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~isPartOf:"Management science : journal of the Institute for Operations Research and the Management Sciences"
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Christoffersen, Peter F.
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Rare disasters, credit, and option market puzzles
Christoffersen, Peter F.
;
Du, Du
;
Elkamhi, Redouane
- In:
Management science : journal of the Institute for …
63
(
2017
)
5
,
pp. 1341-1364
Persistent link: https://www.econbiz.de/10011684726
Saved in:
2
Nonlinear Kalman filtering in affine term structure models
Christoffersen, Peter F.
;
Dorion, Christian
;
Jacobs, Kris
; …
- In:
Management science : journal of the Institute for …
60
(
2014
)
9
,
pp. 2248-2268
Persistent link: https://www.econbiz.de/10010461908
Saved in:
3
Evaluating value-at-risk models with desk-level data
Berkowitz, Jeremy
;
Christoffersen, Peter F.
;
Pelletier, …
- In:
Management science : journal of the Institute for …
57
(
2011
)
12
,
pp. 2213-2227
Persistent link: https://www.econbiz.de/10009428250
Saved in:
4
The shape and term structure of the index option smirk : why multifactor stochastic volatility models work so well
Christoffersen, Peter F.
;
Heston, Steven L.
;
Jacobs, Kris
- In:
Management science : journal of the Institute for …
55
(
2009
)
12
,
pp. 1914-1932
Persistent link: https://www.econbiz.de/10003928488
Saved in:
5
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics
Christoffersen, Peter F.
;
Diebold, Francis X.
- In:
Management science : journal of the Institute for …
52
(
2006
)
8
,
pp. 1273-1287
Persistent link: https://www.econbiz.de/10007290190
Saved in:
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