Peter Christoffersen
- Finance top 0.05%
- Stochastic processes and financial applications 61
- Financial Risk and Volatility Modeling 59
- Financial Markets and Investment Strategies 51
- Capital Investment and Risk Analysis 29
- Credit Risk and Financial Regulations 14
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- Monetary Policy and Economic Impact 33
- Economics and Econometrics top 0.1%
- Market Dynamics and Volatility 41
- Complex Systems and Time Series Analysis 13
- Statistics and Probability top 1%
- Co-authors
- Kris JacobsFrancis X. DieboldSteven L. HestonChayawat OrnthanalaiVihang R. ErrunzaHugues LangloisBo Young ChangKarim Mimouni
- Journals
- Review of Financial Studies (7 papers)Journal of Business and Economic Statistics (5 papers)Management Science (4 papers)
- Partner nations
- CanadaUnited StatesDenmark
In The Last Decade
Peter Christoffersen
143 papers receiving 7.3k citations
Hit Papers
Peers
Comparison fields: 5 of 93
- Finance 6.7k
- General Economics, Econometrics and Finance 2.1k
- Economics and Econometrics 4.6k
- Management Science and Operations Research 753
- Statistics and Probability 337
Countries citing papers authored by Peter Christoffersen
This map shows the geographic impact of Peter Christoffersen's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Peter Christoffersen with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Peter Christoffersen more than expected).
Fields of papers citing papers by Peter Christoffersen
This network shows the impact of papers produced by Peter Christoffersen. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Peter Christoffersen. The network helps show where Peter Christoffersen may publish in the future.
Co-authorship network
The 25 scholars most cited alongside Peter Christoffersen, linked wherever they have co-authored with each other. Click a name or a connecting line to browse the papers they share.
All Works
| # | Work | ||
|---|---|---|---|
| 1 | 2020 | 6 | |
| 2 | 2019 | 6 | |
| 3 | Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk | 2015 | 4 |
| 4 | 2014 | 132 | |
| 5 | Dynamic Diversification in Corporate Credit | 2013 | 8 |
| 6 | Market Skewness Risk and the Cross Section of Stock Returnsbreakdown → | 2013 | 290 |
| 7 | The Joint Dynamics of Equity Market Factors | 2011 | 29 |
| 8 | The Economic Value of Realized Volatility ∗ | 2010 | 5 |
| 9 | 2009 | 12 | |
| 10 | 2009 | 4 | |
| 11 | Evaluating Value-at-Risk Models with Desk-Level Data | 2008 | 3 |
| 12 | 2007 | 20 | |
| 13 | 2007 | 44 | |
| 14 | VOLATILITY AND CORRELATION FORECASTING | 2006 | 32 |
| 15 | The Accuracy of Density Forecasts from Foreign Exchange Options | 2005 | 6 |
| 16 | 2005 | 89 | |
| 17 | 2004 | 188 | |
| 18 | Is Inflation Targeting Feasible in Poland | 2001 | 1 |
| 19 | 2001 | 16 | |
| 20 | Essays on forecasting in economics | 1996 | 2 |
About Peter Christoffersen
Peter Christoffersen is a scholar working on Finance, General Economics, Econometrics and Finance, Economics and Econometrics, Accounting and Management Science and Operations Research, having authored 147 papers that have together received 7.8k indexed citations. Recurring topics across this work include Stochastic processes and financial applications (61 papers), Financial Risk and Volatility Modeling (59 papers), Financial Markets and Investment Strategies (51 papers), Market Dynamics and Volatility (41 papers), Monetary Policy and Economic Impact (33 papers), Capital Investment and Risk Analysis (29 papers), Credit Risk and Financial Regulations (14 papers) and Complex Systems and Time Series Analysis (13 papers). The work is most often cited by research in Finance (6.7k citations), General Economics, Econometrics and Finance (2.1k citations), Economics and Econometrics (4.6k citations), Management Science and Operations Research (753 citations) and Statistics and Probability (337 citations). Peter Christoffersen has collaborated with scholars based in Canada, United States and Denmark. Frequent co-authors include Kris Jacobs, Francis X. Diebold, Steven L. Heston, Chayawat Ornthanalai, Vihang R. Errunza, Hugues Langlois, Bo Young Chang, Karim Mimouni, Xisong Jin and Y WANG. Their work appears in journals such as Review of Financial Studies, Journal of Business and Economic Statistics, Management Science, European Finance Review and Journal of Financial Economics.
Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.