Friday, July 20, 2018

Remembering Peter Christoffersen

This is adapted from remarks read at a memorial service earlier this week:

I'm sad not to be able to be here in person, and I'm grateful to Peter Pauly for kindly agreeing to read these academically-focused remarks. His reading is unusually wonderful and appropriate, as he played a key role in my Ph.D. training, which means that if Peter Christoffersen was my student, he was also Peter Pauly's "grandstudent". For all that they taught me, I am immensely grateful both to Peter Pauly in early years, and to Peter Christoffersen in later years. I am also grateful to Peter Pauly for another reason -- he was the dean who wisely hired the Christoffersens!

I have been fortunate to have had many wonderful students in various cohorts, but Peter's broad cohort was surely the best: Peter of course, plus (in alphabetical order) Sassan Alizadeh, Filippo Altissimo, Jeremy Berkowitz, Michael Binder, Marcelle Chauvet, Lorenzo Giorgiani, Frank Gong, Atsushi Inoue, Lutz Kilian, Jose Lopez, Anthony Tay, and several others.

The Penn econometrics faculty around that time was similarly strong: Valentina Corradi, Jin Hahn, Bobby Mariano, and eventually Frank Schorfheide, with lots of additional macro-econometrics input from Lee Ohanian and financial econometrics input from Michael Brandt. Hashem Pesaran also visited Penn for a year around then. Peter was well known by all the faculty, not just the econometricians. I recall that the macroeconomists were very disappointed to lose him to econometrics!

Everyone knows Peter's classic 1998 "Evaluating Interval Forecasts" paper, which was part of his Penn dissertation. He uncovered the right notion of the "residual" for a (1-a) x 100% interval forecast, and showed that if all is well then it must be iid Bernoulli(1-a). The paper is one of the International Economic Review's ten most cited papers since its founding in 1960.

Peter and I wrote several papers together, which I consider among my very best, thanks to Peter's lifting me to higher-than-usual levels. They most definitely include our Econometric Theory paper on optimal prediction under asymmetric loss, and our Journal of Business and Economic Statistics paper on multivariate forecast evaluation.

Peter's research style was marked by a wonderful blend of intuition, theoretical rigor, and always, empirical relevance, which took him to heights that few others could reach. And his personality, which simply radiated positivity, made him not only a wonderful person to talk soccer or ski with, but the best imaginable person to talk research with.

Peter was also exceedingly generous and effective with his time as regards teaching & executive education, public service, conference organization, and more. We used to talk a lot about dynamic volatility models, and their use and abuse in financial risk management. His eventual and now well-known textbook on the topic trained legions of students. He and I were the inaugural speakers at the annual summer school of the Society for Financial Econometrics (SoFiE), that year at Oxford University, where we had a wonderful week lecturing together. He served effectively on many committees, including the U.S. Federal Reserve System's Model Validation Committee, charged with reviewing the models used for bank stress testing. He generously hosted the large annual SoFiE meeting in Toronto, several legendary "ski conferences" at Mont Tremblant, and more. The list goes on and on.

We lost a fine researcher and a fine person, much too soon. One can't begin to imagine what he might have contributed during the next twenty years. But this much is certain: his legacy lives on, and it shines exceptionally brightly. Rest in peace, my friend.