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Evaluating value-at-risk models with desk-level data
Christoffersen, Peter F.; Berkowitz, Jeremy; Pelletier, … - 2009
Persistent link: https://www.econbiz.de/10003865687
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A Jump-diffusion model with stochastic volatility and durations
Wei, Wei; Pelletier, Denis - 2015
Persistent link: https://www.econbiz.de/10011327726
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Forecasting with option implied information
Christoffersen, Peter F.; Jacobs, Kris; Chang, Bo Young - 2011
Persistent link: https://www.econbiz.de/10009385092
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The joint dynamics of equity market factors
Christoffersen, Peter F.; Langlois, Hugues - 2011
Persistent link: https://www.econbiz.de/10009385098
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Illiquidity premia in the equity options market
Christoffersen, Peter F. (contributor) - 2011
Persistent link: https://www.econbiz.de/10009385121
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Correlation dynamics and international diversification benefits
Christoffersen, Peter F.; Errunza, Vihang R.; Jacobs, Kris - 2013
Persistent link: https://www.econbiz.de/10010226790
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Illiquidity premia in the equity options market
Christoffersen, Peter F.; Goyenko, Ruslan; Jacobs, Kris; … - 2013
Persistent link: https://www.econbiz.de/10010226833
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The factor structure in equity options
Christoffersen, Peter F.; Fournier, Mathieu; Jacobs, Kris - 2013
Persistent link: https://www.econbiz.de/10010226837
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Dynamic diversi cation in corporate credit
Christoffersen, Peter F.; Jacobs, Kris; Jin, Xisong; … - 2013
Persistent link: https://www.econbiz.de/10010226838
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Rare disasters and credit market puzzles
Christoffersen, Peter F.; Du, Du; Elkamhi, Redouane - 2013
Persistent link: https://www.econbiz.de/10010226839