Peter F. Christoffersen
(Deceased since 20180622)
Names
first:  Peter 
middle:  F. 
last:  Christoffersen 
Contact
homepage:  http://www.christoffersen.com 
Research profile
author of:

Evaluating Interval Forecasts.
by Christoffersen, Peter F. 
Further Results on Forecasting and Model Selection under Asymmetric Loss.
by Christoffersen, Peter F. & Diebold, Francis X. 
Volatility Forecasting
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold 
Cointegration and LongHorizon Forecasting.
by Christoffersen, Peter F. & Diebold, Francis X. 
InterestRate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk.
by Christoffersen, Peter F. & Giorgianni, Lorenzo 
Practical Volatility and Correlation Modeling for Financial Market Risk Management
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold 
Financial Asset Returns, DirectionofChange Forecasting, and Volatility Dynamics
by Peter F. Christoffersen & Francis X. Diebold 
How Relevant is Volatility Forecasting for Financial Risk Management?
by Peter F. Christoffersen & Francis X. Diebold 
Practical Volatility and Correlation Modeling for Financial Market Risk Management
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold 
Horizon problems and extreme events in financial risk management
by Peter F. Christoffersen & Francis X. Diebold & Til Schuermann 
How Relevant is Volatility Forecasting for Financial Risk Management?
by Peter F. Christoffersen & Francis X. Diebold 
Cointegration and LongHorizon Forecasting
by Peter F. Christoffersen & Francis X. Diebold 
Optimal Prediction Under Asymmetric Loss
by Peter F. Christoffersen & Francis X. Diebold 
Optimal Prediction Under Asymmetric Loss
by Peter F. Christoffersen & Francis X. Diebold 
How Relevant is Volatility Forecasting for Financial Risk Management?
by Peter F. Christoffersen & Francis X. Diebold 
How Relevant is Volatility Forecasting for Financial Risk Management?
by Peter F. Christoffersen & Francis X. Diebold 
Horizon Problems and Extreme Events in Financial Risk Management
by Peter F. Christoffersen & Francis X. Diebold & Til Schuermann 
Optimal prediction under asymmetric loss
by Peter F. Christoffersen & Francis X. Diebold 
Financial Asset Returns, DirectionofChange Forecasting, and Volatility Dynamics
by Peter F. Christoffersen & Francis X. Diebold 
Cointegration and longhorizon forecasting
by Peter F. Christoffersen & Francis X. Diebold 
Let's get "real" about using economic data
by Christoffersen, Peter & Ghysels, Eric & Swanson, Norman R. 
Value Creation through Real Options Management
by Marcel Boyer & Peter Christoffersen & Pierre Lasserre & Andrey Pavlov 
Size Matters: The Impact of Capital Market Liberalization on Individual Firms
by Peter Christoffersen & Hyunchul Chung & Vihang Errunza 
Dating the Turning Points of Nordic Business Cycles.
by Peter F. Christoffersen 
Value creation, risk management, and real options
by Marcel Boyer & Peter Christoffersen & Pierre Lasserre & Andrey Pavlov 
Testing and comparing ValueatRisk measures
by Christoffersen, Peter & Hahn, Jinyong & Inoue, Atsushi 
Testing, Comparing, and Combining Value at Risk Measures
by Peter Christoffersen & Jinyong Hahn & Atsushi Inoue 
The importance of the loss function in option valuation
by Christoffersen, Peter & Jacobs, Kris 
Towards a global financial architecture: capital mobility and risk management issues
by Christoffersen, Peter & Errunza, Vihang 
Testing and Comparing ValueatRisk Measures
by Peter Christoffersen & Jinyong Hahn & Atsushi Inoue 
Let's Get "Real"" about Using Economic Data"
by Peter Christoffersen & Eric Ghysels & Norman R. Swanson 
Option Valuation with Conditional Skewness
by Peter Christoffersen & Steve Heston & Kris Jacobs 
Martingale Tests of ValueatRisk
by Peter Christoffersen & Jeremy Berkowitz 
Let's Get "Real" About Using Economic Data
by Peter Christoffersen & Eric Ghysels & Norman Swanson 
Option Valuation with Longrun and Shortrun Volatility Components
by Peter Christoffersen & Kris Jacobs & Yintian Wang 
The Importance of the Loss Function in Option Pricing
by Peter Christoffersen & Kris Jacobs 
Estimation Risk in Financial Risk Management
by Peter Christoffersen & Silvia Gonçalves 
Let's Get "Real" about Using Economic Data.
by Peter Christoffersen & Eric Ghysels & Norman R. Swanson 
The Informational Content of OvertheCounter Currency Options
by Peter Christoffersen & Stefano Mazzotta 
Which Volatility Model for Option Valuation?
by Peter Christoffersen & Kris Jacobs 
Financial Asset Returns, Market Timing, and Volatility Dynamics
by Peter Christoffersen & Francis X. Diebold 
The Importance of the Loss Function in Option Valuation
by Peter Christoffersen & Kris Jacobs 
Backtesting ValueatRisk: A DurationBased Approach
by Peter Christoffersen & Denis Pelletier 
Company Flexibility, the Value of Management and Managerial Compensation
by Peter Christoffersen & Andrey Pavlov 
Création de valeur, gestion de risque et options réelles
by Marcel Boyer & Peter Christoffersen & Pierre Lasserre & Andrey Pavlov 
Optimal Prediction Under Asymmetric Loss
by Christoffersen & Diebold 
Backtesting ValueatRisk: A DurationBased Approach
by Peter Christoffersen 
Volatility Forecasting
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold 
Option valuation with conditional skewness
by Christoffersen, Peter & Heston, Steve & Jacobs, Kris 
The Accuracy of Density Forecasts from Foreign Exchange Options
by Peter Christoffersen & Stefano Mazzotta 
DirectionofChange Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence
by Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Anthony S. Tay & Yiu Kuen Tse 
DirectionofChange Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore
by Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Anthony S. Tay & Yiu Kuen Tse 
Size matters: The impact of financial liberalization on individual firms
by Christoffersen, Peter & Chung, Hyunchul & Errunza, Vihang 
Evaluating ValueatRisk models with desklevel data
by Jeremy Berkowitz & Peter Christoffersen & Denis Pelletier 
From Inflation to Growth
by Peter Christoffersen & Peter Doyle 
Volatility and Correlation Forecasting
by Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X.
edited by 
ForwardLooking Betas
by Peter Christoffersen & Kris Jacobs & Gregory Vainberg 
Option Valuation with Longrun and Shortrun Volatility Components
by Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai & Yintian Wang 
Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices
by Peter Christoffersen & Kris Jacobs & Karim Mimouni 
Volatility Components, Affine Restrictions and NonNormal Innovations
by Peter Christoffersen & Kris Dorion & Yintian Wang 
Option valuation with longrun and shortrun volatility components
by Christoffersen, Peter & Jacobs, Kris & Ornthanalai, Chayawat & Wang, Yintian 
Optimal Prediction Under Asymmetric Loss
by Christoffersen, Peter F. & Diebold, Francis X. 
Practical Volatility and Correlation Modeling for Financial Market Risk Management
by Torben G. Andersen & Tim Bollerslev & Peter Christoffersen & Francis X. Diebold
edited by 
Option Valuation with Conditional Heteroskedasticity and NonNormality
by Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs 
Financial Asset Returns, DirectionofChange Forecasting, and Volatility Dynamics
by Peter F. Christoffersen & Francis X. Diebold 
Financial Risk Measurement for Financial Risk Management
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold 
DirectionofChange Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence
by Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Anthony S. Tay & Yiu Kuen Tse 
Financial Risk Measurement for Financial Risk Management
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold 
Option Valuation with Conditional Heteroskedasticity and Nonnormality
by Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs 
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well
by Peter Christoffersen & Steven Heston & Kris Jacobs 
OptionImplied Measures of Equity Risk
by BoYoung Chang & Peter Christoffersen & Kris Jacobs & Gregory Vainberg 
Option Valuation with Conditional Heteroskedasticity and NonNormality
by Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs 
Evaluating ValueatRisk Models with DeskLevel Data
by Peter Christoffersen & Jeremy Berkowitz & Denis Pelletier 
Which GARCH Model for Option Valuation?
by Peter Christoffersen & Kris Jacobs 
Exploring TimeVarying Jump Intensities: Evidence from S&P500 Returns and Options
by Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai 
DirectionofChange Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence
by Anthony S. Tay & Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Yiu Kuen Tse 
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
by Peter Christoffersen & Steven Heston & Kris Jacobs 
Volatility Components, Affine Restrictions, and Nonnormal Innovations
by Christoffersen, Peter & Dorion, Christian & Jacobs, Kris & Wang, Yintian 
Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices
by Peter Christoffersen & Kris Jacobs & Karim Mimouni 
The Joint Dynamics of Equity Market Factors
by Peter Christoffersen & Hugues Langlois 
Do Realized Skewness and Kurtosis Predict the CrossSection of Equity Returns?
by Diego Amaya & Peter Christoffersen & Kris Jacobs & Aurelio Vasquez 
Forecasting with Option Implied Information
by Peter Christoffersen & Kris Jacobs & Bo Young Chang 
Illiquidity Premia in the Equity Options Market
by Peter Christoffersen & Ruslan Goyenko & Kris Jacobs & Mehdi Karoui 
Financial Risk Measurement for Financial Risk Management
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold 
OptionImplied Measures of Equity Risk
by BoYoung Chang & Peter Christoffersen & Kris Jacobs & Gregory Vainberg 
Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach
by Peter Christoffersen & Vihang Errunza & Kris Jacobs & Hugues Langlois 
Nonlinear Kalman Filtering in Affine Term Structure Models
by Peter Christoffersen & Christian Dorion & Kris Jacobs & Lotfi Karoui 
Market skewness risk and the cross section of stock returns
by Chang, Bo Young & Christoffersen, Peter & Jacobs, Kris 
GARCH Option Valuation: Theory and Evidence
by Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai 
The Economic Value of Realized Volatility: Using HighFrequency Returns for Option Valuation
by Peter Christoffersen & Bruno Feunou & Kris Jacobs & Nour Meddahi 
Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options
by Christoffersen, Peter & Jacobs, Kris & Ornthanalai, Chayawat 
Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach
by Peter Christoffersen & Vihang Errunza & Kris Jacobs & Hugues Langlois 
Evaluating ValueatRisk Models with DeskLevel Data
by Jeremy Berkowitz & Peter Christoffersen & Denis Pelletier 
Financial asset returns, directionofchange forecasting, and volatility dynamics
by Christoffersen, Peter F. & Diebold, Francis X. 
Capturing Option Anomalies with a VarianceDependent Pricing Kernel
by Peter Christoffersen & Steven Heston & Kris Jacobs 
Volatility forecasting
by Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X. 
Practical volatility and correlation modeling for financial market risk management
by Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X. 
Does Realized Skewness Predict the CrossSection of Equity Returns?
by Diego Amaya & Peter Christoffersen & Kris Jacobs & Aurelio Vasquez 
The Factor Structure in Equity Options
by Peter Christoffersen & Mathieu Fournier & Kris Jacobs 
Correlation Dynamics and International Diversification Benefits
by Peter Christoffersen & Vihang R. Errunza & Kris Jacobs & Xisong Jin 
Illiquidity Premia in the Equity Options Market
by Peter Christoffersen & Ruslan Goyenko & Kris Jacobs & Mehdi Karoui 
Rare Disasters and Credit Market Puzzles
by Peter Christoffersen & Du Du & Redouane Elkamhi 
Dynamic Diversification in Corporate Credit
by Peter Christoffersen & Kris Jacobs & Xisong Jin & Hugues Langlois 
Nonlinear Kalman Filtering in Affine Term Structure Models
by Peter Christoffersen & Christian Dorion & Kris Jacobs & Lotfi Karoui 
Correlation dynamics and international diversification benefits
by Christoffersen, Peter & Errunza, Vihang & Jacobs, Kris & Jin, Xisong 
Factor Structure in Commodity Futures Return and Volatility
by Peter Christoffersen & Asger Lunde & Kasper V. Olesen 
Equity Portfolio Management Using Option Price Information
by Peter Christoffersen & Xuhui (Nick) Pan 
The Economic Value of Realized Volatility: Using HighFrequency Returns for Option Valuation
by Christoffersen, Peter & Feunou, Bruno & Jacobs, Kris & Meddahi, Nour 
Oil Volatility Risk and Expected Stock Returns
by Peter Christoffersen & Xuhui (Nick) Pan 
The Joint Dynamics of Equity Market Factors
by Christoffersen, Peter & Langlois, Hugues 
Option Valuation with Observable Volatility and Jump Dynamics
by Peter Christoffersen & Bruno Feunou & Yoontae Jeon 
Does realized skewness predict the crosssection of equity returns?
by Amaya, Diego & Christoffersen, Peter & Jacobs, Kris & Vasquez, Aurelio 
OptionBased Estimation of the Price of CoSkewness and CoKurtosis Risk
by Peter Christoffersen & Mathieu Fournier & Kris Jacobs & Mehdi Karoui 
Option Valuation with Observable Volatility and Jump Dynamics
by Peter Christoffersen & Bruno Feunou & Yoontae Jeon 
Forecasting with OptionImplied Information
by Christoffersen, Peter & Jacobs, Kris & Chang, Bo Young
edited by 
Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels
by Kadir G. Babaoglou & Peter Christoffersen & Steven L. Heston & Kris Jacobs 
Option valuation with observable volatility and jump dynamics
by Christoffersen, Peter & Feunou, Bruno & Jeon, Yoontae 
Financial Risk Measurement for Financial Risk Management
by Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X.
edited by 
Nonlinear Kalman Filtering in Affine Term Structure Models
by Peter Christoffersen & Christian Dorion & Kris Jacobs & Lotfi Karoui 
TimeVarying Crash Risk: The Role of Stock Market Liquidity
by Peter Christoffersen & Bruno Feunou & Yoontae Jeon & Chayawat Ornthanalai 
Elements of Financial Risk Management
by Christoffersen, Peter 
The informational content of overthecounter currency options
by Christoffersen, Peter & Mazzotta, Stefano 
Elements of Financial Risk Management
by Christoffersen, Peter 
The Factor Structure in Equity Options
by Peter Christoffersen & Mathieu Fournier & Kris Jacobs 
Illiquidity Premia in the Equity Options Market
by Peter Christoffersen & Ruslan Goyenko & Kris Jacobs & Mehdi Karoui 
Oil volatility risk and expected stock returns
by Christoffersen, Peter & Pan, Xuhui (Nick) 
TimeVarying Jump Intensities and Fat Tail Dynamics: Evidence from S&P500 Returns and Options
by Christoffersen, Peter & Jacobs, Kris & Ornthanalai, Chayawat 
Option Anomalies and the Pricing Kernel
by Christoffersen, Peter & Heston, Steven & Jacobs, Kris 
Factor Structure in Commodity Futures Return and Volatility
by Christoffersen, Peter & Lunde, Asger & Olesen, Kasper V. 
Market Skewness Risk and the CrossSection of Stock Returns
by Chang, Bo Young & Christoffersen, Peter & Jacobs, Kris 
Is the Potential for International Diversification Disappearing?
by Christoffersen, Peter & Errunza, Vihang & Jacobs, Kris & Jin, Xisong 
OptionBased Estimation of the Price of Coskewness and Cokurtosis Risk
by Christoffersen, Peter & Fournier, Mathieu & Jacobs, Kris & Karoui, Mehdi 
Is Poland Ready for Inflation Targeting?
by Peter F. Christoffersen & Robert F. Westcott 
Rare Disasters, Credit, and Option Market Puzzles
by Peter Christoffersen & Du Du & Redouane Elkamhi 
Practical Volatility and Correlation Modeling for Financial Market Risk Management
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold 
Beta Risk in the CrossSection of Equities
by Ali Boloorforoosh & Peter Christoffersen & Mathieu Fournier & Christian Gouriéroux & Stijn Van Nieuwerburgh 
Interest Rate Arbitrage in Currency Baskets; Forecasting Weights and Measuring Risk
by Peter F. Christoffersen & Lorenzo Giorgianni 
Do Asset Prices in Transition Countries Contain Information About Future Economic Activity?
by Torsten M. Sloek & Peter F. Christoffersen 
Cointegration and LongHorizon Forecasting
by Francis X. Diebold & Peter F. Christoffersen 
Financial Asset Returns, DirectionofChange Forecasting, and Volatility Dynamics
by Peter F. Christoffersen & Francis X. Diebold 
Volatility Forecasting
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold 
From Inflation to Growth; Eight Years of Transition
by Peter Doyle & Peter F. Christoffersen