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P

Peter Christoffersen

university of toronto

52H指数
275论文数
1.4W被引数
收录论文 21
发表时间
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The State Price Density Implied by Crude Oil Futures and Option Prices
errREVIEW OF FINANCIAL STUDIES
IF5.4
err2021-01-30
err9
PREAI
errChristoffersen, Peter; Jacobs, Kris; Pan, Xuhui (Nick)
err分享
err收藏
Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity
errREVIEW OF FINANCE
IF8.4
err2020-12-16
err6
PREAI
errChristoffersen, Peter; Feunou, Bruno; Jeon, Yoontae; Ornthanalai, Chayawat
err分享
err收藏
Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk
errJOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS
IF2.8
err2020-11-10
err16
errOAAI
errChristoffersen, Peter; Fournier, Mathieu; Jacobs, Kris; Karoui, Mehdi
err分享
err收藏
Beta Risk in the Cross-Section of Equities
errREVIEW OF FINANCIAL STUDIES
IF5.4
err2019-12-20
err8
PREAI
errBoloorforoosh, Ali; Christoffersen, Peter; Fournier, Mathieu; Gourieroux, Christian
err分享
err收藏
Factor Structure in Commodity Futures Return and Volatility商品期货收益率和波动率的因素结构
errJOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS
IF2.8
err2018-08-28
err44
errOAAI
errChristoffersen, Peter; Lunde, Asger; Olesen, Kasper, V
err分享
err收藏
Illiquidity Premia in the Equity Options Market
errREVIEW OF FINANCIAL STUDIES
IF5.4
err2017-11-01
err69
errOAAI
errChristoffersen, Peter; Goyenko, Ruslan; Jacobs, Kris; Karoui, Mehdi
err分享
err收藏
The Factor Structure in Equity Options
errREVIEW OF FINANCIAL STUDIES
IF5.4
err2017-08-02
err36
errOAAI
errChristoffersen, Peter; Fournier, Mathieu; Jacobs, Kris
err分享
err收藏
Dynamic Dependence and Diversification in Corporate Credit
errREVIEW OF FINANCE
IF8.4
err2017-07-20
err35
PREAI
errChristoffersen, Peter; Jacobs, Kris; Jin, Xisong; Langlois, Hugues
err分享
err收藏
Option valuation with observable volatility and jump dynamics具有可观察波动率和跳跃动态的期权估值
errJOURNAL OF BANKING & FINANCE
IF3.8
err2015-12-01
err31
errOAAI
errChristoffersen, Peter; Feunou, Bruno; Jeon, Yoontae
err分享
err收藏
Does realized skewness predict the cross-section of equity returns?
errJOURNAL OF FINANCIAL ECONOMICS
IF12
err2015-10-01
err311
errOAAI
errAmaya, Diego; Christoffersen, Peter; Jacobs, Kris; Vasquez, Aurelio
err分享
err收藏
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation
errJOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS
IF2.8
err2014-07-28
err99
errOAAI
errChristoffersen, Peter; Feunou, Bruno; Jacobs, Kris; Meddahi, Nour
err分享
err收藏
Capturing Option Anomalies with a Variance-Dependent Pricing Kernel
errREVIEW OF FINANCIAL STUDIES
IF5.4
err2013-06-28
err154
PREAI
errChristoffersen, Peter; Heston, Steven; Jacobs, Kris
err分享
err收藏
Market skewness risk and the cross section of stock returns
errJOURNAL OF FINANCIAL ECONOMICS
IF12
err2013-01-01
err248
PREAI
errChang, Bo Young; Christoffersen, Peter; Jacobs, Kris
err分享
err收藏
Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options
errJOURNAL OF FINANCIAL ECONOMICS
IF12
err2012-12-01
err160
PREAI
errChristoffersen, Peter; Jacobs, Kris; Ornthanalai, Chayawat
err分享
err收藏
Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach
errREVIEW OF FINANCIAL STUDIES
IF5.4
err2012-10-24
err294
errOAAI
errChristoffersen, Peter; Errunza, Vihang; Jacobs, Kris; Langlois, Hugues
err分享
err收藏
Option-Implied Measures of Equity Risk
errREVIEW OF FINANCE
IF8.4
err2011-03-01
err90
errOAAI
errChang, Bo-Young; Christoffersen, Peter; Jacobs, Kris; Vainberg, Gregory
err分享
err收藏
Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices
errREVIEW OF FINANCIAL STUDIES
IF5.4
err2010-04-29
err197
PREAI
errChristoffersen, Peter; Jacobs, Kris; Mimouni, Karim
err分享
err收藏
Option Valuation with Conditional Heteroskedasticity and Nonnormality
errREVIEW OF FINANCIAL STUDIES
IF5.4
err2009-10-09
err96
errOAAI
errChristoffersen, Peter; Elkamhi, Redouane; Feunou, Bruno; Jacobs, Kris
err分享
err收藏
Option valuation with long-run and short-run volatility components
errJOURNAL OF FINANCIAL ECONOMICS
IF12
err2008-12-01
err175
PREAI
errChristoffersen, Peter; Jacobs, Kris; Ornthanalai, Chayawat; Wang, Yintian
err分享
err收藏
Option valuation with conditional skewness
errJOURNAL OF ECONOMETRICS
IF4
err2006-03-01
err158
errOAAI
errChristoffersen, P; Heston, S; Jacobs, K
err分享
err收藏

研究方向

暂无研究方向
合作学者
合作期刊
C
Christian Gouriéroux
H 指数: 59 · 论文数: 646
K
Kris Jacobs
H 指数: 41 · 论文数: 183
A
Asger Lunde
H 指数: 35 · 论文数: 118
S
Steven L. Heston
H 指数: 29 · 论文数: 78
N
Nour Meddahi
H 指数: 19 · 论文数: 76
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