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Peter F. Christoffersen left us in 2018, much too soon, at the age of fifty-one years. He was a world-renowned financial econometrics researcher, educator, lecturer, administrator (including hosting the 2014 SoFiE conference at the University of Toronto), and public servant (including the U.S....
Abstract This article presents tests for the existence of common factors spanning two large panels/groups of macroeconomic and financial variables, and the estimation of common and group-specific factors. New analytical results are derived regarding (i) the difference in the asymptotic...
Abstract We propose a novel method of estimating default probabilities using equity options data. The resulting default probabilities are highly correlated with estimates of default probabilities extracted from CDS spreads, which assume constant losses given default. Additionally, the...
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