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Christoffersen, Peter F.
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Elkamhi, Redouane
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The review of financial studies
CREATES research paper
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Journal of financial economics
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Review of finance : journal of the European Finance Association
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1
The state price density implied by crude oil futures and option prices
Christoffersen, Peter F.
;
Jacobs, Kris
;
Pan, Xuhui
- In:
The review of financial studies
35
(
2022
)
2
,
pp. 1064-1103
Persistent link: https://www.econbiz.de/10012878983
Saved in:
2
Beta risk in the cross-section of equities
Boloorforoosh, Ali
;
Christoffersen, Peter F.
;
Fournier, …
- In:
The review of financial studies
33
(
2020
)
9
,
pp. 4318-4366
Persistent link: https://www.econbiz.de/10012387374
Saved in:
3
The factor structure in equity options
Christoffersen, Peter F.
;
Fournier, Mathieu
;
Jacobs, Kris
- In:
The review of financial studies
31
(
2018
)
2
,
pp. 595-637
Persistent link: https://www.econbiz.de/10011925246
Saved in:
4
Illiquidity premia in the equity options market
Christoffersen, Peter F.
;
Goyenko, Ruslan
;
Jacobs, Kris
; …
- In:
The review of financial studies
31
(
2018
)
3
,
pp. 811-851
Persistent link: https://www.econbiz.de/10011925271
Saved in:
5
Capturing option anomalies with a variance-dependent pricing Kernel
Christoffersen, Peter F.
;
Heston, Steven L.
;
Jacobs, Kris
- In:
The review of financial studies
26
(
2013
)
8
,
pp. 1962-2006
Persistent link: https://www.econbiz.de/10010207293
Saved in:
6
Is the potential for international diversification disappearing? : a dynamic copula approach
Christoffersen, Peter F.
;
Errunza, Vihang R.
;
Jacobs, Kris
- In:
The review of financial studies
25
(
2012
)
12
,
pp. 3611-3751
Persistent link: https://www.econbiz.de/10009714147
Saved in:
7
Volatility dynamics for the S&P500 : evidence from realized volatility, daily returns, and option prices
Christoffersen, Peter F.
;
Jacobs, Kris
;
Mimouni, Karim
- In:
The review of financial studies
23
(
2010
)
8
,
pp. 3141-3189
Persistent link: https://www.econbiz.de/10008662052
Saved in:
8
Option valuation with conditional heteroskedasticity and nonnormality
Christoffersen, Peter F.
;
Elkamhi, Redouane
;
Feunou, Bruno
- In:
The review of financial studies
23
(
2010
)
5
,
pp. 2139-2138
Persistent link: https://www.econbiz.de/10003969117
Saved in:
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