Edit Profile (opens in new tab) Christoffersen, Peter F. Co-Author Distance Author ID: christoffersen.peter-f Published as: Christoffersen, Peter; Christoffersen, Peter F. Documents Indexed: 9 Publications since 2003, including 2 Books Co-Authors: 14 Co-Authors with 6 Joint Publications 207 Co-Co-Authors all top 5 Co-Authors 3 single-authored 4 Jacobs, Kris 2 Heston, Steven L. 1 Dorion, Christian 1 Feunou, Bruno 1 Hansen, Mikkel 1 Jeon, Yoontae 1 Jin, Xisong 1 Langlois, Hugues 1 Larsen, Kim Guldstrand 1 Mardare, Radu 1 Mariegaard, Anders 1 Ornthanalai, Chayawat 1 Ringsmose, Julian Trier 1 Wang, Yintian Serials 2 Review of Finance 1 Journal of Econometrics 1 Management Science 1 Journal of Business and Economic Statistics Fields 8 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 6 Statistics (62-XX) 1 Computer science (68-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 9 Publications have been cited 219 times in 208 Documents Cited by ▼ Year ▼ The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well. Zbl 1232.91718 Christoffersen, Peter; Heston, Steven; Jacobs, Kris 131 2009 Option valuation with conditional skewness. Zbl 1337.62321 Christoffersen, Peter; Heston, Steve; Jacobs, Kris 32 2006 Elements of financial risk management. 2nd ed. Zbl 1250.91002 Christoffersen, Peter F. 17 2012 Elements of financial risk management. With CD-ROM. Zbl 1235.91001 Christoffersen, Peter F. 15 2003 Volatility components, affine restrictions, and nonnormal innovations. Zbl 1202.91345 Christoffersen, Peter; Dorion, Christian; Jacobs, Kris; Wang, Yintian 12 2010 Dynamic dependence and diversification in corporate credit. Zbl 1425.91421 Christoffersen, Peter; Jacobs, Kris; Jin, Xisong; Langlois, Hugues 4 2018 Value-at-risk models. Zbl 1178.91075 Christoffersen, Peter 3 2009 Time-varying crash risk embedded in index options: the role of stock market liquidity. Zbl 1471.91564 Christoffersen, Peter; Feunou, Bruno; Jeon, Yoontae; Ornthanalai, Chayawat 3 2021 Parametric verification of weighted systems. Zbl 1429.68140 Christoffersen, Peter; Hansen, Mikkel; Mariegaard, Anders; Ringsmose, Julian Trier; Larsen, Kim Guldstrand; Mardare, Radu 2 2015 Time-varying crash risk embedded in index options: the role of stock market liquidity. Zbl 1471.91564 Christoffersen, Peter; Feunou, Bruno; Jeon, Yoontae; Ornthanalai, Chayawat 3 2021 Dynamic dependence and diversification in corporate credit. Zbl 1425.91421 Christoffersen, Peter; Jacobs, Kris; Jin, Xisong; Langlois, Hugues 4 2018 Parametric verification of weighted systems. Zbl 1429.68140 Christoffersen, Peter; Hansen, Mikkel; Mariegaard, Anders; Ringsmose, Julian Trier; Larsen, Kim Guldstrand; Mardare, Radu 2 2015 Elements of financial risk management. 2nd ed. Zbl 1250.91002 Christoffersen, Peter F. 17 2012 Volatility components, affine restrictions, and nonnormal innovations. Zbl 1202.91345 Christoffersen, Peter; Dorion, Christian; Jacobs, Kris; Wang, Yintian 12 2010 The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well. Zbl 1232.91718 Christoffersen, Peter; Heston, Steven; Jacobs, Kris 131 2009 Value-at-risk models. Zbl 1178.91075 Christoffersen, Peter 3 2009 Option valuation with conditional skewness. Zbl 1337.62321 Christoffersen, Peter; Heston, Steve; Jacobs, Kris 32 2006 Elements of financial risk management. With CD-ROM. Zbl 1235.91001 Christoffersen, Peter F. 15 2003 all cited Publications top 5 cited Publications all top 5 Cited by 380 Authors 11 Mehrdoust, Farshid 8 Escobar, Marcos 6 Badescu, Alexandru M. 5 Escobar Anel, Marcos 5 He, Xinjiang 5 Kim, Jeong-Hoon 5 Zhang, Sumei 4 Aït-Sahalia, Yacine 4 Fallah, Somayeh 4 Fiorin, Lucio 4 Grasselli, Martino 4 Rubtsov, Alexey N. 4 Wong, Hoi Ying 4 Zhu, Songping 3 Augustyniak, Maciej 3 Chiu, Mei Choi 3 Ferrando, Sebastián Esteban 3 Ge, Xiangyu 3 Kim, See-Woo 3 La Bua, Gaetano 3 Li, Chenxu 3 Liu, Shican 3 Marazzina, Daniele 3 Noorani, Idin 3 Recchioni, Maria Cristina 3 Stentoft, Lars 3 Zagst, Rudi 3 Zhou, Yanli 3 Ziveyi, Jonathan 2 Amengual, Dante 2 Callegaro, Giorgia 2 Canhanga, Betuel 2 Chorro, Christophe 2 Cui, Zhenyu 2 Da Fonseca, José 2 Deng, Guohe 2 Drenovak, Mikica 2 Elliott, Robert James 2 Feunou, Bruno 2 Francq, Christian 2 Gschnaidtner, Christoph 2 Guégan, Dominique 2 Hamdi, Abdelouahed 2 Hansen, Mikkel 2 Hartz, Christoph 2 Huh, Jeonggyu 2 Ielpo, Florian 2 Jelic, Ranko 2 Kulperger, Reg J. 2 Larsen, Kim Guldstrand 2 Lee, Kyungsub 2 Li, Shuang 2 Lyu, Jianping 2 Ma, Chaoqun 2 Ma, Yong 2 Malyarenko, Anatoliy A. 2 Mittnik, Stefan 2 Murara, Jean-Paul 2 Naryongo, Raphael 2 Ngare, Philip 2 Paolella, Marc S. 2 Park, Yang-Ho 2 Rankovic, Vladimir 2 Saber, Naghmeh 2 Silvestrov, Sergei D. 2 Sun, Yu 2 Tedeschi, Gabriele 2 Thavaneswaran, Aerambamoorthy 2 Urošević, Branko V. 2 Waititu, Anthony 2 Wang, Xingchun 2 Weiß, Gregor N. F. 2 Wu, Yonghong 2 Xiu, Dacheng 2 Yue, Shengjie 2 Zakoïan, Jean-Michel 2 Zheng, Xinghua 1 Ahn, Dohyun 1 Alcantud, José Carlos Rodríguez 1 Alfeus, Mesias 1 Alòs, Elisa 1 Amédée-Manesme, Charles-Olivier 1 Auer, Benjamin R. 1 Bacci, Giovanni 1 Baldovin, Fulvio 1 Ballotta, Laura 1 Barletta, Andrea 1 Barthélémy, Fabrice 1 Bauer, Daniel J. 1 Bee, Marco 1 Bégin, Jean-François 1 Bellini, Fabio 1 Bergen, V. 1 Bersimis, Sotirios 1 Bianchi, Michele Leonardo 1 Bonnans, Joseph Frédéric 1 Bouri, Elie 1 Bretó, Carles 1 Cai, Tony Tony 1 Calvet, Laurent-Emmanuel ...and 280 more Authors all top 5 Cited in 71 Serials 24 Quantitative Finance 21 Journal of Econometrics 16 European Journal of Operational Research 7 Journal of Computational and Applied Mathematics 6 Insurance Mathematics & Economics 6 Journal of Economic Dynamics & Control 6 Review of Derivatives Research 5 Communications in Statistics. Theory and Methods 5 Studies in Nonlinear Dynamics and Econometrics 5 International Journal of Theoretical and Applied Finance 4 Computational Statistics and Data Analysis 3 Physica A 3 Annals of Operations Research 3 Japan Journal of Industrial and Applied Mathematics 3 Communications in Statistics. Simulation and Computation 3 Computational and Applied Mathematics 3 Applied Mathematical Finance 3 Complexity 3 Soft Computing 3 Discrete Dynamics in Nature and Society 3 Methodology and Computing in Applied Probability 3 Decisions in Economics and Finance 3 Journal of Function Spaces 2 Chaos, Solitons and Fractals 2 Applied Mathematics and Computation 2 Journal of Applied Probability 2 Mathematics and Computers in Simulation 2 Economics Letters 2 International Journal of Computer Mathematics 2 Journal of Statistical Computation and Simulation 2 Mathematical Problems in Engineering 2 Journal of Applied Statistics 2 Probability in the Engineering and Informational Sciences 2 Computational Management Science 2 Mathematics and Financial Economics 2 SIAM Journal on Financial Mathematics 2 Annals of Finance 1 Computers & Mathematics with Applications 1 International Journal of Mathematics and Mathematical Sciences 1 International Statistical Review 1 Journal of Optimization Theory and Applications 1 Operations Research 1 Statistics & Probability Letters 1 Stochastic Analysis and Applications 1 Computers & Operations Research 1 Applied Mathematics Letters 1 Science in China. Series A 1 Computational Mathematics and Modeling 1 Computational Economics 1 Applied Mathematics. Series B (English Edition) 1 Top 1 Monte Carlo Methods and Applications 1 Mathematical Finance 1 Abstract and Applied Analysis 1 The Econometrics Journal 1 CEJOR. Central European Journal of Operations Research 1 Econometric Theory 1 Applied Stochastic Models in Business and Industry 1 The ANZIAM Journal 1 Scandinavian Actuarial Journal 1 Asia-Pacific Financial Markets 1 Journal of Industrial and Management Optimization 1 Stochastics 1 The European Physical Journal B. Condensed Matter and Complex Systems 1 The Annals of Applied Statistics 1 Symmetry 1 Journal of Time Series Econometrics 1 Journal of Mathematics 1 Dependence Modeling 1 International Journal of Applied and Computational Mathematics 1 Frontiers of Mathematical Finance all top 5 Cited in 14 Fields 186 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 88 Statistics (62-XX) 48 Probability theory and stochastic processes (60-XX) 19 Numerical analysis (65-XX) 7 Operations research, mathematical programming (90-XX) 6 Computer science (68-XX) 5 Partial differential equations (35-XX) 3 Approximations and expansions (41-XX) 3 Harmonic analysis on Euclidean spaces (42-XX) 2 Mathematical logic and foundations (03-XX) 2 Systems theory; control (93-XX) 1 General and overarching topics; collections (00-XX) 1 Integral transforms, operational calculus (44-XX) 1 Statistical mechanics, structure of matter (82-XX) Citations by Year