What is he best known for?
The fields of study he is best known for:
- Finance
- Statistics
- Econometrics
His main research concerns Econometrics, Volatility, Skewness, Index and Valuation of options.
He frequently studies issues relating to Equity and Econometrics.
Within one scientific family, Peter Christoffersen focuses on topics pertaining to Risk management under Volatility, and may sometimes address concerns connected to Market risk.
Peter Christoffersen works mostly in the field of Skewness, limiting it down to topics relating to Kurtosis and, in certain cases, Statistic, Average return, Decile and Conditional expectation.
Peter Christoffersen studied Index and Black–Scholes model that intersect with Conditional probability distribution, Price index, Moneyness and Stochastic modelling.
His Valuation of options research incorporates themes from Estimation theory, Estimation, Heteroscedasticity and Consistency.
His most cited work include:
- Evaluating Interval Forecasts. (1819 citations)
- Elements of Financial Risk Management (337 citations)
- Volatility and Correlation Forecasting (319 citations)
What are the main themes of his work throughout his whole career to date?
Peter Christoffersen mainly focuses on Econometrics, Volatility, Financial economics, Valuation of options and Implied volatility.
Many of his studies involve connections with topics such as Index and Econometrics.
His research in Volatility intersects with topics in Risk premium, Monetary economics, Monte Carlo method, Risk management and Conditional expectation.
His Risk management study incorporates themes from Actuarial science and Market risk.
The Financial economics study combines topics in areas such as Equity and Credit risk.
His study looks at the intersection of Implied volatility and topics like Volatility smile with Volatility swap.
He most often published in these fields:
- Econometrics (120.05%)
- Volatility (85.94%)
- Financial economics (71.87%)
What were the highlights of his more recent work (between 2012-2021)?
- Econometrics (120.05%)
- Financial economics (71.87%)
- Volatility (85.94%)
In recent papers he was focusing on the following fields of study:
His scientific interests lie mostly in Econometrics, Financial economics, Volatility, Implied volatility and Valuation of options.
His Econometrics research incorporates elements of Index and Equity.
His Volatility research includes themes of Monetary economics and Credit risk.
His biological study spans a wide range of topics, including Volatility smile, Futures contract and Equity-linked note.
His research in Skewness focuses on subjects like Kurtosis, which are connected to Decile.
His work in Stochastic volatility covers topics such as Autoregressive conditional heteroskedasticity which are related to areas like Valuation and Monte Carlo method.
Between 2012 and 2021, his most popular works were:
- Market skewness risk and the cross section of stock returns (199 citations)
- Market skewness risk and the cross section of stock returns (199 citations)
- Does realized skewness predict the cross-section of equity returns? ☆ (162 citations)
In his most recent research, the most cited papers focused on:
- Finance
- Statistics
- Econometrics
The scientist’s investigation covers issues in Econometrics, Equity, Volatility, Skewness and Valuation of options.
In his study, which falls under the umbrella issue of Econometrics, Trading strategy is strongly linked to Portfolio.
In his study, Market maker is inextricably linked to Financial economics, which falls within the broad field of Equity.
His Volatility study integrates concerns from other disciplines, such as Momentum, Futures contract and Risk premium.
His work in Skewness addresses subjects such as Kurtosis, which are connected to disciplines such as Decile.
He interconnects Black–Scholes model, Autoregressive model and Stochastic volatility in the investigation of issues within Autoregressive conditional heteroskedasticity.
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