Peter Christoffersen
Impact in
- Finance top 0.05%
- Financial Risk and Volatility Modeling
- Stochastic processes and financial applications
- Financial Markets and Investment Strategies
- Credit Risk and Financial Regulations
- Capital Investment and Risk Analysis
-
- Monetary Policy and Economic Impact
Papers in
- Finance 135
- Financial Risk and Volatility Modeling 74
- Stochastic processes and financial applications 67
- Financial Markets and Investment Strategies 54
- Capital Investment and Risk Analysis 31
- Credit Risk and Financial Regulations 16
-
- Market Dynamics and Volatility 51
- Complex Systems and Time Series Analysis 15
- Co-authors
- Kris Jacobs (73 shared papers)Francis X. Diebold (23 shared papers)Steven L. Heston (8 shared papers)Chayawat Ornthanalai (12 shared papers)Vihang R. Errunza (10 shared papers)Bo Young Chang (6 shared papers)Hugues Langlois (10 shared papers)Karim Mimouni (6 shared papers)
- Journals
- Review of Financial Studies (7 papers)Journal of Business and Economic Statistics (5 papers)Management Science (4 papers)European Finance Review (3 papers)Journal of Financial Econometrics (2 papers)
- Partner nations
- CanadaUnited StatesDenmark
In The Last Decade
Peter Christoffersen
161 papers receiving 8.5k citations
Peter Christoffersen's Hit Papers
Peers
Comparison fields: 5 of 105
- Finance 7.5k
- General Economics, Econometrics and Finance 2.3k
- Economics and Econometrics 5.2k
- Management Science and Operations Research 866
- Statistics and Probability 373
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-authors
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
Showing the 20 most-cited of 166 papers — load more, or switch the sort, to bring in the rest.
| # | Work | ||
|---|---|---|---|
| 1 | Evaluating Interval Forecasts Hit paper breakdown → | 1998 | 1864 |
| 2 | The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well Hit paper breakdown → | 2009 | 420 |
| 3 | Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach Hit paper breakdown → | 2012 | 319 |
| 4 | Market Skewness Risk and the Cross Section of Stock Returns Hit paper breakdown → | 2013 | 297 |
| 5 | 2004 | 282 | |
| 6 | 2006 | 254 | |
| 7 | 2008 | 247 | |
| 8 | 2000 | 246 | |
| 9 | 2010 | 236 | |
| 10 | 1997 | 228 | |
| 11 | 2005 | 203 | |
| 12 | 2013 | 200 | |
| 13 | 2004 | 194 | |
| 14 | 2012 | 168 | |
| 15 | 2006 | 164 | |
| 16 | 2014 | 150 | |
| 17 | 2001 | 144 | |
| 18 | 2015 | 123 | |
| 19 | 2011 | 119 | |
| 20 | 1996 | 117 |
About Peter Christoffersen
Peter Christoffersen is a scholar working on Finance, Economics and Econometrics, General Economics, Econometrics and Finance, Accounting and Management Science and Operations Research, having authored 166 papers that have together received 9.0k indexed citations. Recurring topics across this work include Financial Risk and Volatility Modeling (74 papers), Stochastic processes and financial applications (67 papers), Financial Markets and Investment Strategies (54 papers), Market Dynamics and Volatility (51 papers), Monetary Policy and Economic Impact (35 papers), Capital Investment and Risk Analysis (31 papers), Credit Risk and Financial Regulations (16 papers) and Complex Systems and Time Series Analysis (15 papers). The work is most often cited by research in Finance (7.5k citations), General Economics, Econometrics and Finance (2.3k citations), Economics and Econometrics (5.2k citations), Management Science and Operations Research (866 citations) and Statistics and Probability (373 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, Bo Young Chang, Hugues Langlois, Karim Mimouni, Tim Bollerslev and Torben G. Andersen. 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 Econometrics.
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.