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Christoffersen, Peter


 SSRN Author Rank: 193 by Downloads
 Professor of Finance
 

University of Toronto - Rotman School of Management


 105 St. George Street
 Toronto, Ontario M5S 3E6 M5P 3C4
 Canada
 416-946-5511 (Phone)
 HOME PAGE: http://www.christoffersen.com
 email address
 

Copenhagen Business School


 Solbjerg Plads 3
 Frederiksberg C, DK - 2000
 Denmark
 

University of Aarhus - CREATES


 School of Economics and Management
 Building 1322, Bartholins Alle 10
 DK-8000 Aarhus C
 Denmark

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. Christoffersen, Peter's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
41,465
Total
Citations
741
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.   Incl. Electronic Paper
Christoffersen, Peter
University of Toronto - Rotman School of Management
Heston, Steven L.
University of Maryland - Department of Finance
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Posted:
05 Feb 07
Last Revised:
13 Aug 09
2,355
(2,749)
26

2.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Hahn, Jinyong
University of California, Los Angeles
Inoue, Atsushi
Southern Methodist University
Posted:
16 Nov 99
2,351
(2,759)
23

3.   Incl. Electronic Paper
Christoffersen, Peter
University of Toronto - Rotman School of Management
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Posted:
18 Jan 98
Last Revised:
11 Oct 10
2,173
(3,156)
44

4.   Incl. Electronic Paper
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bollerslev, Tim
Duke University - Finance
Christoffersen, Peter
University of Toronto - Rotman School of Management
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Posted:
28 Feb 05
Last Revised:
29 Jul 10
2,109
(3,304)
13

5.   Incl. Electronic Paper
Christoffersen, Peter
University of Toronto - Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Vainberg, Gregory
McGill University - Desautels Faculty of Management
Posted:
17 Mar 06
Last Revised:
13 Aug 08
2,107
(3,311)
11

6.  
Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns and Option Prices | Show Abstract | Download |
EFA 2007 Ljubljana Meetings Paper, AFA 2008 New Orleans Meetings Paper
Working Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Mimouni, Karim
McGill University - Desautels Faculty of Management
Posted:
24 Aug 06
Last Revised:
25 Sep 09
1,910
(3,928)
26

7.   Incl. Electronic Paper
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bollerslev, Tim
Duke University - Finance
Christoffersen, Peter
University of Toronto - Rotman School of Management
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Posted:
21 Jan 05
Last Revised:
13 Mar 05
1,662
(5,022)
28

8.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Errunza, Vihang R.
McGill University - Desautels Faculty of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Jin, Xisong
University of Luxembourg - Luxembourg School of Finance
Posted:
21 Mar 10
1,528
(5,839)
11

9.  
Amaya, Diego
University of Quebec at Montreal (UQAM) - Finance Department
Christoffersen, Peter
University of Toronto - Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Vasquez, Aurelio
Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration
Posted:
31 Jul 11
Last Revised:
22 Feb 13
1,296
(7,691)
2

10.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Heston, Steven L.
University of Maryland - Department of Finance
Posted:
22 Jan 10
Last Revised:
07 Jun 12
1,081
(10,377)
3

11.  
Option-Implied Measures of Equity Risk | Show Abstract | Download |
Review of Finance, Forthcoming
Accepted Paper Series
Chang, Bo Young
Bank of Canada
Christoffersen, Peter
University of Toronto - Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Vainberg, Gregory
McGill University - Desautels Faculty of Management
Posted:
11 Jun 09
Last Revised:
23 Jan 12
1,009
(11,556)
17

12.   Incl. Electronic Paper
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bollerslev, Tim
Duke University - Finance
Christoffersen, Peter
University of Toronto - Rotman School of Management
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Posted:
07 Nov 11
Last Revised:
19 May 12
983
(12,032)
46

13.  
Option Valuation with Long-Run and Short-Run Volatility Components | Show Abstract | Download |
Journal of Financial Economics, Vol. 90, No. 3, pp. 272-297, CREATES Research Paper 2008-11
Working Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Ornthanalai, Chayawat
University of Toronto - Rotman School of Management
Wang, Yintian
McGill University - Desautels Faculty of Management
Posted:
11 Feb 05
Last Revised:
22 Jan 12
937
(12,917)
31

14.  
Horizon Problems and Extreme Events in Financial Risk Management | Show Abstract | Download |
Economic Policy Review, Vol. 4, No. 3, October 1998, Wharton Financial Institutions Center 98-16
Accepted Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Schuermann, Til
Oliver Wyman
Posted:
10 Feb 99
917
(13,348)
20

15.   Incl. Electronic Paper
Christoffersen, Peter
University of Toronto - Rotman School of Management
Elkamhi, Redouane
University of Iowa - Henry B. Tippie College of Business
Feunou, Bruno
Bank of Canada
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Posted:
08 Feb 07
Last Revised:
13 Aug 09
883
(14,138)
33

16.  
Forecasting with Option-Implied Information | Show Abstract | Download |
Handbook of Economic Forecasting, Volume 2, G. Elliott and A. Timmermann (eds.)
Working Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Chang, Bo Young
Bank of Canada
Posted:
08 Dec 11
Last Revised:
11 Jul 12
809
(16,161)
3

17.  
Chang, Bo Young
Bank of Canada
Christoffersen, Peter
University of Toronto - Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Posted:
30 Sep 09
804
(16,338)
21

18.  
Dynamic Jump Intensities and Risk Premia: Evidence from S&P500 Returns and Options | Show Abstract | Download |
Journal of Financial Economics, Forthcoming., EFA 2008 Athens Meetings Paper, AFA 2010 Atlanta Meetings Paper
Working Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Ornthanalai, Chayawat
University of Toronto - Rotman School of Management
Posted:
07 Mar 08
Last Revised:
22 Jan 12
780
(17,052)
2

19.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Errunza, Vihang R.
McGill University - Desautels Faculty of Management
Posted:
25 Nov 99
768
(17,434)
1

20.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Posted:
25 Apr 02
Last Revised:
16 Jun 08
710
(19,522)
29

21.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Mariano, Roberto S.
Singapore Management University
Tay, Anthony S.
Singapore Management University - School of Economics
Tse, Yiu Kuen
Singapore Management University - School of Social Sciences
Posted:
12 Jun 06
642
(22,512)
4

22.  
Which Volatility Model Should be Used for Option Pricing? | Show Abstract | Download |
EFA 2002 Berlin Meetings Discussion Paper
Working Paper Series
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Christoffersen, Peter
University of Toronto - Rotman School of Management
Posted:
04 Mar 02
622
(23,522)
 

23.  
Evaluating Value-at-Risk Models with Desk-Level Data | Show Abstract | Download |
CREATES Research Paper Series 2009
Working Paper Series
Berkowitz, Jeremy
University of Houston - Department of Finance
Christoffersen, Peter
University of Toronto - Rotman School of Management
Pelletier, Denis
North Carolina State University - Department of Economics
Posted:
05 May 08
597
(24,909)
30

24.   Incl. Electronic Paper
Christoffersen, Peter
University of Toronto - Rotman School of Management
Pelletier, Denis
North Carolina State University - Department of Economics
Posted:
20 Jul 03
Last Revised:
29 Jul 10
597
(24,909)
24

25.  
The Joint Dynamics of Equity Market Factors | Show Abstract | Download |
Journal of Financial and Quantitative Analysis (JFQA), 2013, Vol. 48, No. 5, pp. 1371–1404
Accepted Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Langlois, Hugues
HEC Paris
Posted:
10 Sep 11
Last Revised:
17 Mar 14
585
(25,614)
1

26.   Incl. Electronic Paper
Christoffersen, Peter
University of Toronto - Rotman School of Management
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Posted:
22 Jan 98
Last Revised:
07 Aug 10
582
(25,813)
14

27.   Incl. Electronic Paper
Christoffersen, Peter
University of Toronto - Rotman School of Management
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Posted:
05 Oct 03
Last Revised:
19 Sep 09
560
(27,207)
27

28.  
Option Valuation with Conditional Skewness | Show Abstract | Download |
EFA 2004 Maastricht Meetings Paper No. 2964
Working Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Heston, Steven L.
University of Maryland - Department of Finance
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Posted:
23 Jun 04
556
(27,485)
41

29.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Ornthanalai, Chayawat
University of Toronto - Rotman School of Management
Posted:
08 May 12
Last Revised:
22 Aug 13
550
(27,909)
2

30.   Incl. Electronic Paper
Christoffersen, Peter
University of Toronto - Rotman School of Management
Giorgianni, Lorenzo
International Monetary Fund (IMF)
Posted:
26 Oct 99
Last Revised:
10 Feb 06
520
(30,092)
1

31.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Goyenko, Ruslan
McGill University - Desautels Faculty of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Karoui, Mehdi
McGill University
Posted:
15 Mar 11
Last Revised:
05 Jul 14
516
(30,394)
5

32.  
Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach | Show Abstract | Download |
Review of Financial Studies, 2012, Vol. 25, No. 12, pp. 3711-3751.
Accepted Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Errunza, Vihang R.
McGill University - Desautels Faculty of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Langlois, Hugues
HEC Paris
Posted:
24 May 12
Last Revised:
20 Jan 13
501
(31,639)
5

33.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Posted:
19 Apr 02
493
(32,275)
9

34.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Feunou, Bruno
Bank of Canada
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Meddahi, Nour
University of Toulouse 1 - Toulouse School of Economics (TSE)
Posted:
18 Mar 10
Last Revised:
08 Dec 12
484
(33,101)
3

35.  
The Importance of the Loss Function in Option Valuation | Show Abstract | Download |
EFA 2003 Annual Conference Paper No. 604
Working Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Posted:
03 Aug 03
482
(33,252)
41

36.  
Backtesting | Show Abstract | Download |
Working Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Posted:
23 Apr 12
478
(33,622)
4

37.   Incl. Electronic Paper
Christoffersen, Peter
University of Toronto - Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Dorion, Christian
HEC Montreal
Wang, Yintian
McGill University - Desautels Faculty of Management
Posted:
05 May 08
Last Revised:
13 Jan 09
463
(34,998)
7

38.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Karoui, Lotfi
Goldman, Sachs & Co
Mimouni, Karim
McGill University - Desautels Faculty of Management
Posted:
18 Jun 08
Last Revised:
01 Aug 09
423
(39,188)
3

39.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Dorion, Christian
HEC Montreal
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Karoui, Lotfi
Goldman, Sachs & Co
Posted:
24 May 12
Last Revised:
04 Oct 13
361
(47,727)
1

40.  
The Factor Structure in Equity Options | Show Abstract | Download |
Rotman School of Management Working Paper No. 2224270
Working Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Fournier, Mathieu
Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Posted:
25 Feb 13
Last Revised:
22 Aug 13
343
(50,660)
 

41.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Ericsson, Jan
McGill University
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Jin, Xisong
University of Luxembourg - Luxembourg School of Finance
Posted:
07 May 09
316
(55,931)
1

42.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Swanson, Norman R.
University of North Carolina Kenan-Flagler Business School
Posted:
24 Jul 01
292
(61,217)
5

43.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Pavlov, Andrey D.
Simon Fraser University (SFU) - Finance Area
Posted:
06 Aug 03
285
(62,857)
 

44.  
Oil Volatility Risk and Expected Stock Returns | Show Abstract | Download |
Rotman School of Management Working Paper No. 2399677
Working Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Pan, Xuhui (Nick)
Tulane University, A.B. Freeman School of Business
Posted:
23 Feb 14
Last Revised:
04 Dec 14
280
(64,148)
 

45.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Mimouni, Karim
McGill University - Desautels Faculty of Management
Posted:
24 Jun 08
266
(67,884)
26

46.   Incl. Electronic Paper
Christoffersen, Peter
University of Toronto - Rotman School of Management
Doyle, Peter
International Monetary Fund (IMF) - European Department
Posted:
17 Oct 00
Last Revised:
14 Dec 05
247
(73,439)
17

47.  
Correlation Dynamics and International Diversification Benefits | Show Abstract | Download |
Rotman School of Management Working Paper No. 2313954
Working Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Errunza, Vihang R.
McGill University - Desautels Faculty of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Jin, Xisong
University of Luxembourg - Luxembourg School of Finance
Posted:
22 Aug 13
238
(76,715)
 

48.  
Dating the Turning Points of Nordic Business Cycles | Show Abstract | Download |
EPRU Working Paper No. 00/13
Working Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Posted:
27 Nov 00
222
(82,150)
 

49.  
Dynamic Diversification in Corporate Credit | Show Abstract | Download |
Rotman School of Management Working Paper No. 2314027, Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper
Working Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Jin, Xisong
University of Luxembourg - Luxembourg School of Finance
Langlois, Hugues
HEC Paris
Posted:
22 Aug 13
Last Revised:
26 Sep 14
208
(87,804)
1

50.  
Equity Portfolio Management Using Option Price Information | Show Abstract | Download |
Rotman School of Management Working Paper No. 2419587
Working Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Pan, Xuhui (Nick)
Tulane University, A.B. Freeman School of Business
Posted:
04 Apr 14
192
(94,974)
 

51.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Sløk, Torsten
Deutsche Bank, New York
Posted:
28 Feb 01
192
(94,974)
3

52.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Mazzotta, Stefano
Kennesaw State University - Michael J. Coles College of Business
Posted:
01 Dec 04
180
(100,813)
6

53.  
Size Matters: The Impact of Capital Market Liberalization on Individual Firms | Show Abstract | Download |
McGill Finance Research Centre Working Paper
Working Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Chung, Hyunchul
Dankook University - Faculty of Business and Economics
Errunza, Vihang R.
McGill University - Desautels Faculty of Management
Posted:
31 Aug 03
159
(113,023)
7

54.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Mazzotta, Stefano
Kennesaw State University - Michael J. Coles College of Business
Posted:
24 Feb 04
129
(134,891)
6

55.  
Factor Structure in Commodity Futures Return and Volatility | Show Abstract | Download |
Rotman School of Management Working Paper No. 2495779
Working Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Lunde, Asger
CREATES
Olesen, Kasper Vinther
Bank of America - Bank of America Merrill Lynch
Posted:
14 Sep 14
126
(137,421)
 

56.  
Rare Disasters and Credit Market Puzzles | Show Abstract | Download |
Rotman School of Management Working Paper No. 2270517
Working Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Du, Du
Hong Kong University of Science & Technology
Elkamhi, Redouane
University of Toronto
Posted:
22 Aug 13
111
(151,202)
 

57.   Incl. Electronic Paper
Christoffersen, Peter
University of Toronto - Rotman School of Management
Doyle, Peter
International Monetary Fund (IMF) - European Department
Posted:
24 Sep 01
Last Revised:
15 Feb 06
99
(163,999)
18

58.  
Is Poland Ready for Inflation Targeting? | Show Abstract | Download |
IMF Working Paper No. 99/41
Working Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Wescott, Robert
International Monetary Fund (IMF) - European Department
Posted:
12 Feb 06
97
(166,329)
6

59.  
Giorgianni, Lorenzo
International Monetary Fund (IMF)
Christoffersen, Peter
University of Toronto - Rotman School of Management
Posted:
17 Aug 07
84
(182,598)
1

60.  
Option Valuation with Observable Volatility and Jump Dynamics | Show Abstract | Download |
Rotman School of Management Working Paper No. 2494379
Working Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Feunou, Bruno
Bank of Canada
Jeon, Yoontae
University of Toronto - Rotman School of Management
Posted:
12 Sep 14
61
(222,694)
 

61.  
Nonlinear Kalman Filtering in Affine Term Structure Models: Internet Appendix | Show Abstract | Download |
Rotman School of Management Working Paper No. 2322760
Working Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Dorion, Christian
HEC Montreal
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Karoui, Lotfi
Goldman, Sachs & Co
Posted:
10 Sep 13
61
(218,968)
1

62.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Ornthanalai, Chayawat
University of Toronto - Rotman School of Management
Posted:
07 Dec 13
51
(238,713)
 

63.  
Optimal Prediction Under Asymmetric Loss | Show Abstract | Download |
NBER Working Paper No. t0167
Working Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Diebold, Francis X.
University of Pennsylvania - Department of Economics
Posted:
19 Jul 00
42
(258,912)
27

64.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Nain, Amrita
University of Iowa - Henry B. Tippie College of Business
Oberoi, Jaideep S.
University of Kent, Canterbury - School of Mathematics, Statistics and Actuarial Science
Posted:
18 Mar 09
0
(427,974)
 

65.  
The Accuracy of Density Forecasts from Foreign Exchange Options | Show Abstract |
Journal of Financial Econometrics, Vol. 3, No. 4, pp. 578-605, 2005
Accepted Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Mazzotta, Stefano
Kennesaw State University - Michael J. Coles College of Business
Posted:
29 Feb 08
 

66.  
Estimation Risk in Financial Risk Management | Show Abstract |
Journal of Risk, Vol. 7, No. 3, pp. 1-28, Spring 2005
Accepted Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Goncalves, Silvia
University of Montreal - Department of Economics
Posted:
25 Apr 05
 

67.  
Is Inflation Targeting Feasible in Poland? | Show Abstract |
Economics of Transition, Vol. 9, No. 1, March 2001
Accepted Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Sløk, Torsten
Deutsche Bank, New York
Wescott, Robert
International Monetary Fund (IMF) - European Department
Posted:
27 Sep 01
 


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