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Information about:
Peter F. Christoffersen

Personal Details | Affiliation | Works
This is information that was supplied by Peter Christoffersen in registering through RePEc. If you are Peter F. Christoffersen , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Peter
Middle Name: F.
Last Name: Christoffersen
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RePEc Short-ID: pch343

Email: [This author has chosen not to make the email address public]
Homepage: http://www.christoffersen.ca
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Affiliation

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Lists

This author is among the top 5% authors according to these criteria:
  1. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  2. h, where author has written h papers that have each been cited at least h times.
  3. Number of Abstract Views in RePEc Services over the past 12 months
  4. Number of Downloads through RePEc Services over the past 12 months

Works

| Working papers | Articles | Chapters | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML, plain text, BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Peter Christoffersen & Kris Dorion & Yintian Wang, 2008. "Volatility Components, Affine Restrictions and Non-Normal Innovations," CREATES Research Papers 2008-10, School of Economics and Management, University of Aarhus. [Downloadable!]

  2. Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai & Yintian Wang, 2008. "Option Valuation with Long-run and Short-run Volatility Components," CREATES Research Papers 2008-11, School of Economics and Management, University of Aarhus. [Downloadable!]

  3. Peter Christoffersen & Kris Jacobs & Gregory Vainberg, 2007. "Forward-Looking Betas," CREATES Research Papers 2007-39, School of Economics and Management, University of Aarhus. [Downloadable!]

  4. Peter Christoffersen & Kris Jacobs & Karim Mimouni, 2007. "Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices," CREATES Research Papers 2007-37, School of Economics and Management, University of Aarhus. [Downloadable!]

  5. Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Anthony S. Tay & Yiu Kuen Tse, 2006. "Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence," PIER Working Paper Archive 06-016, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]

  6. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," NBER Working Papers 11069, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:

  7. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Volatility Forecasting," PIER Working Paper Archive 05-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
    Other versions:

  8. Jeremy Berkowitz & Peter Christoffersen & Denis Pelletier, 2005. "Evaluating Value-at-Risk models with desk-level data," Working Paper Series 010, North Carolina State University, Department of Economics, revised Dec 2006. [Downloadable!]

  9. Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Anthony S. Tay & Yiu Kuen Tse, 2004. "Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore," Working Papers 02-2005, Singapore Management University, School of Economics, revised Jan 2005. [Downloadable!]

  10. Peter Christoffersen & Jeremy Berkowitz, 2004. "Martingale Tests of Value-at-Risk," Econometric Society 2004 North American Winter Meetings 236, Econometric Society.

  11. Peter Christoffersen & Sílvia Gonçalves, 2004. "Estimation Risk in Financial Risk Management," CIRANO Working Papers 2004s-15, CIRANO. [Downloadable!]

  12. Peter Christoffersen & Kris Jacobs & Yintian Wang, 2004. "Option Valuation with Long-run and Short-run Volatility Components," CIRANO Working Papers 2004s-56, CIRANO. [Downloadable!]

  13. Peter Christoffersen & Stefano Mazzotta, 2004. "The Informational Content of Over-the-Counter Currency Options," CIRANO Working Papers 2004s-16, CIRANO. [Downloadable!]
    Other versions:

  14. Peter Christoffersen & Denis Pelletier, 2003. "Backtesting Value-at-Risk: A Duration-Based Approach," CIRANO Working Papers 2003s-05, CIRANO. [Downloadable!]
    Published as:

  15. Peter Christoffersen & Andrey Pavlov, 2003. "Company Flexibility, the Value of Management and Managerial Compensation," CIRANO Working Papers 2003s-06, CIRANO. [Downloadable!]

  16. Peter Christoffersen & Hyunchul Chung & Vihang Errunza, 2003. "Size Matters: The Impact of Capital Market Liberalization on Individual Firms," CIRANO Working Papers 2003s-13, CIRANO. [Downloadable!]

  17. Peter F. Christoffersen & Francis X. Diebold, 2003. "Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics," NBER Working Papers 10009, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:

  18. Marcel Boyer & Peter Christoffersen & Pierre Lasserre & Andrey Pavlov, 2003. "Création de valeur, gestion de risque et options réelles," CIRANO Burgundy Reports 2003rb-01, CIRANO. [Downloadable!]

  19. Peter Christoffersen & Kris Jacobs, 2003. "The Importance of the Loss Function in Option Valuation," CIRANO Working Papers 2003s-52, CIRANO. [Downloadable!]
    Published as:

  20. Peter Christoffersen & Steve Heston & Kris Jacobs, 2003. "Option Valuation with Conditional Skewness," CIRANO Working Papers 2003s-50, CIRANO. [Downloadable!]
    Published as:

  21. Marcel Boyer & Peter Christoffersen & Pierre Lasserre & Andrey Pavlov, 2003. "Value creation, risk management, and real options," CIRANO Burgundy Reports 2003rb-02, CIRANO. [Downloadable!]

  22. Peter Christoffersen & Kris Jacobs, 2002. "Which Volatility Model for Option Valuation?," CIRANO Working Papers 2002s-33, CIRANO. [Downloadable!]

  23. Peter Christoffersen & Francis X. Diebold, 2002. "Financial Asset Returns, Market Timing, and Volatility Dynamics," CIRANO Working Papers 2002s-02, CIRANO. [Downloadable!]

  24. Marcel Boyer & Peter Christoffersen & Pierre Lasserre & Andrey Pavlov, 2001. "Value Creation through Real Options Management," CIRANO Project Reports 2001rp-04, CIRANO. [Downloadable!]

  25. Peter Christoffersen & Eric Ghysels & Norman R. Swanson, 2001. "Let's Get "Real" about Using Economic Data," CIRANO Working Papers 2001s-44, CIRANO. [Downloadable!]
    Other versions:
    Published as:

  26. Peter Christoffersen & Kris Jacobs, 2001. "The Importance of the Loss Function in Option Pricing," CIRANO Working Papers 2001s-45, CIRANO. [Downloadable!]

  27. Peter Christoffersen & Jinyong Hahn & Atsushi Inoue, 2001. "Testing and Comparing Value-at-Risk Measures," CIRANO Working Papers 2001s-03, CIRANO. [Downloadable!]
    Published as:

  28. Torsten Sløk & Peter F. Christoffersen, 2000. "Do Asset Prices in Transition Countries Contain Information About Future Economic Activity?," IMF Working Papers 00/103, International Monetary Fund.

  29. Lorenzo Giorgiani & Peter F. Christoffersen, 1999. "Interest Rate Arbitrage in Currency Baskets--Forecasting Weights and Measuring Risk," IMF Working Papers 99/16, International Monetary Fund.
    Published as:

  30. Robert F. Westcott & Peter F. Christoffersen, 1999. "Is Poland Ready for Inflation Targeting?," IMF Working Papers 99/41, International Monetary Fund.

  31. Peter Christoffersen & Jinyong Hahn & Atsushi Inoue, 1999. "Testing, Comparing, and Combining Value at Risk Measures," Center for Financial Institutions Working Papers 99-44, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]

  32. Peter F. Christoffersen & Francis X. Diebold & Til Schuermann, 1998. "Horizon Problems and Extreme Events in Financial Risk Management," Center for Financial Institutions Working Papers 98-16, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
    Published as:

  33. Peter F. Christoffersen & Francis X. Diebold, 1998. "How Relevant is Volatility Forecasting for Financial Risk Management?," NBER Working Papers 6844, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    Published as:

  34. Peter Doyle & Peter F. Christoffersen, 1998. "From Inflation to Growth - Eight Years of Transition," IMF Working Papers 98/100, International Monetary Fund.

  35. Peter F. Christoffersen & Francis X. Diebold, 1997. "Cointegration and Long-Horizon Forecasting," NBER Technical Working Papers 0217, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    Published as:

  36. Peter F. Christoffersen & Francis X. Diebold, 1994. "Optimal Prediction Under Asymmetric Loss," NBER Technical Working Papers 0167, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:

  37. Peter F. Christoffersen, . "Dating the Turning Points of Nordic Business Cycles," EPRU Working Paper Series 00-13, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics. [Downloadable!]

Articles

  1. Christoffersen, Peter & Chung, Hyunchul & Errunza, Vihang, 2006. "Size matters: The impact of financial liberalization on individual firms," Journal of International Money and Finance, Elsevier, vol. 25(8), pages 1296-1318, December. [Downloadable!] (restricted)

  2. Christoffersen, Peter & Heston, Steve & Jacobs, Kris, 2006. "Option valuation with conditional skewness," Journal of Econometrics, Elsevier, vol. 127(1-2), pages 253-284. [Downloadable!] (restricted)
    Other versions:

  3. Peter Christoffersen & Stefano Mazzotta, 2005. "The Accuracy of Density Forecasts from Foreign Exchange Options," Journal of Financial Econometrics, Oxford University Press, vol. 3(4), pages 578-605. [Downloadable!] (restricted)

  4. Christoffersen, Peter & Jacobs, Kris, 2004. "The importance of the loss function in option valuation," Journal of Financial Economics, Elsevier, vol. 72(2), pages 291-318, May. [Downloadable!] (restricted)
    Other versions:

  5. Peter Christoffersen, 2004. "Backtesting Value-at-Risk: A Duration-Based Approach," Journal of Financial Econometrics, Oxford University Press, vol. 2(1), pages 84-108. [Downloadable!] (restricted)
    Other versions:

  6. Christoffersen, Peter & Ghysels, Eric & Swanson, Norman R., 2002. "Let's get "real" about using economic data," Journal of Empirical Finance, Elsevier, vol. 9(3), pages 343-360, August. [Downloadable!] (restricted)
    Other versions:

  7. Peter Christoffersen & Torsten Sløk & Robert Wescott, 2001. "Is inflation targeting feasible in Poland?," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 9(1), pages 153-174, March. [Downloadable!] (restricted)

  8. Christoffersen, Peter & Hahn, Jinyong & Inoue, Atsushi, 2001. "Testing and comparing Value-at-Risk measures," Journal of Empirical Finance, Elsevier, vol. 8(3), pages 325-342, July. [Downloadable!] (restricted)
    Other versions:

  9. Christoffersen, Peter & Errunza, Vihang, 2000. "Towards a global financial architecture: capital mobility and risk management issues," Emerging Markets Review, Elsevier, vol. 1(1), pages 3-20, May. [Downloadable!] (restricted)

  10. Peter F. Christoffersen & Francis X. Diebold, 2000. "How Relevant is Volatility Forecasting for Financial Risk Management?," The Review of Economics and Statistics, MIT Press, vol. 82(1), pages 12-22, February. [Downloadable!] (restricted)
    Other versions:

  11. Peter Christoffersen & Peter Doyle, 2000. "From Inflation to Growth," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 8(2), pages 421-451, July. [Downloadable!] (restricted)

  12. Christoffersen, Peter F & Giorgianni, Lorenzo, 2000. "Interest-Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(2), pages 242-53, April.
    Other versions:

  13. Christoffersen, Peter F & Diebold, Francis X, 1998. "Cointegration and Long-Horizon Forecasting," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 450-58, October.
    Other versions:

  14. Peter F. Christoffersen & Francis X. Diebold & Til Schuermann, 1998. "Horizon problems and extreme events in financial risk management," Economic Policy Review, Federal Reserve Bank of New York, issue Oct, pages 109-118. [Downloadable!]
    Other versions:

  15. Christoffersen, Peter F, 1998. "Evaluating Interval Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 841-62, November.

  16. Christoffersen, Peter F & Diebold, Francis X, 1996. "Further Results on Forecasting and Model Selection under Asymmetric Loss," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(5), pages 561-71, Sept.-Oct. [Downloadable!] (restricted)
    Other versions:

Chapters

  1. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, Elsevier. [Downloadable!] (restricted)

NEP Fields

29 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (1) 2007-01-13
  2. NEP-BEC: Business Economics (4) 2005-03-13 2005-07-18 2005-07-18 2006-06-17
  3. NEP-CFN: Corporate Finance (12) 1998-12-28 2003-08-31 2003-09-08 2003-11-30 2004-05-02 2005-01-02 2005-02-01 2005-02-01 2005-03-20 2005-07-18 2005-07-18 2005-07-18 Author is listed
  4. NEP-CMP: Computational Economics (1) 2003-04-27
  5. NEP-COM: Industrial Competition (1) 2003-04-27
  6. NEP-ECM: Econometrics (9) 1998-12-28 2003-05-12 2005-02-01 2005-03-13 2005-03-20 2005-07-18 2006-06-17 2006-09-30 2007-01-13 Author is listed
  7. NEP-EEC: European Economics (1) 2003-05-08
  8. NEP-ENT: Entrepreneurship (1) 2003-04-27
  9. NEP-ETS: Econometric Time Series (11) 2003-09-08 2004-11-22 2005-01-02 2005-02-01 2005-03-13 2005-03-20 2005-07-18 2005-07-18 2006-06-17 2006-09-30 2008-06-27 Author is listed
  10. NEP-FIN: Finance (16) 2003-04-27 2003-07-13 2003-11-30 2004-05-02 2004-05-02 2004-11-22 2005-01-02 2005-02-01 2005-03-13 2005-03-20 2005-07-18 2005-07-18 2005-07-18 2005-10-04 2006-06-17 2006-09-30 Author is listed
  11. NEP-FMK: Financial Markets (15) 2003-04-27 2003-08-31 2003-09-08 2004-05-02 2005-02-01 2005-03-13 2005-07-18 2005-07-18 2005-07-18 2005-10-04 2006-06-17 2006-09-30 2008-06-27 2008-06-27 2008-06-27 Author is listed
  12. NEP-FOR: Forecasting (6) 2005-07-18 2005-07-18 2005-10-04 2006-06-17 2006-09-30 2007-01-13 Author is listed
  13. NEP-IFN: International Finance (4) 1998-08-21 1998-12-28 2004-05-02 2005-10-04
  14. NEP-MAC: Macroeconomics (1) 2003-05-08
  15. NEP-MFD: Microfinance (1) 2003-04-27
  16. NEP-RMG: Risk Management (10) 2003-04-27 2003-07-13 2003-08-31 2003-09-08 2003-11-30 2005-02-01 2005-03-13 2005-07-18 2006-09-30 2007-01-13 Author is listed
  17. NEP-SEA: South East Asia (2) 2006-06-17 2006-09-30
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This page was last updated on 2008-7-18.

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