RESEARCH

Christoffersen, Peter F., Vihang Errunza, Kris Jacobs and Xisong Jin, 2010, Is the Potential for International Diversification Disappearing? Manuscript, McGill University.

Christoffersen, Peter F., Steven Heston and Kris Jacobs, 2010, Option Anomalies and the Pricing Kernel, Manuscript, McGill University.

Chang, Bo-Young, Peter F. Christoffersen, and Kris Jacobs, 2009, Market Skewness Risk and the Cross-Section of Stock Returns, Manuscript, McGill University. Revise and Resubmit, Journal of Financial Economics. To be presented at the WFA meetings.

Chang, Bo-Young, Peter F. Christoffersen, Kris Jacobs, and Gregory Vainberg, 2009, Option-Implied Measures of Equity Risk, updated from Forward-Looking Betas. Manuscript, McGill University. Revise and Resubmit, Review of Finance. Presented at the AFA and EFA meetings.

Christoffersen, Peter F., Jan Ericsson, Kris Jacobs, and Xisong Jin, 2009, Exploring Dynamic Default Dependence. Manuscript, McGill University. Presented at the EFA meetings.

Christoffersen, Peter F., Kris Jacobs, and Chay Ornthanalai, 2008, Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options, Manuscript, McGill University. Presented at the AFA meetings.

Christoffersen, Peter F., Kris Jacobs, Lotfi Karoui, and Karim Mimouni, 2008, Nonlinear Filtering in Affine Term Structure Models: Evidence from the Term Structure of Swap Rates. Manuscript, McGill University. Revise and Resubmit, Management Science.

Christoffersen, Peter F., 2009, Backtesting, prepared for the Encyclopedia of Quantitative Finance, R. Cont (ed). John Wiley and Sons.

Christoffersen, Peter F., 2009, Value-at-Risk Models, prepared for the Handbook of Financial Time Series, T.G. Andersen, R.A. Davis, J.-P. Kreiss, and T. Mikosch (eds.), Springer Verlag.

Andersen, Torben G., Tim Bollerslev, Peter F. Christoffersen, and Francis X. Diebold, 2005, Practical Volatility and Correlation Modeling for Financial Market Risk Management, in the NBER volume on Risks of Financial Institutions, M. Carey and R. Stulz (eds.), University of Chicago Press.

Andersen, Torben G., Tim Bollerslev, Peter F. Christoffersen, and Francis X. Diebold, 2006, Volatility and Correlation Forecasting, in the Handbook of Economic Forecasting, G. Elliott, C.W.J. Granger and A. Timmermann (eds.), Elsevier Science.

Andersen, Torben G., Tim Bollerslev, Peter F. Christoffersen, and Francis X. Diebold, 2009, Volatility, in preparation. Princeton University Press.

Christoffersen, Peter F., 2003, Elements of Financial Risk Management, Academic Press.

Christoffersen, Peter F., Kris Jacobs and Karim Mimouni, 2010, Models for S&P 500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices, forthcoming in the Review of Financial Studies. Presented at the AFA and EFA meetings.

Christoffersen, Peter F., Christian Dorion, Kris Jacobs and Yintian Wang, 2010, Volatility Components: Affine Restrictions and Non-Normal Innovations, forthcoming in the Journal of Business and Economic Statistics.

Berkowitz, Jeremy, Peter F. Christoffersen and Denis Pelletier, 2010, Evaluating Value-at-Risk Models with Desk-Level Data, forthcoming in Management Science.

Christoffersen, Peter F., Redouane Elkamhi, Bruno Feunou, and Kris Jacobs, 2010, Option Valuation with Conditional Heteroskedasticity and Non-Normality, Review of Financial Studies, 23, 2139-2183.

Christoffersen, Peter F., Steven Heston and Kris Jacobs, 2009, The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well, Management Science, 55, 1914-1932. Presented at the WFA meetings.

Christoffersen, Peter F., Kris Jacobs, Chay Ornthanalai, and Yintian Wang, 2008, Option Valuation with Long-run and Short-run Volatility Components, Journal of Financial Economics, 90, 272–297.

Christoffersen, Peter F., Francis X. Diebold, Roberto S. Mariano, Anthony S. Tay and Yiu Kuen Tse, 2007, Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence, Journal of Financial Forecasting, 1, 3-24.

Christoffersen, Peter F. and Francis X. Diebold, 2006, Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics, Management Science, 52, 1273-1287.

Christoffersen, Peter F., Steven Heston and Kris Jacobs, 2006, Option Valuation with Conditional Skewness, Journal of Econometrics, 131, 253-284.

Christoffersen, Peter F., Hyunchul Chung and Vihang Errunza, 2006, Size Matters: The Impact of Capital Market Liberalization on Individual Firms, Journal of International Money and Finance, 25, 1296-1318.

Christoffersen, Peter F. and Stefano Mazzotta, 2005, The Accuracy of Density Forecasts from Foreign Exchange Options, Journal of Financial Econometrics, 3, 578-605.

Christoffersen, Peter F. and Silvia Goncalves, 2005, Estimation Risk in Financial Risk Management, Journal of Risk, 7, 1-28.

Christoffersen, Peter F. and Kris Jacobs, 2004, Which GARCH Model for Option Valuation? Management Science, 50, 1204-1221. Online Appendix.

Christoffersen, Peter F. and Kris Jacobs, 2004, The Importance of the Loss Function in Option Valuation, Journal of Financial Economics, 72, 291-318.

Christoffersen, Peter F. and Denis Pelletier, 2004, Backtesting Value-at-Risk: A Duration-Based Approach, Journal of Financial Econometrics, 2, 84-108.

Christoffersen, Peter F., Eric Ghysels and Norm Swanson, 2002, Let's Get "Real" about Using Economic Data, Journal of Empirical Finance, 9, 343-360.

Christoffersen, Peter F., Jinyong Hahn and Atsushi Inoue, 2001, Testing and Comparing Value-at-Risk Measures Journal of Empirical Finance, 8, 325-342.

Christoffersen, Peter F., Torsten Sloek and Robert Wescott, 2001, Is Inflation Targeting Feasible in Poland? Economics of Transition, 9, 153-174. Original IMF Working Paper 99/41.

Christoffersen, Peter F. and Francis X. Diebold, 2000, How Relevant Is Volatility Forecasting for Financial Risk Management? Review of Economics and Statistics, 82, 12-22.

Christoffersen, Peter F. and Lorenzo Giorgianni, 2000, Interest Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk Journal of Business and Economic Statistics, 18, 242-253.

Christoffersen, Peter F. and Peter Doyle, 2000, From Inflation to Growth--Eight Years of Transition, Economics of Transition, 8, 421-451.

Christoffersen, Peter F. and Vihang Errunza, 2000, Towards A Global Financial Architecture: Capital Mobility And Risk Management Issues, Emerging Markets Review, 1, 2-19.

Christoffersen, Peter F., 1998, Evaluating Interval Forecasts, International Economic Review, 39, 841-862.

Christoffersen, Peter F. and Francis X. Diebold, 1998, Cointegration and Long Horizon Forecasting, Journal of Business and Economic Statistics, 16, 450-458.

Christoffersen, Peter F. and Francis X. Diebold, 1997, Optimal Prediction Under Asymmetric Loss, Econometric Theory, 13, 808-817.

Christoffersen, Peter F. and Francis X. Diebold, 1996, Further Results on Forecasting and Model Selection under Asymmetric Loss, Journal of Applied Econometrics, 11, 561-571.