on crude oil futures are the most actively traded commodity options. We develop a class of computationally efficient discrete-time jump models that allow for closed-form option valuation, and we use crude oil futures and options data to investigate the economic importance of jumps and dynamic jump intensities in these markets. Allowing for jumps is crucial for modeling crude oil futures and futures options, and we find evidence in favor of time-varying jump intensities. During crisis periods, jumps occur more frequently. The properties of the jump processes implied by the option data differ from those implied by the futures data, which may be due to improved parameter identification
Christoffersen, Peter F.; Jacobs, Kris; Li, Bingxin;2020
Availability: Link
5. The State Price Density Implied by Crude Oil Futures and Option Prices
abstractBoth large oil price increases and decreases are associated with deteriorating economic conditions. Consistent with this stylized fact, we find that the projection of the state price density (SPD) on oil returns estimated from oil futures and option prices displays a U-shaped pattern. Because investors assign high state prices to large negative and large positive oil returns, the U-shaped SPD may steepen in either tail when economic conditions deteriorate. The positive return region of the SPD is more closely related to economic conditions. The oil SPD contains information about economic conditions and future security returns that is distinct from the information in the stock index SPD
Christoffersen, Peter F.; Jacobs, Kris; Pan, Xuhui (Nick);2020
Availability: Link Link
Citations: 4 (based on OpenCitations)
6. The state price density implied by crude oil futures and option prices
Christoffersen, Peter F.; Jacobs, Kris; Pan, Xuhui;2022
Type: Aufsatz in Zeitschrift; Article in journal;
Availability:
Link Link Citations: 7 (based on OpenCitations)
7. Financial Risk Measurement for Financial Risk Management
abstractCurrent practice largely follows restrictive approaches to market risk measurement, such as historical simulation or RiskMetrics. In contrast, we propose flexible methods that exploit recent developments in financial econometrics and are likely to produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level analysis is particularly challenging because the demands of real-world risk management in financial institutions - in particular, real-time risk tracking in very high-dimensional situations - impose strict limits on model complexity. Hence we stress powerful yet parsimonious models that are easily estimated. In addition, we emphasize the need for deeper understanding of the links between market risk and macroeconomic fundamentals, focusing primarily on links among equity return volatilities, real growth, and real growth volatilities. Throughout, we strive not only to deepen our scientific understanding of market risk, but also cross-fertilize the academic and practitioner communities, promoting improved market risk measurement technologies that draw on the best of both
Andersen, Torben G.; Diebold, Francis X.; Christoffersen, Peter F.; Bollerslev, Tim;2012
Availability: Link Link
Citations: 21 (based on OpenCitations)
8. Option-based estimation of the price of coskewness and cokurtosis risk
Christoffersen, Peter F.; Fournier, Mathieu; Jacobs, Kris; Karoui, Mehdi;2021
Type: Aufsatz in Zeitschrift; Article in journal;
Availability:
Link 9. Special issue articles on predictive modeling, volatility, and risk management in financial markets, in memory of Peter F. Christoffersen, part II
Christoffersen, Peter F.;2021
Type: Aufsatzsammlung; Beiträge
Availability: Link
10. Time-varying crash risk embedded in index options : the role of stock market liquidity
Christoffersen, Peter F.; Feunou, Bruno; Jeon, Yoontae; Ornthanalai, Chayawat;2021
Type: Aufsatz in Zeitschrift; Article in journal;
Availability:
Link Link Citations: 4 (based on OpenCitations)