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Browsing by Author « Christoffersen, Peter »

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Showing results 1 to 19 of 19
Backtesting Value-at-Risk: A Duration-Based Approach
Christoffersen, Peter; Pelletier, Denis
Issue Date : 2003-02

Company Flexibility, the Value of Management and Managerial Compensation
Christoffersen, Peter; Pavlov, Andrey
Issue Date : 2003-02

Création de valeur, gestion de risque et options réelles
Boyer, Marcel; Christoffersen, Peter; Lasserre, Pierre; Pavlov, Andrey
Issue Date : 2003-03

Estimation Risk in Financial Risk Management
Christoffersen, Peter; Gonçalves, Sílvia
Issue Date : 2004-04

Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options
Christoffersen, Peter; Jacobs, Kris; Ornthanalai, Chayawat
Issue Date : 2009-08

Financial Asset Returns, Market Timing, and Volatility Dynamics
Christoffersen, Peter; Diebold, Francis X.
Issue Date : 2002-01

The Importance of the Loss Function in Option Pricing
Christoffersen, Peter; Jacobs, Kris
Issue Date : 2001-07

The Importance of the Loss Function in Option Valuation
Christoffersen, Peter; Jacobs, Kris
Issue Date : 2003-08

The Informational Content of Over-the-Counter Currency Options
Christoffersen, Peter; Mazzotta, Stefano
Issue Date : 2004-04

Let's Get "Real" about Using Economic Data
Christoffersen, Peter; Ghysels, Eric; Swanson, Norman R.
Issue Date : 2001-07

Nonlinear Kalman Filtering in Affine Term Structure Models
Christoffersen, Peter; Dorion, Christian; Jacobs, Kris; Karoui, Lotfi
Issue Date : 2014-01

Option Valuation with Conditional Heteroskedasticity and Non-Normality
Christoffersen, Peter; Elkamhi, Redouane; Feunou, Bruno; Jacobs, Kris
Issue Date : 2009-08

Option Valuation with Conditional Skewness
Christoffersen, Peter; Heston, Steve; Jacobs, Kris
Issue Date : 2003-08

Option Valuation with Long-run and Short-run Volatility Components
Christoffersen, Peter; Jacobs, Kris; Wang, Yintian
Issue Date : 2004-11

Option-Implied Measures of Equity Risk
Chang, Bo-Young; Christoffersen, Peter; Jacobs, Kris; Vainberg, Gregory
Issue Date : 2009-08

Size Matters: The Impact of Capital Market Liberalization on Individual Firms
Christoffersen, Peter; Chung, Hyunchul; Errunza, Vihang
Issue Date : 2003-04

Testing and Comparing Value-at-Risk Measures
Christoffersen, Peter; Hahn, Jinyong; Inoue, Atsushi
Issue Date : 2001-01

Value creation, risk management, and real options
Boyer, Marcel; Christoffersen, Peter; Lasserre, Pierre; Pavlov, Andrey
Issue Date : 2003-03

Which Volatility Model for Option Valuation?
Christoffersen, Peter; Jacobs, Kris
Issue Date : 2002-04

Showing results 1 to 19 of 19

 

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