Zobrazeno 1 - 10
of 151
pro vyhledávání: '"Peter Christoffersen"'
Autor:
Peter Christoffersen
Elements of Financial Risk Management offers an introduction to modern risk management. It focuses on implementation, especially recent techniques which facilitate bridging the gap between standard textbooks on risk and real-life risk management syst
Publikováno v:
The Review of Financial Studies. 35:1064-1103
Both large oil price increases and decreases are associated with deteriorating economic conditions. The projection of the state price density (SPD) onto oil returns estimated from oil futures and option prices displays a U-shaped pattern. Because inv
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5e724b119a680f445a47007556caaa6f
https://doi.org/10.1093/rfs/hhab011
https://doi.org/10.1093/rfs/hhab011
Publikováno v:
Journal of Financial and Quantitative Analysis. 56:65-91
We show that the prices of risk for factors that are nonlinear in the market return can be obtained using index option prices. The price of coskewness risk corresponds to the market variance risk premium, and the price of cokurtosis risk corresponds
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c7d25cebbeca636f6be7fdb5528ecab0
https://doi.org/10.1017/s002210902000023x
https://doi.org/10.1017/s002210902000023x
Publikováno v:
Review of Finance.
We estimate a continuous-time model for the stock market index where the stochastic volatility and crash probability depend on the realized spot variance and the stock market illiquidity. We find that market illiquidity is a useful economic covariate
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c469f87b6b83320236b8609aab7ab81a
https://doi.org/10.1093/rof/rfaa040
https://doi.org/10.1093/rof/rfaa040
Autor:
Peter Christoffersen, Xuhui Pan
Publikováno v:
Christoffersen, P F & Pan, X N 2018, ' Oil volatility risk and expected stock returns ', Journal of Banking & Finance, vol. 95, no. October, pp. 5-26 . https://doi.org/10.1016/j.jbankfin.2017.07.004
After the financialization of commodity futures markets in 2004–2005 oil volatility has become a strong predictor of returns and volatility of the overall stock market. Furthermore, stocks’ exposure to oil volatility risk now drives the cross-sec
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b896513dbf763f5dcbd3d4d399bf737d
https://research.cbs.dk/en/publications/8536b59e-3641-49b2-8843-e29f2cdedda6
https://research.cbs.dk/en/publications/8536b59e-3641-49b2-8843-e29f2cdedda6
Publikováno v:
Christoffersen, P, Lunde, A & Olesen, K V 2019, ' Factor structure in commodity futures return and volatility ', Journal of Financial and Quantitative Analysis, vol. 54, no. 3, pp. 1083-1115 . https://doi.org/10.1017/S0022109018000765
Using data on more than 750 million futures trades during 2004-2013, we analyze eight stylized facts of commodity price and volatility dynamics in the post financialization period. We pay particular attention to the factor structure in returns and vo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e89261f7370fa8bb969e420d20c3d42f
https://doi.org/10.1017/s0022109018000765
https://doi.org/10.1017/s0022109018000765
Publikováno v:
Review of Financial Studies. 31(2):595-637
Equity options display a strong factor structure. The first principal components of the equity volatility levels, skews, and term structures explain a substantial fraction of the crosssectional variation. Furthermore, these principal components are h
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a6cb002615f27a4fb0e3b94b6e842bbc
https://doi.org/10.1093/rfs/hhx089
https://doi.org/10.1093/rfs/hhx089
Publikováno v:
The Review of Asset Pricing Studies. 8:183-231
We nest multiple volatility components, fat tails, and a U-shaped pricing kernel in a single option model and compare their contribution in describing returns and option data. All three features lead to statistically significant model improvements. A
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6aa7d5c08bc3cc897108466b57d1703f
https://doi.org/10.1093/rapstu/rax021
https://doi.org/10.1093/rapstu/rax021
Publikováno v:
Review of Finance. 22:521-560
We characterize dependence and tail dependence in corporate credit using a new class of dynamic copula models which can capture dynamic dependence and asymmetry in large samples of firms. We also document important differences between the dependence
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d5309d0c911ac3bcb59533212347f0d6
https://doi.org/10.1093/rof/rfx034
https://doi.org/10.1093/rof/rfx034