Peter Christoffersen

    • Denmark

    20072019
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    Research Output 2007 2019

    Factor Structure in Commodity Futures Return and Volatility

    Christoffersen, P., Lunde, A. & Olesen, K. V., Jun 2019, In : Journal of Financial and Quantitative Analysis. 54, 3, p. 1083-1115 33 p.

    Research output: Contribution to journalJournal articleResearchpeer-review

    Dynamic Dependence and Diversification in Corporate Credit

    Christoffersen, P., Jacobs, K., Jin, X. & Langlois, H., 2018, In : Review of Finance. 22, 2, p. 521-560 40 p.

    Research output: Contribution to journalJournal articleResearchpeer-review

    Illiquidity Premia in the Equity Options Market

    Christoffersen, P., Goyenko, R., Jacobs, K. & Karoui, M., Mar 2018, In : Review of Financial Studies. 31, 3, p. 811–851 41 p.

    Research output: Contribution to journalJournal articleResearchpeer-review

    Oil Volatility Risk and Expected Stock Returns

    Christoffersen, P. & Pan, X. N., Oct 2018, In : Journal of Banking & Finance. 95, p. 5-26 22 p.

    Research output: Contribution to journalJournal articleResearchpeer-review

    Option Valuation with Volatility Components, Fat Tails, and Nonmonotonic Pricing Kernels

    Babaoğlu, K., Christoffersen, P., Heston, S. & Jacobs, K., Dec 2018, In : The Review of Asset Pricing Studies. 8, 2, p. 183–231 49 p.

    Research output: Contribution to journalJournal articleResearchpeer-review