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Factor structure in commodity...
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Theorie
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Christoffersen, Peter F.
267
Lunde, Asger
207
Jacobs, Kris
144
Christoffersen, Peter
120
Diebold, Francis X.
100
Hansen, Peter Reinhard
96
Bollerslev, Tim
41
Barndorff-Nielsen, Ole E.
37
Feunou, Bruno
24
Andersen, Torben G.
23
Ornthanalai, Chayawat
23
Shephard, Neil G.
22
Shephard, Neil
20
Timmermann, Allan
20
Andersen, Torben
17
Langlois, Hugues
17
Hansen, Peter R.
14
Nason, James M.
14
Chang, Bo Young
13
Heston, Steven L.
13
Elkamhi, Redouane
12
Jin, Xisong
12
Dorion, Christian
11
Errunza, Vihang R.
11
Pelletier, Denis
11
Voev, Valeri
11
Bennedsen, Mikkel
10
Errunza, Vihang
10
Fournier, Mathieu
10
Jeon, Yoontae
10
Mazzotta, Stefano
10
Mimouni, Karim
10
Wang, Yintian
10
Berkowitz, Jeremy
9
Doyle, Peter
9
Diebold, Francis
8
Engle, Robert F.
8
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8
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8
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8
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36
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19
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7
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7
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3
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CREATES Research Papers
36
CIRANO Working Papers
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The review of financial studies
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Econometric modelling of durations between economic events
4
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
4
Economics Papers / Economics Group, Nuffield College, University of Oxford
4
Journal of Econometrics
4
Journal of Financial Economics
4
Journal of financial and quantitative analysis : JFQA
4
Journal of financial econometrics
4
Management Science
4
OFRC Working Papers Series
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Technical working paper / National Bureau of Economic Research
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4
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4
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ECONIS (ZBW)
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RePEc
178
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71
Rare disasters and credit market puzzles
Christoffersen, Peter F.
;
Du, Du
;
Elkamhi, Redouane
-
2013
Persistent link: https://www.econbiz.de/10010226839
Saved in:
72
Does realized skewness predict the cross-section of equity returns?
Amaya, Diego
;
Christoffersen, Peter F.
;
Jacobs, Kris
; …
-
2013
Persistent link: https://www.econbiz.de/10010226861
Saved in:
73
Capturing option anomalies with a variance-dependent pricing Kernel
Christoffersen, Peter F.
;
Heston, Steven L.
;
Jacobs, Kris
- In:
The review of financial studies
26
(
2013
)
8
,
pp. 1962-2006
Persistent link: https://www.econbiz.de/10010207293
Saved in:
74
Dynamic jump intensities and risk premiums : evidence from S&P500 returns and options
Christoffersen, Peter F.
;
Jacobs, Kris
;
Ornthanalai, …
- In:
Journal of financial economics
106
(
2012
)
3
,
pp. 447-472
Persistent link: https://www.econbiz.de/10009710173
Saved in:
75
Is the potential for international diversification disappearing? : a dynamic copula approach
Christoffersen, Peter F.
;
Errunza, Vihang R.
;
Jacobs, Kris
- In:
The review of financial studies
25
(
2012
)
12
,
pp. 3611-3751
Persistent link: https://www.econbiz.de/10009714147
Saved in:
76
Market skewness risk and the cross section of stock returns
Chang, Bo Young
;
Christoffersen, Peter F.
;
Jakobs, Kris
- In:
Journal of financial economics
107
(
2013
)
1
,
pp. 46-68
Persistent link: https://www.econbiz.de/10009715175
Saved in:
77
Financial risk measurement for financial risk management
Andersen, Torben
;
Bollerslev, Tim
;
Christoffersen, Peter F.
-
2013
Persistent link: https://www.econbiz.de/10009696029
Saved in:
78
GARCH option valuation : theory and evidence
Christoffersen, Peter F.
;
Jacobs, Kris
;
Ornthanalai, …
-
2012
Persistent link: https://www.econbiz.de/10009667377
Saved in:
79
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:
80
Is the potential for international diversivication disappearing? : a dynamic copula approach
Christoffersen, Peter F.
;
Errunza, Vihang R.
;
Jacobs, Kris
-
2012
Persistent link: https://www.econbiz.de/10009667396
Saved in:
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