Peter F. Christoffersen

According to our database, Peter F. Christoffersen authored at least 5 papers between 2004 and 2014.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of six.

2014

Nonlinear Kalman Filtering in Affine Term Structure Models.

Peter F. Christoffersen, Christian Dorion, Kris Jacobs, Lotfi Karoui

Manag. Sci., 2014

2011

Evaluating Value-at-Risk Models with Desk-Level Data.

Jeremy Berkowitz, Peter F. Christoffersen, Denis Pelletier

Manag. Sci., 2011

2009

The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well.

Peter F. Christoffersen, Steven Heston, Kris Jacobs

Manag. Sci., 2009

2006

Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics.

Peter F. Christoffersen, Francis X. Diebold

Manag. Sci., 2006

2004

Which GARCH Model for Option Valuation?

Peter F. Christoffersen, Kris Jacobs

Manag. Sci., 2004