Peter F. Christoffersen

Finance · 2000–2018

A researcher in the Science corpus: 19 papers; trusts 101 researchers and is trusted by 60 researchers here, as inferred from the citation graph.

Subfields

• Finance — 531 citations into it; #699 of 10,518 by trust here, #565 by citations
• Economics and Econometrics — 362 citations into it; #1,575 of 23,481 by trust here, #1,913 by citations
• Accounting — 38 citations into it
• Statistics and Probability — 33 citations into it
• Demography — 30 citations into it
• Management Science and Operations Research — 28 citations into it; #10,536 of 11,946 by trust here, #6,888 by citations
• Strategy and Management — 14 citations into it
• Global and Planetary Change — 13 citations into it; #1,878 of 10,225 by trust here, #4,014 by citations

Whom Peter F. Christoffersen trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Robert F. Engle
2. Tim Bollerslev
3. Ole E. Barndorff-Nielsen
4. Bjørn Eraker
5. Torben G. Andersen
6. David S. Bates
7. N. Shephard
8. Gian Piero Aielli
9. Andrew J. Patton
10. Steven Heston

Who trusts Peter F. Christoffersen overall

1. J. Ziegel
2. M. Nieto
3. Torben G. Andersen
4. Perry Sadorsky
5. Tim Bollerslev
6. Andrew J. Patton
7. Jeremy Berkowitz
8. Andreas Kaeck
9. P. Giot
10. Turan G. Bali

Papers from Peter F. Christoffersen's perspective

Ordered by how strongly the researchers Peter F. Christoffersen trusts endorse each paper. Same corpus, a different order for every researcher.

1. Generalized autoregressive conditional heteroskedasticity
2. The jump-risk premia implicit in options: evidence from an integrated time-series study $
3. The Pricing of Options and Corporate Liabilities
4. Post-'87 crash fears in the S&P 500 futures option market
5. A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation
6. CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACH
7. Dynamic Conditional Correlation a Simple Class of Multivariate GARCH Models
8. Econometric analysis of realized volatility and its use in estimating stochastic volatility models
9. Common risk factors in the returns on stocks and bonds
10. A Simple Long Memory Model of Realized Volatility

Their papers

• Chapter 15 Volatility and Correlation Forecasting (2006) — 186 citations
• How Relevant is Volatility Forecasting for Financial Risk Management? (2000) — 397 citations
• Value–at–Risk Models (2009) — 145 citations
• Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012) — 436 citations
• Evaluating Value-at-Risk Models with Desk-Level Data (2011) — 369 citations
• Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns and Option Prices (2010) — 281 citations
• Does Realized Skewness Predict the Cross-Section of Equity Returns? (2015) — 476 citations
• Illiquidity Premia in the Equity Options Market (2018) — 143 citations
• Option Valuation with Observable Volatility and Jump Dynamics (2015) — 58 citations
• Correlation Dynamics and International Diversification Benefits (2014) — 219 citations
• Capturing Option Anomalies with a Variance-Dependent Pricing Kernel (2013) — 276 citations
• Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options (2012) — 195 citations
• Forecasting with Option-Implied Information (2012) — 88 citations
• The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well (2009) — 596 citations
• Volatility Components, Affine Restrictions and Non-Normal Innovations (2008) — 82 citations
• Option Valuation with Long-run and Short-run Volatility Components (2008) — 327 citations
• VOLATILITY AND CORRELATION FORECASTING (2006) — 437 citations
• Backtesting Value-at-Risk: A Duration-Based Approach (2003) — 90 citations
• Elements of Financial Risk Management (2003) — 498 citations