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Factor structure in commodity...
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Theorie
124
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117
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114
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106
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75
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71
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52
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49
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47
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36
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35
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229
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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
Ghysels, Eric
8
Giorgianni, Lorenzo
8
Karoui, Mehdi
8
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36
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
19
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7
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7
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6
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5
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4
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4
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4
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4
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4
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3
Financial Institutions Center, Wharton School of Business
3
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2
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2
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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CREATES research paper
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CREATES Research Papers
36
CIRANO Working Papers
16
The review of financial studies
14
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
12
Journal of financial economics
12
Rotman School of Management Working Paper
12
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10
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7
Management science : journal of the Institute for Operations Research and the Management Sciences
7
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7
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7
CFS Working Paper Series
6
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5
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Review of Financial Studies
5
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5
EPRU Working Paper Series
4
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
4
Technical working paper / National Bureau of Economic Research
4
The econometrics journal
4
The economics of transition
4
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ECONIS (ZBW)
349
RePEc
178
OLC EcoSci
49
EconStor
15
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81
GARCH option valuation : theory and evidence
Christoffersen, Peter F.
;
Jacobs, Kris
;
Ornthanalai, …
- In:
The journal of derivatives : the official publication …
21
(
2013
)
2
,
pp. 8-41
Persistent link: https://www.econbiz.de/10010358127
Saved in:
82
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:
83
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:
84
Financial risk measurement for financial risk management
Andersen, Torben
;
Bollerslev, Tim
;
Christoffersen, Peter F.
-
2012
Persistent link: https://www.econbiz.de/10009553634
Saved in:
85
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:
86
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:
87
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:
88
Option anomalies and the pricing kernel
Christoffersen, Peter F.
;
Heston, Steven L.
;
Jacobs, Kris
-
2010
Persistent link: https://www.econbiz.de/10009161205
Saved in:
89
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:
90
Correlation dynamics and international diversification benefits
Christoffersen, Peter F.
;
Errunza, Vihang R.
;
Jacobs, Kris
- In:
International journal of forecasting
30
(
2014
)
3
,
pp. 807-824
Persistent link: https://www.econbiz.de/10010516049
Saved in:
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