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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
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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
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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
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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