NBER Publications by Peter Christoffersen
Working Papers and Chapters
| January 2007 | Practical Volatility and Correlation Modeling for Financial Market Risk Management
with Torben G. Andersen, Tim Bollerslev, Francis X. Diebold
in The Risks of Financial Institutions, Mark Carey and René M. Stulz, editors
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| March 2005 | Volatility Forecasting
with Torben G. Andersen, Tim Bollerslev, Francis X. Diebold: w11188
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| January 2005 | Practical Volatility and Correlation Modeling for Financial Market Risk Management
with Torben G. Andersen, Tim Bollerslev, Francis X. Diebold: w11069
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| October 2003 | Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics
with Francis X. Diebold: w10009
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| December 1998 | How Relevant is Volatility Forecasting for Financial Risk Management?
with Francis X. Diebold: w6844
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| October 1997 | Cointegration and Long-Horizon Forecasting
with Francis X. Diebold: t0217
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| October 1994 | Optimal Prediction Under Asymmetric Loss
with Francis X. Diebold: t0167
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Meetings
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Summer Institute
Schedules and selected papers (in preliminary form) from past NBER Summer Institutes are available:
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2008 )
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2007 )
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earlier ) (
Econometrics Lectures )
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James Poterba is President of the National Bureau of Economic Research.
He is also the Mitsui Professor of Economics at M.I.T.
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