Peter F. Christoffersen

Institution: Unknown

Primary Field: Finance (weighted toward more recent publications)

Homepage: http://www.christoffersen.com

First Publication: 1997

Most Recent: 2022

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.02: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period	A (2x)	B (1x)	C (½x)	Total	Percentile
Last 5 Years	1.35	1.01	0.00	2.35	61%
Last 10 Years	4.51	3.87	0.00	8.38	85%
All Time	19.31	12.61	0.67	32.59	96%

Publication Statistics

Raw Publications 35

Coauthorship-Adjusted Count 23.61

Publications (35)

Year	Article	Journal	Tier	Authors
2022	The State Price Density Implied by Crude Oil Futures and Option Prices	The Review of Financial Studies	A	3
2021	Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk	Journal of Financial and Quantitative Analysis	B	4
2021	Unspanned stochastic volatility and the pricing of commodity derivatives	Review of Finance	B	4
2020	Beta Risk in the Cross-Section of Equities	The Review of Financial Studies	A	5
2019	Factor Structure in Commodity Futures Return and Volatility	Journal of Financial and Quantitative Analysis	B	3
2018	Oil volatility risk and expected stock returns	Journal of Banking & Finance	B	2
2018	An analysis of default correlation and multiple defaults	Review of Finance	B	4
2018	The Factor Structure in Equity Options	The Review of Financial Studies	A	3
2018	Illiquidity Premia in the Equity Options Market	The Review of Financial Studies	A	4
2017	Rare Disasters, Credit, and Option Market Puzzles	Management Science	B	3
2015	Option valuation with observable volatility and jump dynamics	Journal of Banking & Finance	B	3
2015	Does realized skewness predict the cross-section of equity returns?	Journal of Financial Economics	A	4
2014	The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation	Journal of Financial and Quantitative Analysis	B	4
2014	Correlation dynamics and international diversification benefits	International Journal of Forecasting	B	4
2014	Nonlinear Kalman Filtering in Affine Term Structure Models	Management Science	B	4
2013	Market skewness risk and the cross section of stock returns	Journal of Financial Economics	A	3
2013	The Joint Dynamics of Equity Market Factors	Journal of Financial and Quantitative Analysis	B	2
2013	Capturing Option Anomalies with a Variance-Dependent Pricing Kernel	The Review of Financial Studies	A	3
2012	Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options	Journal of Financial Economics	A	3
2012	Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach	The Review of Financial Studies	A	4
2011	Option-Implied Measures of Equity Risk	Review of Finance	B	4
2011	Evaluating Value-at-Risk Models with Desk-Level Data	Management Science	B	3
2010	Option Valuation with Conditional Heteroskedasticity and Nonnormality	The Review of Financial Studies	A	4
2010	Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices	The Review of Financial Studies	A	3
2009	The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well	Management Science	B	3
2008	Option valuation with long-run and short-run volatility components	Journal of Financial Economics	A	4
2006	Option valuation with conditional skewness	Journal of Econometrics	A	3
2006	Size matters: The impact of financial liberalization on individual firms	Journal of International Money and Finance	B	3
2006	Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics	Management Science	B	2
2004	The importance of the loss function in option valuation	Journal of Financial Economics	A	2
2004	Which GARCH Model for Option Valuation?	Management Science	B	2
2002	Let's get "real" about using economic data	Journal of Empirical Finance	C	3
2001	Testing and comparing Value-at-Risk measures	Journal of Empirical Finance	C	3
2000	How Relevant is Volatility Forecasting for Financial Risk Management?	Review of Economics and Statistics	A	2
1997	Optimal Prediction Under Asymmetric Loss	Econometric Theory	B	2