Peter Christoffersen
Affiliations: | McGill University, Montreal, QC, Canada |
Area:
FinanceGoogle:
"Peter Christoffersen"
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Publications
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| Boloorforoosh A, Christoffersen P, Fournier M, et al. (2020) Beta Risk in the Cross-Section of Equities Review of Financial Studies. 33: 4318-4366 |
| Christoffersen P, Fournier M, Jacobs K, et al. (2020) Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk Journal of Financial and Quantitative Analysis. 1-51 |
| Christoffersen P, Lunde A, Olesen KV. (2019) Factor Structure in Commodity Futures Return and Volatility Journal of Financial and Quantitative Analysis. 54: 1083-1115 |
| Babaoglu KG, Christoffersen P, Heston SL, et al. (2018) Option Valuation with Volatility Components, Fat Tails, and Non-Monotonic Pricing Kernels The Review of Asset Pricing Studies. 8: 183-231 |
| Christoffersen P, Jacobs K, Jin X, et al. (2018) Dynamic Dependence and Diversification in Corporate Credit Review of Finance. 22: 521-560 |
| Christoffersen P, Goyenko R, Jacobs K, et al. (2018) Illiquidity Premia in the Equity Options Market Review of Financial Studies. 31: 811-851 |
| Christoffersen P, Pan X. (2017) Oil Volatility Risk and Expected Stock Returns Journal of Banking and Finance. 95: 5-26 |
| Christoffersen P, Du D, Elkamhi R. (2017) Rare Disasters, Credit and Option Market Puzzles Management Science. 63: 1341-1364 |
| Christoffersen P, Jacobs K, Li B. (2016) Dynamic Jump Intensities and Risk Premiums in Crude Oil Futures and Options Markets Journal of Derivatives. 24: 8-30 |
| Christoffersen P, Feunou B, Jeon Y. (2015) Option Valuation with Observable Volatility and Jump Dynamics Journal of Banking and Finance. 61: 101-120 |