Which GARCH Model for Option Valuation? - Peter F. Christoffersen; Kris Jacobs (Manag. Sci., 2004)

Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics. - Peter F. Christoffersen; Francis X. Diebold (Manag. Sci., 2006)

The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well. - Peter F. Christoffersen; Steven Heston; Kris Jacobs (Manag. Sci., 2009)

Evaluating Value-at-Risk Models with Desk-Level Data. - Jeremy Berkowitz; Peter F. Christoffersen; Denis Pelletier (Manag. Sci., 2011)

Nonlinear Kalman Filtering in Affine Term Structure Models. - Peter F. Christoffersen; Christian Dorion; Kris Jacobs; Lotfi Karoui (Manag. Sci., 2014)