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Jacobs, Kris's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
21,783 |
Total
Citations
455 |
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1.
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The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well
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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
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Posted:
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05 Feb 07
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Last Revised:
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13 Aug 09
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2,115
(2,581)
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21
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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
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647
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21
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stochastic correlation, stochastic volatility, equity index options, multifactor model, persistence, affine, out-of-sample
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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
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05 Feb 07
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Last Revised:
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22 Feb 09
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1,468
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21
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stochastic correlation, stochastic volatility, equity index options, multifactor model, persistence, affine, out-of-sample
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2.
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Forward-Looking Betas
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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
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Posted:
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17 Mar 06
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Last Revised:
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13 Aug 08
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1,970
(2,902)
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13
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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
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267
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13
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market beta, CAPM, historical, forward-looking, option-implied, capital budgeting, event studies, model-free moments
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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
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17 Mar 06
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Last Revised:
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02 May 08
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1,703
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13
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Market beta, CAPM, historical, forward-looking, option-implied, capital budgeting, event studies, model-free volatility, model-free skewness
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3.
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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
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24 Aug 06
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Last Revised:
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25 Sep 09
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1,687
(3,792)
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25
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Stochastic volatility, option valuation, particle filtering, skewness, kurtosis, mean reversion
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4.
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Ericsson, Jan
McGill University Jacobs, Kris
University of Houston - C.T. Bauer College of Business Oviedo, Rodolfo
Universidad Austral
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07 Oct 04
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Last Revised:
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05 Sep 09
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1,647
(3,957)
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91
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Credit risk, Credit default swaps
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5.
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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
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1,419
(5,140)
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5
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international asset pricing, asset allocation, dynamic conditional correlation (DCC), dynamic equicorrelation (DECO), dynamic copula
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6.
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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
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| Posted: |
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22 Jan 10
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Last Revised:
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07 Jun 12
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876
(11,394)
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2
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Pricing kernel, stochastic volatility, overreaction, variance risk
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7.
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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
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| Posted: |
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11 Jun 09
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Last Revised:
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23 Jan 12
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857
(11,833)
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13
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market beta, CAPM, historical, capital budgeting, model-free moments
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8.
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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
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| Posted: |
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31 Jul 11
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Last Revised:
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22 Feb 13
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782
(13,622)
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2
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Realized volatility, skewness, kurtosis, equity markets, cross-section of stock returns
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9.
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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
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| Posted: |
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11 Feb 05
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Last Revised:
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22 Jan 12
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774
(13,825)
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34
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Option valuation, long-run component, short-run component, unobserved components, persistence, GARCH, out-of-sample, Volatility term structure
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10.
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Option Valuation with Conditional Heteroskedasticity and Non-Normality
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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
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Posted:
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08 Feb 07
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Last Revised:
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13 Aug 09
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750
(14,460)
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33
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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
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159
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33
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GARCH, risk-neutral valuation, no-arbitrage, non-normal innovations
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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
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| Posted: |
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08 Feb 07
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Last Revised:
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13 Aug 09
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591
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33
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GARCH, risk-neutral valuation, no-arbitrage, non-normal innovations
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11.
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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
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| Posted: |
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07 Mar 08
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Last Revised:
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22 Jan 12
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690
(16,337)
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1
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compound Poisson process, option valuation, filtering, volatility jumps, jump risk premia, time-varying jump intensity, heteroskedasticity
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12.
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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
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669
(17,086)
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13
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skewness risk, cross-section, ICAPM, volatility risk, option-implied moments
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13.
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Christoffersen, Peter
University of Toronto - Rotman School of Management Jacobs, Kris
University of Houston - C.T. Bauer College of Business
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| Posted: |
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25 Apr 02
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Last Revised:
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16 Jun 08
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629
(18,683)
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29
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option pricing, GARCH, risk-neutral pricing, parsimony, forecasting, out-of-sample
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14.
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Jacobs, Kris
University of Houston - C.T. Bauer College of Business Christoffersen, Peter
University of Toronto - Rotman School of Management
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609
(19,571)
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Option Pricing, GARCH, Risk-neutral Pricing, Parsimony, Forecasting, Out-of-sample
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15.
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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
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533
(23,431)
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40
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GARCH, out-of-sample, jumps, discrete-time model, continuous-time limit
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16.
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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
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| Posted: |
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08 Dec 11
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Last Revised:
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11 Jul 12
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514
(24,755)
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3
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Volatility, skewness, kurtosis, density forecasting, risk-neutral
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17.
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Jacobs, Kris
University of Houston - C.T. Bauer College of Business Li, Xiaofei
York University
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426
(31,437)
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6
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credit risk, credit spreads, reduced form models, stochastic volatility
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18.
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Christoffersen, Peter
University of Toronto - Rotman School of Management Jacobs, Kris
University of Houston - C.T. Bauer College of Business
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422
(31,827)
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38
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option valuation, implied volatility, practitioner Black-Scholes approach, pricing errors, loss functions, out-of-sample forecasting, parameter stability
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19.
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Volatility Components, Affine Restrictions and Non-Normal Innovations
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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
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Posted:
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05 May 08
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Last Revised:
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13 Jan 09
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412
(32,879)
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8
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Christoffersen, Peter
University of Toronto - Rotman School of Management Jacobs, Kris
University of Houston - C.T. Bauer College of Business Dorion, Christian
HEC Montreal Wang, Yintian
McGill University - Desautels Faculty of Management
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93
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8
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Volatility, Component Model, GARCH, Long Memory, Option Valuation, Affine, Normality
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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
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| Posted: |
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05 May 08
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Last Revised:
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21 Nov 08
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319
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8
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Volatility, Component Model, GARCH, Long Memory, Option Valuation, Affine, Normality
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20.
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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
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| Posted: |
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18 Jun 08
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Last Revised:
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01 Aug 09
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398
(34,249)
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3
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term structure models, Kalman filtering, nonlinearity, swaps
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21.
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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
McGill University - Desautels Faculty of Management
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| Posted: |
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24 May 12
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Last Revised:
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20 Jan 13
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353
(39,705)
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1
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Asset allocation, dynamic dependence, dynamic copula, asymmetric dependence
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22.
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Jacobs, Kris
University of Houston - C.T. Bauer College of Business Wang, Kevin Q.
University of Toronto - Joseph L. Rotman School of Management
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| Posted: |
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04 Mar 02
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Last Revised:
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10 Feb 09
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342
(41,291)
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31
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Cross-sectional Asset Pricing, Consumption-based Model, Idiosyncratic Consumption Risk, Incomplete Markets, Measurement Error
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23.
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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)
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| Posted: |
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18 Mar 10
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Last Revised:
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08 Dec 12
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318
(45,038)
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Realized volatility, index options, risk premium, heteroskedasticity
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24.
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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
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294
(49,347)
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1
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credit risk, structured products, dynamic equicorrelation, CDS, CDO, default
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25.
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Jacobs, Kris
University of Houston - C.T. Bauer College of Business Karoui, Lotfi
Goldman, Sachs & Co
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288
(50,553)
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term structure model, affine, conditional volatility, segmentation hypothesis, time series, cross section, EGARCH
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26.
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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
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283
(51,607)
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1
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GARCH, option valuation
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27.
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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
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| Posted: |
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15 Mar 11
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Last Revised:
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16 Mar 12
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275
(53,477)
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5
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illiquidity, equity options, cross-section, option returns, option smile
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28.
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Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data
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hide multiple versions |
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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
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Posted:
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05 Apr 05
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Last Revised:
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15 Jan 13
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210
(71,145)
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3
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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
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0
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heterogeneity, idiosyncratic consumption risk, incomplete markets, consumption-based asset pricing model, risk aversion, equity premium puzzle
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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
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210
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3
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Heterogeneity, idiosyncratic consumption risk, incomplete markets, consumption-based model, risk aversion, equity premium puzzle
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29.
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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
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204
(73,359)
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24
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Stochastic volatility, option valuation, particle filtering, skewness, kurtosis, mean
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30.
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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
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187
(79,908)
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Kalman filtering, nonlinearity, term structure models, swaps, caps
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31.
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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
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| Posted: |
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17 Dec 10
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Last Revised:
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12 Mar 11
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185
(81,164)
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1
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CDS, recovery rate, quadratic model, credit risk, default, tangible assets
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32.
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Elkamhi, Redouane
University of Iowa - Henry B. Tippie College of Business Jacobs, Kris
University of Houston - C.T. Bauer College of Business Langlois, Hugues
McGill University - Desautels Faculty of Management Ornthanalai, Chayawat
University of Toronto - Rotman School of Management
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| Posted: |
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29 Jun 11
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Last Revised:
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17 Mar 12
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166
(89,346)
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1
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Accounting information; CDS; jumps; market integration
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33.
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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
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| Posted: |
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02 Jul 11
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Last Revised:
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16 Mar 12
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157
(94,027)
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3
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credit default swap, no-arbitrage, observable covariates, volatility, leverage, distance-to-default
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34.
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Jacobs, Kris
University of Houston - C.T. Bauer College of Business Karoui, Lotfi
Goldman, Sachs & Co
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| Posted: |
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05 May 08
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Last Revised:
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12 May 08
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142
(102,751)
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4
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term structure model, affine, interest rate swap, Treasury market, conditional volatilility, time series, cross section, EGARCH
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35.
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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
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102
(133,399)
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factor models, equity options, implied volatility, option-implied beta
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36.
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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
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98
(137,138)
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Incomplete markets, consumption volatility, growth, welfare
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