NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Peter Christoffersen

Professor of Finance
Rotman School of Management
University of Toronto
105 St. George Street 447
Toronto, ON, M5S 3E6, Canada
Tel: 416-946-5511

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org

NBER Working Papers and Publications

May 2012Financial Risk Measurement for Financial Risk Management
with Torben G. Andersen, Tim Bollerslev, Francis X. Diebold: w18084
January 2007Practical 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
March 2005Volatility Forecasting
with Torben G. Andersen, Tim Bollerslev, Francis X. Diebold: w11188
January 2005Practical Volatility and Correlation Modeling for Financial Market Risk Management
with Torben G. Andersen, Tim Bollerslev, Francis X. Diebold: w11069

Published: Practical Volatility and Correlation Modeling for Financial Market Risk Management , Torben G. Andersen, Tim Bollerslev, Peter Christoffersen, Francis X. Diebold. in The Risks of Financial Institutions, Carey and Stulz. 2006

October 2003Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics
with Francis X. Diebold: w10009

Published: Christoffersen, Peter F. and Francis X. Diebold. "Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics." Management Science 52 (2006): 1273-1287. citation courtesy of

December 1998How Relevant is Volatility Forecasting for Financial Risk Management?
with Francis X. Diebold: w6844

Published: Review of Economics and Statistics, Vol. 82 (2000): 12-23. citation courtesy of

October 1997Cointegration and Long-Horizon Forecasting
with Francis X. Diebold: t0217

Published: Journal of Business and Economic Statistics, Vol. 16 (1998): 450-458.

October 1994Optimal Prediction Under Asymmetric Loss
with Francis X. Diebold: t0167

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