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Volatility dynamics for the S&P500 : evidence from realized volatility, daily returns, and option prices
Christoffersen, Peter F.; Jacobs, Kris; Mimouni, Karim - In: The review of financial studies 23 (2010) 8, pp. 3141-3189
Persistent link: https://www.econbiz.de/10008662052
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Evaluating value-at-risk models with desk-level data
Berkowitz, Jeremy; Christoffersen, Peter F.; Pelletier, … - In: Management science : journal of the Institute for … 57 (2011) 12, pp. 2213-2227
Persistent link: https://www.econbiz.de/10009428250
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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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Financial risk measurement for financial risk management
Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2011
Persistent link: https://www.econbiz.de/10009389307
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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