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~isPartOf:"CREATES research paper"
~person:"Christoffersen, Peter F."
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Christoffersen, Peter F.
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CREATES research paper
Management science : journal of the Institute for Operations Research and the Management Sciences
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ECONIS (ZBW)
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Nonlinear Kalman filtering in affine term structure models
Christoffersen, Peter F.
;
Dorion, Christian
;
Jacobs, Kris
; …
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2012
Persistent link: https://www.econbiz.de/10009667381
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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
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2009
Persistent link: https://www.econbiz.de/10003865680
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3
Evaluating value-at-risk models with desk-level data
Christoffersen, Peter F.
;
Berkowitz, Jeremy
;
Pelletier, …
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2009
Persistent link: https://www.econbiz.de/10003865687
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