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Christoffersen, Peter F.

Author ID: christoffersen.peter-f Recent zbMATH articles by "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

Publications by Year

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
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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
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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

Citations by Year