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Jacobs, Kris


 SSRN Author Rank: 441 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
27,937
Total
Citations
516
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
2,397
(2,791)
27

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
2,131
(3,390)
11

3.  
Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns and Option Prices | Show Abstract | Download This Paper |
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
1,945
(3,978)
26

4.  
The Determinants of Credit Default Swap Premia | Show Abstract | Download This Paper |
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
1,790
(4,588)
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
1,547
(5,946)
11

6.  
Does Realized Skewness Predict the Cross-Section of Equity Returns? | Show Abstract | Download This Paper |
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
1,427
(6,826)
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
1,122
(10,140)
3

8.  
Option-Implied Measures of Equity Risk | Show Abstract | Download This Paper |
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
1,028
(11,659)
17

9.  
Option Valuation with Long-Run and Short-Run Volatility Components | Show Abstract | Download This Paper |
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
953
(13,085)
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
896
(14,359)
33

11.  
Forecasting with Option-Implied Information | Show Abstract | Download This Paper |
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
858
(15,381)
3

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
821
(16,460)
22

13.  
Dynamic Jump Intensities and Risk Premia: Evidence from S&P500 Returns and Options | Show Abstract | Download This Paper |
Journal of Financial Economics, Forthcoming., EFA 2008 Athens Meetings Paper, AFA 2010 Atlanta 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
790
(17,405)
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
716
(20,045)
29

15.  
Which Volatility Model Should be Used for Option Pricing? | Show Abstract | Download This Paper |
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
623
(24,378)
 

16.  
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
603
(25,567)
2

17.  
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
559
(28,356)
5

18.  
Option Valuation with Conditional Skewness | Show Abstract | Download This Paper |
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
558
(28,449)
41

19.  
Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach | Show Abstract | Download This Paper |
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
524
(30,939)
5

20.  
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
517
(31,512)
3

21.  
The Importance of the Loss Function in Option Valuation | Show Abstract | Download This Paper |
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
489
(33,840)
41

22.   Incl. Electronic Paper
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
Posted:
05 May 08
Last Revised:
13 Jan 09
471
(35,538)
7

23.  
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Li, Xiaofei
York University
Posted:
27 Oct 03
428
(40,108)
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
424
(40,562)
3

25.  
The Factor Structure in Equity Options | Show Abstract | Download This Paper |
Rotman School of Management Working Paper No. 2224270
Number of Pages in PDF File: 58
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:
22 Aug 13
395
(44,635)
 

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
371
(47,768)
1

27.  
Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns | Show Abstract | Download This Paper |
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
354
(50,626)
35

28.  
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
337
(53,723)
3

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
University of Luxembourg - Luxembourg School of Finance
Posted:
07 May 09
317
(57,839)
1

30.  
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Karoui, Lotfi
Goldman, Sachs & Co
Posted:
02 Aug 06
293
(63,198)
 

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
277
(67,262)
26

32.  
Correlation Dynamics and International Diversification Benefits | Show Abstract | Download This Paper |
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
University of Luxembourg - Luxembourg School of Finance
Posted:
22 Aug 13
259
(72,237)
 

33.  
Inventory Risk, Market-Maker Wealth, and the Variance Risk Premium: Theory and Evidence | Show Abstract | Download This Paper |
Rotman School of Management Working Paper No. 2334842
Number of Pages in PDF File: 61
Fournier, Mathieu
HEC Montreal
Jacobs, Kris
University of Houston - C.T. Bauer College of Business
Posted:
02 Oct 13
Last Revised:
24 Mar 15
236
(79,816)
 

34.  
Dynamic Diversification in Corporate Credit | Show Abstract | Download This Paper |
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
University of Luxembourg - Luxembourg School of Finance
Langlois, Hugues
HEC Paris
Posted:
22 Aug 13
Last Revised:
26 Sep 14
233
(80,875)
1

35.  
Accounting Information Releases and CDS Spreads | Show Abstract | Download This Paper |
Midwest Finance Association 2012 Annual Meetings Paper
Number of Pages in PDF File: 48
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
230
(82,026)
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
228
(82,784)
3

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
219
(86,277)
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
161
(115,567)
6

39.  
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
(168,311)
 

40.  
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
95
(174,301)
 

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
77
(198,828)
 

42.  
Nonlinear Kalman Filtering in Affine Term Structure Models: Internet Appendix | Show Abstract | Download This Paper |
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
66
(216,857)
1

43.  
Time-Varying Jump Intensities and Fat Tail Dynamics: Evidence from S&P500 Returns and Options | Show Abstract | Download This Paper |
Rotman School of Management Working Paper No. 2360737
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
Ornthanalai, Chayawat
University of Toronto - Rotman School of Management
Posted:
07 Dec 13
54
(240,124)
 

44.  
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:
06 Mar 15
18
(349,844)
 


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