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Cointegration and long-horizon forecasting

Christoffersen, Peter F.; Diebold, Francis X. - 1997

Persistent link: https://www.econbiz.de/10000977739

Cointegration and long-horizon forecasting

Christoffersen, Peter F. - 1997

Persistent link: https://www.econbiz.de/10000967637

Cointegration and long-horizon forecasting

Christoffersen, Peter F.; Diebold, Francis X. - 1997

Persistent link: https://www.econbiz.de/10000973670

Horizon problems and extreme events in financial risk management

Christoffersen, Peter F. - In: Economic policy review 4 (1998) 3, pp. 109-118

Persistent link: https://www.econbiz.de/10001338729

Evaluating interval forecasts

Christoffersen, Peter F. - In: International economic review 39 (1998) 4, pp. 841-862

Persistent link: https://www.econbiz.de/10001338811

How relevant is volatility forecasting for financial risk management?

Christoffersen, Peter F.; Diebold, Francis X. - 1998

Persistent link: https://www.econbiz.de/10001350963

Interest rate arbitrage in currency baskets : forecasting weights and measuring risk

Christoffersen, Peter F. - 1999

Persistent link: https://www.econbiz.de/10001366342

Cointegration and long-horizon forecasting

Christoffersen, Peter F. - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 4, pp. 450-458

Persistent link: https://www.econbiz.de/10001251801

Optimal prediction under asymmetric loss

Christoffersen, Peter F. - In: Econometric theory 13 (1997) 6, pp. 808-817

Persistent link: https://www.econbiz.de/10001236164

Time-varying crash risk : the role of stock market liquidity

Christoffersen, Peter F.; Feunou, Bruno; Jeon, Yoontae; … - 2016

We estimate a continuous-time model with dynamic crash probability using the S&P500 index options and high-frequency information. We find that market illiquidity is an important factor in explaining the time-varying stock market crash risk embedded in index options. While market illiquidity and...

Persistent link: https://www.econbiz.de/10011547569