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~isPartOf:"Journal of banking & finance"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"Journal of financial and quantitative analysis : JFQA"
~isPartOf:"Working papers / Financial Institutions Center"
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Search: "Christoffersen, Peter F."
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Volatility
11
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Christoffersen, Peter F.
23
Jacobs, Kris
11
Diebold, Francis X.
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Andersen, Torben
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Bollerslev, Tim
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Feunou, Bruno
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Giorgianni, Lorenzo
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Journal of banking & finance
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Journal of financial and quantitative analysis : JFQA
Working papers / Financial Institutions Center
CREATES research paper
21
The review of financial studies
8
CFS Working Paper Series
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6
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ECONIS (ZBW)
21
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1
Option-based estimation of the price of coskewness and cokurtosis risk
Christoffersen, Peter F.
;
Fournier, Mathieu
;
Jacobs, Kris
; …
- In:
Journal of financial and quantitative analysis : JFQA
56
(
2021
)
1
,
pp. 65-91
Persistent link: https://www.econbiz.de/10012437371
Saved in:
2
Factor structure in commodity futures return and volatility
Christoffersen, Peter F.
;
Lunde, Asger
;
Olesen, Kasper V.
- In:
Journal of financial and quantitative analysis : JFQA
54
(
2019
)
3
,
pp. 1083-1115
Persistent link: https://www.econbiz.de/10012139386
Saved in:
3
Oil volatility risk and expected stock returns
Christoffersen, Peter F.
;
Pan, Xuhui
- In:
Journal of banking & finance
95
(
2018
),
pp. 5-26
Persistent link: https://www.econbiz.de/10011966688
Saved in:
4
Option valuation with observable volatility and jump dynamics
Christoffersen, Peter F.
;
Feunou, Bruno
;
Jeon, Yoontae
- In:
Journal of banking & finance
61
(
2015
)
2
,
pp. 101-120
Persistent link: https://www.econbiz.de/10011585489
Saved in:
5
The economic value of realized volatility : using high-frequency returns for option valuation
Christoffersen, Peter F.
;
Feunou, Bruno
;
Jacobs, Kris
; …
- In:
Journal of financial and quantitative analysis : JFQA
49
(
2014
)
3
,
pp. 663-697
Persistent link: https://www.econbiz.de/10010487742
Saved in:
6
The joint dynamics of equity market factors
Christoffersen, Peter F.
;
Langlois, Hugues
- In:
Journal of financial and quantitative analysis : JFQA
48
(
2013
)
5
,
pp. 1371-1404
Persistent link: https://www.econbiz.de/10010343643
Saved in:
7
Volatility components, affine restrictions, and nonnormal innovations
Christoffersen, Peter F.
;
Dorion, Christian
;
Jacobs, Kris
; …
- In:
Journal of business & economic statistics : JBES ; a …
28
(
2010
)
4
,
pp. 483-502
Persistent link: https://www.econbiz.de/10008736151
Saved in:
8
Is the potential for international diversification disappearing?
Christoffersen, Peter F.
;
Errunza, Vihang R.
;
Jacobs, Kris
-
2010
Persistent link: https://www.econbiz.de/10009161197
Saved in:
9
Time-varying jump intensities and fat tail dynamics : evidence from S&P500 returns and options
Christoffersen, Peter F.
;
Jacobs, Kris
;
Ornthanalai, …
-
2010
Persistent link: https://www.econbiz.de/10009161203
Saved in:
10
Market skewness risk and the cross-section of stock returns
Chang, Bo Young
;
Christoffersen, Peter F.
;
Jacobs, Kris
-
2010
Persistent link: https://www.econbiz.de/10009161204
Saved in:
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