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Jacobs, Kris


 SSRN Author Rank: 445 by Downloads
 Professor
 

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


 Houston, TX 77204-6021
 United States
 email address

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. Jacobs, Kris's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
26,364
Total
Citations
509
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
2,325
(2,746)
26

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
2,094
(3,274)
11

3.  
Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns and Option Prices | Show Abstract | Download |
EFA 2007 Ljubljana Meetings Paper, AFA 2008 New Orleans Meetings Paper
Working Paper Series
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
1,888
(3,905)
26

4.  
The Determinants of Credit Default Swap Premia | Show Abstract | Download |
Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Working Paper Series
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
1,761
(4,425)
99

5.  
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
University of Luxembourg - Luxembourg School of Finance
Posted:
21 Mar 10
1,522
(5,743)
11

6.  
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:
22 Feb 13
1,225
(8,193)
2

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
1,056
(10,486)
3

8.  
Option-Implied Measures of Equity Risk | Show Abstract | Download |
Review of Finance, Forthcoming
Accepted Paper Series
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
1,003
(11,368)
17

9.  
Option Valuation with Long-Run and Short-Run Volatility Components | Show Abstract | Download |
Journal of Financial Economics, Vol. 90, No. 3, pp. 272-297, CREATES Research Paper 2008-11
Working Paper Series
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
920
(12,978)
31

10.   Incl. Electronic Paper
Christoffersen, Peter
University of Toronto - Rotman School of Management
Elkamhi, Redouane
University of Iowa - Henry B. Tippie College of Business
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
869
(14,150)
33

11.  
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
792
(16,287)
22

12.  
Forecasting with Option-Implied Information | Show Abstract | Download |
Handbook of Economic Forecasting, Volume 2, G. Elliott and A. Timmermann (eds.)
Working Paper Series
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
788
(16,411)
3

13.  
Dynamic Jump Intensities and Risk Premia: Evidence from S&P500 Returns and Options | Show Abstract | Download |
Journal of Financial Economics, Forthcoming., EFA 2008 Athens Meetings Paper, AFA 2010 Atlanta Meetings Paper
Working Paper Series
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
774
(16,828)
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
704
(19,286)
29

15.  
Which Volatility Model Should be Used for Option Pricing? | Show Abstract | Download |
EFA 2002 Berlin Meetings Discussion Paper
Working Paper Series
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Christoffersen, Peter
University of Toronto - Rotman School of Management
Posted:
04 Mar 02
621
(23,010)
 

16.  
Option Valuation with Conditional Skewness | Show Abstract | Download |
EFA 2004 Maastricht Meetings Paper No. 2964
Working Paper Series
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
551
(27,223)
41

17.  
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
526
(28,924)
2

18.  
Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach | Show Abstract | Download |
Review of Financial Studies, 2012, Vol. 25, No. 12, pp. 3711-3751.
Accepted Paper Series
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
491
(31,683)
5

19.  
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:
05 Jul 14
483
(32,396)
5

20.  
The Importance of the Loss Function in Option Valuation | Show Abstract | Download |
EFA 2003 Annual Conference Paper No. 604
Working Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Posted:
03 Aug 03
479
(32,754)
41

21.  
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
472
(33,399)
3

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
457
(34,839)
7

23.  
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Li, Xiaofei
York University
Posted:
27 Oct 03
428
(37,831)
8

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
422
(38,480)
3

25.  
Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns | Show Abstract | Download |
Journal of Finance, Vol. 59, pp. 2211-2252, 2004
Accepted Paper Series
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
352
(47,969)
33

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
342
(49,679)
1

27.  
The Factor Structure in Equity Options | Show Abstract | Download |
Rotman School of Management Working Paper No. 2224270
Working Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Fournier, Mathieu
Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Posted:
25 Feb 13
Last Revised:
22 Aug 13
328
(52,187)
 

28.  
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
University of Luxembourg - Luxembourg School of Finance
Posted:
07 May 09
315
(54,852)
1

29.  
Elkamhi, Redouane
University of Iowa - Henry B. Tippie College of Business
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
303
(57,372)
3

30.  
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Karoui, Lotfi
Goldman, Sachs & Co
Posted:
02 Aug 06
292
(59,858)
 

31.  
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
260
(68,040)
26

32.  
Correlation Dynamics and International Diversification Benefits | Show Abstract | Download |
Rotman School of Management Working Paper No. 2313954
Working Paper Series
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
University of Luxembourg - Luxembourg School of Finance
Posted:
22 Aug 13
231
(77,096)
 

33.  
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
222
(80,412)
3

34.   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
219
(81,526)
3

35.  
Accounting Information Releases and CDS Spreads | Show Abstract | Download |
Midwest Finance Association 2012 Annual Meetings Paper
Working Paper Series
Elkamhi, Redouane
University of Iowa - Henry B. Tippie College of Business
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
216
(82,691)
1

36.  
Dynamic Diversification in Corporate Credit | Show Abstract | Download |
Rotman School of Management Working Paper No. 2314027, Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper
Working Paper Series
Christoffersen, Peter
University of Toronto - Rotman School of Management
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Jin, Xisong
University of Luxembourg - Luxembourg School of Finance
Langlois, Hugues
HEC Paris
Posted:
22 Aug 13
Last Revised:
26 Sep 14
187
(95,333)
1

37.  
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
157
(111,917)
6

38.  
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
(159,611)
 

39.  
Nonlinear Kalman Filtering in Affine Term Structure Models: Internet Appendix | Show Abstract | Download |
Rotman School of Management Working Paper No. 2322760
Working Paper Series
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
55
(225,905)
1

40.  
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
48
(240,367)
 

41.  
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
47
(242,595)
 

42.  
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:
07 Oct 14
39
(261,102)
 


Records 1 - 42 of 42 matches
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