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subject:"Optionspreistheorie"
~person:"Christoffersen, Peter F."
~subject:"Currency basket"
~subject:"Yield curve"
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Optionspreistheorie
Currency basket
Yield curve
Zinsstruktur
8
Option pricing theory
4
Volatility
4
Volatilität
4
Nichtlineare Regression
3
Nonlinear regression
3
State space model
3
Theorie
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Theory
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Zustandsraummodell
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Aktienoption
2
Beta risk
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Betafaktor
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Index derivative
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Indexderivat
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Stock option
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Swap
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Time series analysis
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1992-1997
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1996-2010
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ARCH model
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ARCH-Modell
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Arbitrage
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Credit risk
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Derivat
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Derivative
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Estimation
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Kalman filtering
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Kreditrisiko
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Option trading
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Optionsgeschäft
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Christoffersen, Peter F.
Rudebusch, Glenn D.
103
Akram, Tanweer
62
Christensen, Jens H. E.
60
Favero, Carlo A.
53
Bekaert, Geert
51
Wright, Jonathan H.
48
Wu, Jing Cynthia
47
Diebold, Francis X.
44
Monfort, Alain
44
Afonso, António
43
Chiarella, Carl
41
Hamilton, James D.
41
Krippner, Leo
41
Campbell, John Y.
39
Chernov, Mikhail
39
Caporale, Guglielmo Maria
38
Renne, Jean-Paul
38
Thornton, Daniel L.
38
Hördahl, Peter
37
Kim, Don H.
37
Mishkin, Frederic S.
36
Gollier, Christian
35
Kaminska, Iryna
35
Wei, Min
35
Schlögl, Erik
34
Sarno, Lucio
33
Friedman, Benjamin M.
32
Goldstein, Robert S.
32
Singleton, Kenneth J.
32
Dewachter, Hans
31
Joshi, Mark S.
31
Filipović, Damir
30
Gouriéroux, Christian
30
Jarrow, Robert A.
30
Meldrum, Andrew
30
Bauer, Michael D.
29
Lemke, Wolfgang
29
Guidolin, Massimo
27
Jondeau, Eric
27
Li, Canlin
27
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CREATES research paper
2
Management science : journal of the Institute for Operations Research and the Management Sciences
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial economics
1
The review of financial studies
1
Working papers / Financial Institutions Center
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ECONIS (ZBW)
8
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1
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:
2
The factor structure in equity options
Christoffersen, Peter F.
;
Fournier, Mathieu
;
Jacobs, Kris
-
2013
Persistent link: https://www.econbiz.de/10010226837
Saved in:
3
Nonlinear Kalman filtering in affine term structure models
Christoffersen, Peter F.
;
Dorion, Christian
;
Jacobs, Kris
; …
-
2012
Persistent link: https://www.econbiz.de/10009667381
Saved in:
4
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:
5
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:
6
Option valuation with long-run and short-run volatility components
Christoffersen, Peter F.
;
Jacobs, Kris
;
Ornthanalai, …
- In:
Journal of financial economics
90
(
2008
)
3
,
pp. 272-297
Persistent link: https://www.econbiz.de/10003833351
Saved in:
7
Nonlinear filtering in affine term structure models : evidence from the term structure of swap rates
Christoffersen, Peter F.
;
Jacobs, Kris
;
Karoui, Lofti
; …
-
2008
Persistent link: https://www.econbiz.de/10003861281
Saved in:
8
Interest-rate arbitrage in currency baskets : forecasting weights and measuring risk
Christoffersen, Peter F.
;
Giorgianni, Lorenzo
- In:
Journal of business & economic statistics : JBES ; a …
18
(
2000
)
2
,
pp. 242-253
Persistent link: https://www.econbiz.de/10001469690
Saved in:
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