2026 Peter Christoffersen: Economics and Finance Researcher – H-Index, Publications & Awards

Discipline name	D-Index	World Ranking	National Ranking	Publications	Citations
Economics and Finance	60	814	14	179	20071

Peter Christoffersen publication distribution in Economics and Finance in 2026

The chart shows the distribution of publications by all Research.com ranked scientists in the field of Economics and Finance in 2026. The highlighted bar marks where Peter Christoffersen sits on this spectrum.

42 publications 521+

This scientist: 179 publications — 54th percentile

54% of scientists in this discipline score the same or lower.

The last bar groups every scientist with 521 publications or more.

Peter Christoffersen D-index placement in Economics and Finance in 2026

The chart shows the D-index (discipline H-index) distribution of Economics and Finance scientists ranked by Research.com in 2026. The highlighted bar marks where Peter Christoffersen sits on this spectrum.

30 D-Index 101+

This scientist: 60 D-Index — 79th percentile

79% of scientists in this discipline score the same or lower.

The last bar groups every scientist with 101 D-Index or more.

Research.com Recognitions

Fellow of the Financial Institutions Center (FIC)
Fellow of the Financial Institutions Center (FIC)
Fellow of the Financial Institutions Center (FIC)
Fellow of the Financial Institutions Center (FIC)
Fellow of the Financial Institutions Center (FIC)

Overview

Peter Christoffersen was affiliated with the University of Toronto in Canada. Their research primarily focused on the fields of economics, econometrics, and finance, with specific attention to finance, economics and econometrics, and general economics, econometrics, and finance.

The main topics addressed in Christoffersen's work included:

Financial Markets and Investment Strategies
Market Dynamics and Volatility
Capital Investment and Risk Analysis
Monetary Policy and Economic Impact
Stochastic processes and financial applications
Complex Systems and Time Series Analysis

Christoffersen had a presence in a number of academic journals, publishing in venues such as:

Journal of Financial and Quantitative Analysis
Review of Financial Studies
European Finance Review
Econstor (Econstor)

The following papers exemplify some of Christoffersen's recent research contributions:

Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk, 2020, Journal of Financial and Quantitative Analysis
The State Price Density Implied by Crude Oil Futures and Option Prices, 2021, Review of Financial Studies
Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity, 2020, European Finance Review
Time-Varying Crash Risk: The Role of Stock Market Liquidity, 2021, Econstor (Econstor)

Throughout their career, Christoffersen collaborated frequently with several co-authors, including:

Kris Jacobs
Bruno Feunou
Yoontae Jeon
Chayawat Ornthanalai
Mathieu Fournier

Christoffersen was recognized as a Fellow of the Financial Institutions Center (FIC), an award that signifies connection to research on financial institutions. Their work encompassed various aspects of risk analysis, financial market behavior, and econometric modeling.

Best Publications

Evaluating Interval Forecasts.

Peter F Christoffersen

3698
Citations
Elements of Financial Risk Management

Peter F Christoffersen

949
Citations
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well

Peter Christoffersen;Steven Heston;Kris Jacobs

673
Citations
Backtesting Value-at-Risk: A Duration-Based Approach

Peter Christoffersen;Denis Pelletier

658
Citations
Volatility and Correlation Forecasting

Torben Andersen;Tim Bollerslev;Peter Christoffersen;Francis Diebold

614
Citations
Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach

Peter F. Christoffersen;Vihang Errunza;Kris Jacobs;Hugues Langlois

597
Citations
Does realized skewness predict the cross-section of equity returns? ☆

Diego Amaya;Peter Christoffersen;Peter Christoffersen;Peter Christoffersen;Kris Jacobs;Aurelio Vasquez

549
Citations
Market skewness risk and the cross section of stock returns

Bo Young Chang;Peter F. Christoffersen;Peter F. Christoffersen;Kris Jacobs;Kris Jacobs

521
Citations
Evaluating Value-at-Risk Models with Desk-Level Data

Jeremy Berkowitz;Peter Christoffersen;Denis Pelletier

515
Citations
OPTIMAL PREDICTION UNDER ASYMMETRIC LOSS

Peter F. Christoffersen;Francis X. Diebold

469
Citations
HOW RELEVANT IS VOLATILITY FORECASTING FOR FINANCIAL RISK MANAGEMENT

Peter F. Christoffersen;Francis X. Diebold

443
Citations
The Importance of the Loss Function in Option Valuation

Peter Christoffersen;Peter Christoffersen;Kris Jacobs;Kris Jacobs

425
Citations
Option valuation with long-run and short-run volatility components☆

Peter Christoffersen;Kris Jacobs;Yintian Wang

406
Citations
Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices

Peter Christoffersen;Kris Jacobs;Karim Mimouni

370
Citations
Testing and comparing Value-at-Risk measures

Peter Christoffersen;Jinyong Hahn;Atsushi Inoue

369
Citations
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics

Peter F. Christoffersen;Francis X. Diebold

357
Citations
Option valuation with conditional skewness

Peter Christoffersen;Steve Heston;Kris Jacobs

341
Citations
Which GARCH Model for Option Valuation

Peter Christoffersen;Kris Jacobs

330
Citations
Capturing Option Anomalies with a Variance-Dependent Pricing Kernel

Peter Christoffersen;Steven Heston;Kris Jacobs

328
Citations
Chapter 15 Volatility and Correlation Forecasting

Torben G. Andersen;Tim Bollerslev;Peter F. Christoffersen;Francis X. Diebold

285
Citations
Option Valuation with Long-Run and Short-Run Volatility Components

Peter Christoffersen;Peter Christoffersen;Peter Christoffersen;Kris Jacobs;Chayawat Ornthanalai;Yintian Wang

83
Citations

Frequent Co-Authors

Kris Jacobs University of Houston

Francis X. Diebold University of Pennsylvania

Vihang R. Errunza McGill University

Torben G. Andersen Northwestern University

Tim Bollerslev Duke University

Eric Ghysels University of North Carolina at Chapel Hill

Jinyong Hahn University of California, Los Angeles

Asger Lunde Copenhagen Economics

Til Schuermann Oliver Wyman

Norman R. Swanson Rutgers, The State University of New Jersey

External Links

Personal website of Peter Christoffersen

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