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Kris Jacobs


SSRN Author Rank: 422 by Downloads and 1,106 by Citations
 Professor
 

University of Houston - C.T. Bauer College of Business


 Houston, TX 77204-6021
 United States
 email address

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. Kris Jacobs's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
31,079
Total
Citations
481
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.   Incl. Electronic Paper
Christoffersen, Peter
University of Toronto - Rotman School of Management
Heston, Steven L.
University of Maryland - Department of Finance
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Posted:
05 Feb 07
Last Revised:
13 Aug 09
2,528
(2,935)
24

2.   Incl. Electronic Paper
Christoffersen, Peter
University of Toronto - Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Vainberg, Gregory
McGill University - Desautels Faculty of Management
Posted:
17 Mar 06
Last Revised:
13 Aug 08
2,209
(3,688)
11

3.  
Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns and Option Prices | Show Abstract | Download This Paper | Open PDF in Browser |
EFA 2007 Ljubljana Meetings Paper, AFA 2008 New Orleans Meetings Paper
Number of Pages in PDF File: 49
Christoffersen, Peter
University of Toronto - Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Mimouni, Karim
McGill University - Desautels Faculty of Management
Posted:
24 Aug 06
Last Revised:
25 Sep 09
2,008
(4,202)
23

4.  
The Determinants of Credit Default Swap Premia | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of Pages in PDF File: 50
Ericsson, Jan
McGill University
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Oviedo, Rodolfo
Universidad Austral
Posted:
07 Oct 04
Last Revised:
05 Sep 09
1,835
(4,994)
97

5.  
Does Realized Skewness Predict the Cross-Section of Equity Returns? | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Financial Economics (JFE), Forthcoming
Number of Pages in PDF File: 58
Amaya, Diego
University of Quebec at Montreal (UQAM) - Finance Department
Christoffersen, Peter
University of Toronto - Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Vasquez, Aurelio
Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration
Posted:
31 Jul 11
Last Revised:
10 Mar 15
1,647
(5,125)
1

6.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Errunza, Vihang R.
McGill University - Desautels Faculty of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Jin, Xisong
Central Bank of Luxembourg
Posted:
21 Mar 10
1,574
(6,495)
10

7.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Heston, Steven L.
University of Maryland - Department of Finance
Posted:
22 Jan 10
Last Revised:
07 Jun 12
1,183
(9,969)
2

8.  
Option-Implied Measures of Equity Risk | Show Abstract | Download This Paper | Open PDF in Browser |
Review of Finance, Forthcoming
Number of Pages in PDF File: 44
Chang, Bo Young
Bank of Canada
Christoffersen, Peter
University of Toronto - Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Vainberg, Gregory
McGill University - Desautels Faculty of Management
Posted:
11 Jun 09
Last Revised:
23 Jan 12
1,068
(12,141)
15

9.  
Option Valuation with Long-Run and Short-Run Volatility Components | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Financial Economics, Vol. 90, No. 3, pp. 272-297, CREATES Research Paper 2008-11
Number of Pages in PDF File: 51
Christoffersen, Peter
University of Toronto - Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Ornthanalai, Chayawat
University of Toronto - Rotman School of Management
Wang, Yintian
McGill University - Desautels Faculty of Management
Posted:
11 Feb 05
Last Revised:
22 Jan 12
1,003
(13,918)
30

10.   Incl. Electronic Paper
Christoffersen, Peter
University of Toronto - Rotman School of Management
Elkamhi, Redouane
University of Toronto - Rotman School of Management
Feunou, Bruno
Bank of Canada
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Posted:
08 Feb 07
Last Revised:
13 Aug 09
966
(14,774)
33

11.  
Forecasting with Option-Implied Information | Show Abstract | Download This Paper | Open PDF in Browser |
Handbook of Economic Forecasting, Volume 2, G. Elliott and A. Timmermann (eds.)
Number of Pages in PDF File: 72
Christoffersen, Peter
University of Toronto - Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Chang, Bo Young
Bank of Canada
Posted:
08 Dec 11
Last Revised:
11 Jul 12
927
(14,297)
2

12.  
Chang, Bo Young
Bank of Canada
Christoffersen, Peter
University of Toronto - Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Posted:
30 Sep 09
862
(16,445)
19

13.  
Dynamic Jump Intensities and Risk Premia: Evidence from S&P500 Returns and Options | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Financial Economics, Forthcoming., AFA 2010 Atlanta Meetings Paper, EFA 2008 Athens Meetings Paper
Number of Pages in PDF File: 51
Christoffersen, Peter
University of Toronto - Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Ornthanalai, Chayawat
University of Toronto - Rotman School of Management
Posted:
07 Mar 08
Last Revised:
22 Jan 12
829
(17,770)
2

14.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Posted:
25 Apr 02
Last Revised:
16 Jun 08
744
(20,598)
28

15.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Ornthanalai, Chayawat
University of Toronto - Rotman School of Management
Posted:
08 May 12
Last Revised:
22 Aug 13
669
(23,061)
2

16.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Goyenko, Ruslan
McGill University - Desautels Faculty of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Karoui, Mehdi
McGill University
Posted:
15 Mar 11
Last Revised:
17 Oct 15
635
(22,357)
3

17.  
Which Volatility Model Should be Used for Option Pricing? | Show Abstract | Download This Paper | Open PDF in Browser |
EFA 2002 Berlin Meetings Discussion Paper
Number of Pages in PDF File: 40
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Christoffersen, Peter
University of Toronto - Rotman School of Management
Posted:
04 Mar 02
626
(27,519)
 

18.  
Option Valuation with Conditional Skewness | Show Abstract | Download This Paper | Open PDF in Browser |
EFA 2004 Maastricht Meetings Paper No. 2964
Number of Pages in PDF File: 44
Christoffersen, Peter
University of Toronto - Rotman School of Management
Heston, Steven L.
University of Maryland - Department of Finance
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Posted:
23 Jun 04
571
(31,132)
38

19.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Feunou, Bruno
Bank of Canada
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Meddahi, Nour
University of Toulouse 1 - Toulouse School of Economics (TSE)
Posted:
18 Mar 10
Last Revised:
08 Dec 12
567
(30,469)
3

20.  
Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach | Show Abstract | Download This Paper | Open PDF in Browser |
Review of Financial Studies, 2012, Vol. 25, No. 12, pp. 3711-3751.
Number of Pages in PDF File: 53
Christoffersen, Peter
University of Toronto - Rotman School of Management
Errunza, Vihang R.
McGill University - Desautels Faculty of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Langlois, Hugues
HEC Paris
Posted:
24 May 12
Last Revised:
20 Jan 13
556
(29,904)
4

21.  
The Importance of the Loss Function in Option Valuation | Show Abstract | Download This Paper | Open PDF in Browser |
EFA 2003 Annual Conference Paper No. 604
Number of Pages in PDF File: 38
Christoffersen, Peter
University of Toronto - Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Posted:
03 Aug 03
504
(36,351)
38

22.   Incl. Electronic Paper
Christoffersen, Peter
University of Toronto - Rotman School of Management
Dorion, Christian
HEC Montreal
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Wang, Yintian
McGill University - Desautels Faculty of Management
Posted:
05 May 08
Last Revised:
13 Jan 09
496
(37,670)
7

23.  
The Factor Structure in Equity Options | Show Abstract | Download This Paper | Open PDF in Browser |
Rotman School of Management Working Paper No. 2224270
Number of Pages in PDF File: 75
Christoffersen, Peter
University of Toronto - Rotman School of Management
Fournier, Mathieu
HEC Montreal
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Posted:
25 Feb 13
Last Revised:
15 Nov 15
465
(32,691)
 

24.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Karoui, Lotfi
Goldman, Sachs & Co
Mimouni, Karim
McGill University - Desautels Faculty of Management
Posted:
18 Jun 08
Last Revised:
01 Aug 09
429
(44,600)
2

25.  
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Li, Xiaofei
York University
Posted:
27 Oct 03
428
(45,258)
8

26.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Dorion, Christian
HEC Montreal
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Karoui, Lotfi
Goldman, Sachs & Co
Posted:
24 May 12
Last Revised:
04 Oct 13
399
(46,073)
1

27.  
Elkamhi, Redouane
University of Toronto - Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Pan, Xuhui (Nick)
Tulane University, A.B. Freeman School of Business
Posted:
17 Dec 10
Last Revised:
12 Mar 11
365
(51,366)
3

28.  
Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Finance, Vol. 59, pp. 2211-2252, 2004
Number of Pages in PDF File: 42
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Wang, Kevin Q.
University of Toronto - Joseph L. Rotman School of Management
Posted:
04 Mar 02
Last Revised:
10 Feb 09
357
(56,392)
34

29.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Ericsson, Jan
McGill University
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Jin, Xisong
Central Bank of Luxembourg
Posted:
07 May 09
321
(63,813)
 

30.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Mimouni, Karim
McGill University - Desautels Faculty of Management
Posted:
24 Jun 08
307
(61,605)
23

31.  
Fournier, Mathieu
HEC Montreal
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Posted:
02 Oct 13
Last Revised:
24 Mar 15
294
(61,406)
 

32.  
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Karoui, Lotfi
Goldman, Sachs & Co
Posted:
02 Aug 06
294
(70,401)
 

33.  
Correlation Dynamics and International Diversification Benefits | Show Abstract | Download This Paper | Open PDF in Browser |
Rotman School of Management Working Paper No. 2313954
Number of Pages in PDF File: 35
Christoffersen, Peter
University of Toronto - Rotman School of Management
Errunza, Vihang R.
McGill University - Desautels Faculty of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Jin, Xisong
Central Bank of Luxembourg
Posted:
22 Aug 13
282
(68,344)
 

34.  
Dynamic Diversification in Corporate Credit | Show Abstract | Download This Paper | Open PDF in Browser |
Rotman School of Management Working Paper No. 2314027, Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper
Number of Pages in PDF File: 44
Christoffersen, Peter
University of Toronto - Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Jin, Xisong
Central Bank of Luxembourg
Langlois, Hugues
HEC Paris
Posted:
22 Aug 13
Last Revised:
26 Sep 14
278
(69,150)
1

35.  
Accounting Information Releases and CDS Spreads | Show Abstract | Download This Paper | Open PDF in Browser |
Midwest Finance Association 2012 Annual Meetings Paper
Number of Pages in PDF File: 48
Elkamhi, Redouane
University of Toronto - Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Langlois, Hugues
HEC Paris
Ornthanalai, Chayawat
University of Toronto - Rotman School of Management
Posted:
29 Jun 11
Last Revised:
17 Mar 12
248
(80,114)
1

36.  
Doshi, Hitesh
University of Houston
Ericsson, Jan
McGill University
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Turnbull, Stuart M.
University of Houston - C.T. Bauer College of Business
Posted:
02 Jul 11
Last Revised:
16 Mar 12
239
(85,655)
2

37.   Incl. Electronic Paper
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Pallage, Stephane
University of Quebec at Montreal - Department of Economics
Robe, Michel A.
American University - Kogod School of Business
Posted:
05 Apr 05
Last Revised:
15 Jan 13
225
(93,995)
3

38.  
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Karoui, Lotfi
Goldman, Sachs & Co
Posted:
05 May 08
Last Revised:
12 May 08
162
(126,622)
5

39.  
Doshi, Hitesh
University of Houston
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Kumar, Praveen
University of Houston - Department of Finance
Rabinovitch, Ramon
University of Houston - Department of Finance
Posted:
10 Sep 14
128
(135,229)
 

40.  
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Pallage, Stephane
University of Quebec at Montreal - Department of Economics
Robe, Michel A.
American University - Kogod School of Business
Posted:
24 Aug 05
100
(185,461)
 

41.  
Doshi, Hitesh
University of Houston
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Zurita, Carlos
University of Houston - Bauer College of Business
Posted:
14 Mar 14
Last Revised:
30 Oct 14
95
(174,525)
 

42.  
Nonlinear Kalman Filtering in Affine Term Structure Models: Internet Appendix | Show Abstract | Download This Paper | Open PDF in Browser |
Rotman School of Management Working Paper No. 2322760
Number of Pages in PDF File: 4
Christoffersen, Peter
University of Toronto - Rotman School of Management
Dorion, Christian
HEC Montreal
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Karoui, Lotfi
Goldman, Sachs & Co
Posted:
10 Sep 13
72
(215,319)
1

43.  
Macroeconomic Determinants of the Term Structure: Long-Run and Short-Run Dynamics | Show Abstract | Download This Paper | Open PDF in Browser |
Asian Finance Association (AsianFA) 2015 Conference Paper
Number of Pages in PDF File: 56
Doshi, Hitesh
University of Houston
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Liu, Rui
University of Houston - C.T. Bauer College of Business
Posted:
07 Feb 15
Last Revised:
21 May 15
67
(188,056)
 

44.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Ornthanalai, Chayawat
University of Toronto - Rotman School of Management
Posted:
07 Dec 13
62
(234,444)
 

45.  
Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk | Show Abstract | Download This Paper | Open PDF in Browser |
Rotman School of Management Working Paper No. 2656412
Number of Pages in PDF File: 56
Christoffersen, Peter
University of Toronto - Rotman School of Management
Fournier, Mathieu
HEC Montreal
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Karoui, Mehdi
McGill University
Posted:
06 Sep 15
Last Revised:
16 Jan 16
53
(156,766)
 

46.  
Doshi, Hitesh
University of Houston
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Liu, Rui
University of Houston - C.T. Bauer College of Business
Posted:
23 May 15
31
(263,070)
 

47.  
Choi, Yong Seok
University of Houston - C.T. Bauer College of Business
Doshi, Hitesh
University of Houston
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Turnbull, Stuart M.
University of Houston - C.T. Bauer College of Business
Posted:
20 Dec 15
0
(352,377)
 

48.  
Hu, Guanglian
University of Houston - C.T. Bauer College of Business
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Posted:
27 Nov 15
Last Revised:
28 Nov 15
0
(215,319)
 

49.  
Option Valuation with Volatility Components, Fat Tails, and Non-Monotonic Pricing Kernels | Show Abstract | Download This Paper | Open PDF in Browser |
Rotman School of Management Working Paper No. 2690888, Robert H. Smith School Research Paper No. RHS 2690888
Number of Pages in PDF File: 47
Babaoglu, Kadir G.
University of Toronto, Rotman School of Management, Students
Christoffersen, Peter
University of Toronto - Rotman School of Management
Heston, Steven L.
University of Maryland - Department of Finance
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Posted:
14 Nov 15
Last Revised:
11 Feb 16
0
(184,200)
 


Records 1 - 49 of 49 matches
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