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Peter Christoffersen

Peter Christoffersen

D-Index & Metrics

Economics and Finance

D-Index
60
Citations
20071
World Ranking
814
National Ranking
14

Research.com Recognitions

  • 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

  • Elements of Financial Risk Management

    Peter F Christoffersen

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

    Peter Christoffersen;Steven Heston;Kris Jacobs

  • Backtesting Value-at-Risk: A Duration-Based Approach

    Peter Christoffersen;Denis Pelletier

  • Volatility and Correlation Forecasting

    Torben Andersen;Tim Bollerslev;Peter Christoffersen;Francis Diebold

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

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

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

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

  • Market skewness risk and the cross section of stock returns

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

  • Evaluating Value-at-Risk Models with Desk-Level Data

    Jeremy Berkowitz;Peter Christoffersen;Denis Pelletier

  • OPTIMAL PREDICTION UNDER ASYMMETRIC LOSS

    Peter F. Christoffersen;Francis X. Diebold

  • HOW RELEVANT IS VOLATILITY FORECASTING FOR FINANCIAL RISK MANAGEMENT

    Peter F. Christoffersen;Francis X. Diebold

  • The Importance of the Loss Function in Option Valuation

    Peter Christoffersen;Peter Christoffersen;Kris Jacobs;Kris Jacobs

  • Option valuation with long-run and short-run volatility components☆

    Peter Christoffersen;Kris Jacobs;Yintian Wang

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

    Peter Christoffersen;Kris Jacobs;Karim Mimouni

  • Testing and comparing Value-at-Risk measures

    Peter Christoffersen;Jinyong Hahn;Atsushi Inoue

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

    Peter F. Christoffersen;Francis X. Diebold

  • Option valuation with conditional skewness

    Peter Christoffersen;Steve Heston;Kris Jacobs

  • Which GARCH Model for Option Valuation

    Peter Christoffersen;Kris Jacobs

  • Capturing Option Anomalies with a Variance-Dependent Pricing Kernel

    Peter Christoffersen;Steven Heston;Kris Jacobs

  • Chapter 15 Volatility and Correlation Forecasting

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

  • Option Valuation with Long-Run and Short-Run Volatility Components

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

Frequent Co-Authors

Kris Jacobs
Kris Jacobs University of Houston
Francis X. Diebold
Francis X. Diebold University of Pennsylvania
Vihang R. Errunza
Vihang R. Errunza McGill University
Torben G. Andersen
Torben G. Andersen Northwestern University
Tim Bollerslev
Tim Bollerslev Duke University
Eric Ghysels
Eric Ghysels University of North Carolina at Chapel Hill
Asger Lunde
Asger Lunde Copenhagen Economics
Norman R. Swanson
Norman R. Swanson Rutgers, The State University of New Jersey
Til Schuermann
Til Schuermann Oliver Wyman
Christian Gourieroux
Christian Gourieroux Toulouse School of Economics

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