Peter Christoffersen

Peter Christoffersen passed away in the summer of 2018. Peter was TMX chair in Capital Markets at the Rotman School of Business at the University of Toronto. Peter has been an international fellow of CREATES since its inception in 2007, and we knew him as a wonderful person and scholar who made great contributions to the field of financial econometrics and to the international environment at CREATES. We will miss him greatly, and our thoughts are with his family in this difficult moment.

Publications 2007-

  • Christoffersen, Peter, K. Jacobs and K. Mimouni. Models for S&P 500 Volatility Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices. Review of Financial Studies (forthcoming).
  • Christoffersen, Peter, R. Elkamhi, B. Feunou, and K. Jacobs. Option Valuation with Conditional Heteroskedasticity and Non-Normality. Review of Financial Studies (forthcoming).
  • Christoffersen, Peter, S. Heston and K. Jacobs. The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well. Management Science (forthcoming).
  • Berkowitz, J., Peter Christoffersen and D. Pelletier. Evaluating Value-at-Risk Models with Desk-Level Data, Management Science (forthcoming).
  • Christoffersen, Peter, C. Dorion, K. Jacobs and Y. Wang. Volatility Components: Affine Restrictions and Non-normal Innovations. Journal of Business and Economic Statistics (forthcoming).
  • Christoffersen, Peter, K. Jacobs, C. Ornthanalai and Y. Wang. 2008. Option Valuation with Long-run and Short-run Volatility Components. Journal of Financial Economics 90, 272-297.
  • Christoffersen, Peter, F. Diebold, R. Mariano, A. Tay and Y. Tse. 2007. Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics. International Evidence, Journal of Financial Forecasting 1, Fall, 3-24.