Kris Jacobs
Title
Cited by
Cited by
Year
The determinants of credit default swap premia
J Ericsson, K Jacobs, R Oviedo
Journal of financial and quantitative analysis 44 (1), 109-132, 2009
7642009
The shape and term structure of the index option smirk: Why multifactor stochastic volatility models work so well
P Christoffersen, S Heston, K Jacobs
Management Science 55 (12), 1914-1932, 2009
4702009
Is the potential for international diversification disappearing? A dynamic copula approach
P Christoffersen, V Errunza, K Jacobs, H Langlois
The Review of Financial Studies 25 (12), 3711-3751, 2012
4202012
Market skewness risk and the cross section of stock returns
BY Chang, P Christoffersen, K Jacobs
Journal of Financial Economics 107 (1), 46-68, 2013
3552013
Option valuation with long-run and short-run volatility components
P Christoffersen, K Jacobs, C Ornthanalai, Y Wang
Journal of Financial Economics 90 (3), 272-297, 2008
3132008
The importance of the loss function in option valuation
P Christoffersen, K Jacobs
Journal of Financial Economics 72 (2), 291-318, 2004
2952004
Which GARCH model for option valuation?
P Christoffersen, K Jacobs
Management science 50 (9), 1204-1221, 2004
2882004
Does realized skewness predict the cross-section of equity returns?
D Amaya, P Christoffersen, K Jacobs, A Vasquez
Journal of Financial Economics 118 (1), 135-167, 2015
2772015
Option valuation with conditional skewness
P Christoffersen, S Heston, K Jacobs
Journal of Econometrics 131 (1-2), 253-284, 2006
2772006
Volatility dynamics for the S&P500: Evidence from realized volatility, daily returns, and option prices
P Christoffersen, K Jacobs, K Mimouni
The Review of Financial Studies 23 (8), 3141-3189, 2010
2632010
Capturing option anomalies with a variance-dependent pricing kernel
P Christoffersen, S Heston, K Jacobs
The Review of Financial Studies 26 (8), 1963-2006, 2013
2212013
Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options
P Christoffersen, K Jacobs, C Ornthanalai
Journal of Financial Economics 106 (3), 447-472, 2012
1652012
Option-implied measures of equity risk
BY Chang, P Christoffersen, K Jacobs, G Vainberg
Review of Finance 16 (2), 385-428, 2012
1632012
Option valuation with conditional heteroskedasticity and nonnormality
P Christoffersen, R Elkamhi, B Feunou, K Jacobs
The Review of Financial Studies 23 (5), 2139-2183, 2010
1602010
Idiosyncratic consumption risk and the cross section of asset returns
K Jacobs, KQ Wang
The Journal of Finance 59 (5), 2211-2252, 2004
1422004
Illiquidity premia in the equity options market
P Christoffersen, R Goyenko, K Jacobs, M Karoui
The Review of Financial Studies 31 (3), 811-851, 2018
1022018
The economic value of realized volatility: Using high-frequency returns for option valuation
P Christoffersen, B Feunou, K Jacobs, N Meddahi
Journal of Financial and Quantitative Analysis, 663-697, 2014
86*2014
Volatility components, affine restrictions, and nonnormal innovations
P Christoffersen, C Dorion, K Jacobs, Y Wang
Journal of Business & Economic Statistics 28 (4), 483-502, 2010
842010
The factor structure in equity options
P Christoffersen, M Fournier, K Jacobs
The Review of Financial Studies 31 (2), 595-637, 2018
762018
Forecasting with option-implied information
P Christoffersen, K Jacobs, BY Chang
Handbook of economic forecasting 2, 581-656, 2013
712013
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Articles 1–20