Peter F. Christoffersen

Publication Activity (10 Years)

Years Active: 2004-2014
Publications (10 Years): 0

Top Topics

Kalman Filtering

Measurement Noise

Top Venues

Publications

Peter F. Christoffersen, Christian Dorion, Kris Jacobs, Lotfi Karoui
Nonlinear Kalman Filtering in Affine Term Structure Models. Manag. Sci. 60 (9) (2014)
Jeremy Berkowitz, Peter F. Christoffersen, Denis Pelletier
Evaluating Value-at-Risk Models with Desk-Level Data. Manag. Sci. 57 (12) (2011)
Peter F. Christoffersen, Steven Heston, Kris Jacobs
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well. Manag. Sci. 55 (12) (2009)
Peter F. Christoffersen, Francis X. Diebold
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics. Manag. Sci. 52 (8) (2006)
Peter F. Christoffersen, Kris Jacobs
Which GARCH Model for Option Valuation? Manag. Sci. 50 (9) (2004)