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Author
Peter Christoffersen
also known as Christoffersen, Peter, Christoffersen, Peter F., F. Christoffersen
University of Toronto · Northwestern University · Western University · International Monetary Fund
About this author
Works
258
Cited by
13,783
h-index
53
i10
134
Top papers
Evaluating Interval Forecasts
Peter Christoffersen
·
1998
·
International Economic Review
↗ 2,654
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
Peter Christoffersen, Steven L. Heston, Kris Jacobs
·
2009
·
Management Science
↗ 546
Market Skewness Risk and the Cross Section of Stock Returns
Bo Young Chang, Peter Christoffersen, Kris Jacobs
·
2013
·
CBS Research Portal (Copenhagen Business School)
↗ 439
Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach
Peter Christoffersen, Vihang R. Errunza, Kris Jacobs, et al.
·
2012
·
Review of Financial Studies
↗ 419
OA
Backtesting Value-at-Risk: A Duration-Based Approach
Peter Christoffersen
·
2004
·
Journal of Financial Econometrics
↗ 400
How Relevant is Volatility Forecasting for Financial Risk Management?
Peter Christoffersen, Francis X. Diebold
·
2000
·
The Review of Economics and Statistics
↗ 348
Optimal Prediction Under Asymmetric Loss
Peter Christoffersen, Francis X. Diebold
·
1997
·
Econometric Theory
↗ 344
Chapter 15 Volatility and Correlation Forecasting
Torben G. Andersen, Tim Bollerslev, Peter Christoffersen, et al.
·
2006
·
Handbook of economic forecasting
↗ 332
Option valuation with long-run and short-run volatility components☆
Peter Christoffersen, Kris Jacobs, Chayawat Ornthanalai, et al.
·
2008
·
Journal of Financial Economics
↗ 322
OA
Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices
Peter Christoffersen, Kris Jacobs, Karim Mimouni
·
2010
·
Review of Financial Studies
↗ 311
Capturing Option Anomalies with a Variance-Dependent Pricing Kernel
Peter Christoffersen, Steven L. Heston, Kris Jacobs
·
2013
·
Review of Financial Studies
↗ 299
Option valuation with conditional skewness
Peter Christoffersen, Steve Heston, Kris Jacobs
·
2005
·
Journal of Econometrics
↗ 293
Books
Elements of Financial Risk Management
2003
·
Academic Press
Guatemala, Ferienparadies zwischen Massengräbern
1983
·
CON Medien- und Vertriebsgesellschaft
Christoffersen's Elements of Financial Risk Management
2022
·
Elsevier Science & Technology Books