Kris Jacobs

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

Professor

Houston, TX 77204-6021

United States

SCHOLARLY PAPERS

54

DOWNLOADS
Rank 478

SSRN RANKINGS

Top 478

in Total Papers Downloads

39,405

CITATIONS
Rank 217

SSRN RANKINGS

Top 217

in Total Papers Citations

832

Scholarly Papers (54)

The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well

Number of pages: 48 Posted: 05 Feb 2007 Last Revised: 22 Feb 2009
University of Toronto - Rotman School of Management, University of Maryland - Department of Finance and University of Houston - C.T. Bauer College of Business
Downloads 1,825 (8,138)
Citation 2

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stochastic correlation, stochastic volatility, equity index options, multifactor model, persistence, affine, out-of-sample

The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well

CREATES Research Paper 2009-34
Number of pages: 43 Posted: 13 Aug 2009
University of Toronto - Rotman School of Management, University of Maryland - Department of Finance and University of Houston - C.T. Bauer College of Business
Downloads 1,058 (19,277)
Citation 80

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stochastic correlation, stochastic volatility, equity index options, multifactor model, persistence, affine, out-of-sample

2.

Does Realized Skewness Predict the Cross-Section of Equity Returns?

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 58 Posted: 31 Jul 2011 Last Revised: 10 Mar 2015
Wilfrid Laurier University, University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration
Downloads 2,874 (3,850)
Citation 54

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Realized volatility, skewness, kurtosis, equity markets, cross-section of stock returns

3.
Downloads 2,481 ( 4,931)
Citation 26

Forward-Looking Betas

EFA 2007 Ljubljana Meetings, AFA 2008 NEW ORLEANS MEETINGS
Number of pages: 59 Posted: 17 Mar 2006 Last Revised: 02 May 2008
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and McGill University - Desautels Faculty of Management
Downloads 2,117 (6,287)
Citation 10

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Market beta, CAPM, historical, forward-looking, option-implied, capital budgeting, event studies, model-free volatility, model-free skewness

Forward-Looking Betas

CREATES Research Paper No. 2007-39
Number of pages: 61 Posted: 24 Jun 2008
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and McGill University - Desautels Faculty of Management
Downloads 364 (79,576)
Citation 17

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market beta, CAPM, historical, forward-looking, option-implied, capital budgeting, event studies, model-free moments

4.

Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns and Option Prices

EFA 2007 Ljubljana Meetings Paper, AFA 2008 New Orleans Meetings Paper
Number of pages: 49 Posted: 24 Aug 2006 Last Revised: 25 Sep 2009
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and McGill University - Desautels Faculty of Management
Downloads 2,244 (5,838)
Citation 52

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Stochastic volatility, option valuation, particle filtering, skewness, kurtosis, mean reversion

5.

The Determinants of Credit Default Swap Premia

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 50 Posted: 07 Oct 2004 Last Revised: 05 Sep 2009
Jan Ericsson, Kris Jacobs and Rodolfo Oviedo
McGill University, University of Houston - C.T. Bauer College of Business and Universidad Austral
Downloads 2,020 (6,970)
Citation 74

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Credit risk, Credit default swaps

6.

Is the Potential for International Diversification Disappearing?

Number of pages: 41 Posted: 21 Mar 2010
University of Toronto - Rotman School of Management, McGill University - Desautels Faculty of Management, University of Houston - C.T. Bauer College of Business and Central Bank of Luxembourg
Downloads 1,753 (8,853)
Citation 6

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international asset pricing, asset allocation, dynamic conditional correlation (DCC), dynamic equicorrelation (DECO), dynamic copula

7.

Capturing Option Anomalies with a Variance-Dependent Pricing Kernel

AFA 2011 Denver Meetings Paper
Number of pages: 55 Posted: 22 Jan 2010 Last Revised: 07 Jun 2012
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and University of Maryland - Department of Finance
Downloads 1,594 (10,358)
Citation 52

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Pricing kernel, stochastic volatility, overreaction, variance risk

8.

Forecasting with Option-Implied Information

Handbook of Economic Forecasting, Volume 2, G. Elliott and A. Timmermann (eds.)
Number of pages: 72 Posted: 08 Dec 2011 Last Revised: 11 Jul 2012
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and Bank of Canada
Downloads 1,404 (12,713)
Citation 23

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Volatility, skewness, kurtosis, density forecasting, risk-neutral

9.

Option-Implied Measures of Equity Risk

Review of Finance, Forthcoming
Number of pages: 44 Posted: 11 Jun 2009 Last Revised: 23 Jan 2012
Bank of Canada, University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and McGill University - Desautels Faculty of Management
Downloads 1,367 (13,265)
Citation 51

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market beta, CAPM, historical, capital budgeting, model-free moments

10.

The Factor Structure in Equity Options

Rotman School of Management Working Paper No. 2224270
Number of pages: 88 Posted: 25 Feb 2013 Last Revised: 14 Sep 2016
University of Toronto - Rotman School of Management, HEC Montreal and University of Houston - C.T. Bauer College of Business
Downloads 1,280 (14,661)
Citation 8

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factor models, equity options, implied volatility, option-implied beta

11.

Illiquidity Premia in the Equity Options Market

Review of Financial Studies
Number of pages: 72 Posted: 15 Mar 2011 Last Revised: 22 Sep 2017
University of Toronto - Rotman School of Management, McGill University - Desautels Faculty of Management, University of Houston - C.T. Bauer College of Business and OMERS
Downloads 1,253 (15,175)
Citation 21

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Illiquidity; equity options; cross-section; delta-hedged option returns

12.

Market Skewness Risk and the Cross-Section of Stock Returns

Number of pages: 43 Posted: 30 Sep 2009
Bank of Canada, University of Toronto - Rotman School of Management and University of Houston - C.T. Bauer College of Business
Downloads 1,210 (16,021)
Citation 91

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skewness risk, cross-section, ICAPM, volatility risk, option-implied moments

13.

Option Valuation with Long-Run and Short-Run Volatility Components

Journal of Financial Economics, Vol. 90, No. 3, pp. 272-297, CREATES Research Paper 2008-11
Number of pages: 51 Posted: 11 Feb 2005 Last Revised: 22 Jan 2012
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business, University of Toronto - Rotman School of Management and McGill University - Desautels Faculty of Management
Downloads 1,134 (17,668)
Citation 81

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Option valuation, long-run component, short-run component, unobserved components, persistence, GARCH, out-of-sample, Volatility term structure

Option Valuation with Conditional Heteroskedasticity and Non-Normality

Number of pages: 50 Posted: 08 Feb 2007 Last Revised: 13 Aug 2009
University of Toronto - Rotman School of Management, University of Toronto - Rotman School of Management, Bank of Canada and University of Houston - C.T. Bauer College of Business
Downloads 715 (33,730)
Citation 2

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GARCH, risk-neutral valuation, no-arbitrage, non-normal innovations

Option Valuation with Conditional Heteroskedasticity and Non-Normality

Number of pages: 52 Posted: 13 Aug 2009
University of Toronto - Rotman School of Management, University of Toronto - Rotman School of Management, Bank of Canada and University of Houston - C.T. Bauer College of Business
Downloads 413 (68,553)
Citation 27

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GARCH, risk-neutral valuation, no-arbitrage, non-normal innovations

15.

Dynamic Jump Intensities and Risk Premia: Evidence from S&P500 Returns and Options

Journal of Financial Economics, Forthcoming., EFA 2008 Athens Meetings Paper, AFA 2010 Atlanta Meetings Paper
Number of pages: 51 Posted: 07 Mar 2008 Last Revised: 22 Jan 2012
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and University of Toronto - Rotman School of Management
Downloads 1,001 (21,300)
Citation 15

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compound Poisson process, option valuation, filtering, volatility jumps, jump risk premia, time-varying jump intensity, heteroskedasticity

16.

Which GARCH Model for Option Valuation?

Number of pages: 46 Posted: 25 Apr 2002 Last Revised: 16 Jun 2008
Peter Christoffersen and Kris Jacobs
University of Toronto - Rotman School of Management and University of Houston - C.T. Bauer College of Business
Downloads 909 (24,546)
Citation 38

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option pricing, GARCH, risk-neutral pricing, parsimony, forecasting, out-of-sample

17.

Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach

Review of Financial Studies, 2012, Vol. 25, No. 12, pp. 3711-3751.
Number of pages: 53 Posted: 24 May 2012 Last Revised: 20 Jan 2013
University of Toronto - Rotman School of Management, McGill University - Desautels Faculty of Management, University of Houston - C.T. Bauer College of Business and HEC Paris - Finance Department
Downloads 821 (28,364)
Citation 64

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Asset allocation, dynamic dependence, dynamic copula, asymmetric dependence

18.

The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation

AFA 2013 San Diego Meetings Paper
Number of pages: 51 Posted: 18 Mar 2010 Last Revised: 08 Dec 2012
University of Toronto - Rotman School of Management, Bank of Canada, University of Houston - C.T. Bauer College of Business and University of Toulouse 1 - Toulouse School of Economics (TSE)
Downloads 742 (32,548)
Citation 16

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Realized volatility, index options, risk premium, heteroskedasticity

19.

Which Volatility Model Should Be Used for Option Pricing?

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 40 Posted: 04 Mar 2002
Kris Jacobs and Peter Christoffersen
University of Houston - C.T. Bauer College of Business and University of Toronto - Rotman School of Management
Downloads 651 (38,800)

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Option Pricing, GARCH, Risk-neutral Pricing, Parsimony, Forecasting, Out-of-sample

20.

Option Valuation with Conditional Skewness

EFA 2004 Maastricht Meetings Paper No. 2964
Number of pages: 44 Posted: 23 Jun 2004
University of Toronto - Rotman School of Management, University of Maryland - Department of Finance and University of Houston - C.T. Bauer College of Business
Downloads 630 (40,601)
Citation 57

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GARCH, out-of-sample, jumps, discrete-time model, continuous-time limit

Volatility Components, Affine Restrictions and Non-Normal Innovations

Number of pages: 41 Posted: 05 May 2008 Last Revised: 21 Nov 2008
University of Toronto - Rotman School of Management, HEC Montreal, University of Houston - C.T. Bauer College of Business and McGill University - Desautels Faculty of Management
Downloads 464 (59,451)
Citation 16

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Volatility, Component Model, GARCH, Long Memory, Option Valuation, Affine, Normality

Volatility Components, Affine Restrictions and Non-Normal Innovations

CREATES Research Paper No. 2008-10
Number of pages: 43 Posted: 25 Jun 2008
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business, HEC Montreal and McGill University - Desautels Faculty of Management
Downloads 117 (235,822)
Citation 26

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Volatility, Component Model, GARCH, Long Memory, Option Valuation, Affine, Normality

22.

Volatility and Expected Option Returns

Number of pages: 43 Posted: 27 Nov 2015 Last Revised: 15 Jul 2017
Guanglian Hu and Kris Jacobs
The University of Sydney - Discipline of Finance and University of Houston - C.T. Bauer College of Business
Downloads 556 (47,855)
Citation 10

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expected option returns, volatility, cross-section of option returns

23.

The Importance of the Loss Function in Option Valuation

EFA 2003 Annual Conference Paper No. 604
Number of pages: 38 Posted: 03 Aug 2003
Peter Christoffersen and Kris Jacobs
University of Toronto - Rotman School of Management and University of Houston - C.T. Bauer College of Business
Downloads 554 (48,041)
Citation 56

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option valuation, implied volatility, practitioner Black-Scholes approach, pricing errors, loss functions, out-of-sample forecasting, parameter stability

24.

A Tractable Framework for Option Pricing with Dynamic Market Maker Inventory and Wealth

Rotman School of Management Working Paper No. 2334842
Number of pages: 76 Posted: 02 Oct 2013 Last Revised: 28 Feb 2018
Mathieu Fournier and Kris Jacobs
HEC Montreal and University of Houston - C.T. Bauer College of Business
Downloads 553 (48,170)
Citation 1

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Variance risk premium; market maker; inventory risk; financial constraints; option pricing

25.

Nonlinear Kalman Filtering in Affine Term Structure Models

Number of pages: 46 Posted: 24 May 2012 Last Revised: 04 Oct 2013
University of Toronto - Rotman School of Management, HEC Montreal, University of Houston - C.T. Bauer College of Business and Goldman, Sachs & Co
Downloads 515 (52,676)
Citation 1

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Kalman filtering, nonlinearity, term structure models, swaps, caps

26.

Dynamic Dependence and Diversification in Corporate Credit

Rotman School of Management Working Paper No. 2314027, Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper
Number of pages: 47 Posted: 22 Aug 2013 Last Revised: 07 Jul 2016
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business, Central Bank of Luxembourg and HEC Paris - Finance Department
Downloads 484 (56,999)
Citation 14

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Credit risk, default risk, CDS, dynamic dependence, copula

27.

The Cross-Section of Recovery Rates and Default Probabilities Implied by Credit Default Swap Spreads

Number of pages: 45 Posted: 17 Dec 2010 Last Revised: 12 Mar 2011
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and Tulane University
Downloads 484 (56,999)
Citation 9

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CDS, recovery rate, quadratic model, credit risk, default, tangible assets

28.

Leverage and the Cross-Section of Equity Returns

Journal of Finance, Forthcoming
Number of pages: 61 Posted: 10 Sep 2014 Last Revised: 16 Sep 2018
University of Houston - C.T. Bauer College of Business, University of Houston - C.T. Bauer College of Business, University of Houston - Department of Finance and University of Houston - Department of Finance
Downloads 482 (57,289)
Citation 2

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Leverage; unlevered equity returns; asset beta; value premium; size discount; volatility puzzle; heteroskedasticity

29.

Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk

Rotman School of Management Working Paper No. 2656412
Number of pages: 51 Posted: 06 Sep 2015 Last Revised: 14 Oct 2017
University of Toronto - Rotman School of Management, HEC Montreal, University of Houston - C.T. Bauer College of Business and OMERS
Downloads 465 (59,904)
Citation 6

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Co-skewness, co-kurtosis, risk premia, options, cross-section, out-of-sample

30.

Modeling the Dynamics of Credit Spreads with Stochastic Volatility

Number of pages: 53 Posted: 27 Oct 2003
Kris Jacobs and Xiaofei Li
University of Houston - C.T. Bauer College of Business and York University
Downloads 464 (60,073)
Citation 12

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credit risk, credit spreads, reduced form models, stochastic volatility

31.

Models for S&P 500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices

CREATES Research Paper No. 2007-37
Number of pages: 39 Posted: 24 Jun 2008
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and McGill University - Desautels Faculty of Management
Downloads 463 (60,222)
Citation 21

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Stochastic volatility, option valuation, particle filtering, skewness, kurtosis, mean

32.

Nonlinear Filtering in Affine Term Structure Models: Evidence from the Term Structure of Swap Rates

Number of pages: 56 Posted: 18 Jun 2008 Last Revised: 01 Aug 2009
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business, Goldman, Sachs & Co and McGill University - Desautels Faculty of Management
Downloads 461 (60,565)
Citation 7

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term structure models, Kalman filtering, nonlinearity, swaps

33.

Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns

Journal of Finance, Vol. 59, pp. 2211-2252, 2004
Number of pages: 42 Posted: 04 Mar 2002 Last Revised: 10 Feb 2009
Kris Jacobs and Kevin Q. Wang
University of Houston - C.T. Bauer College of Business and University of Toronto - Joseph L. Rotman School of Management
Downloads 393 (73,361)
Citation 38

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Cross-sectional Asset Pricing, Consumption-based Model, Idiosyncratic Consumption Risk, Incomplete Markets, Measurement Error

34.

Correlation Dynamics and International Diversification Benefits

Rotman School of Management Working Paper No. 2313954
Number of pages: 35 Posted: 22 Aug 2013
University of Toronto - Rotman School of Management, McGill University - Desautels Faculty of Management, University of Houston - C.T. Bauer College of Business and Central Bank of Luxembourg
Downloads 369 (78,964)
Citation 4

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Aasset pricing, asset allocation, dynamic conditional correlation (DCC), dynamic equicorrelation (DECO)

35.

Option Valuation with Volatility Components, Fat Tails, and Non-Monotonic Pricing Kernels

Rotman School of Management Working Paper No. 2690888, Robert H. Smith School Research Paper No. RHS 2690888
Number of pages: 53 Posted: 14 Nov 2015 Last Revised: 30 Apr 2017
Royal Bank of Canada, Capital Markets (Toronto), University of Toronto - Rotman School of Management, University of Maryland - Department of Finance and University of Houston - C.T. Bauer College of Business
Downloads 362 (80,747)
Citation 4

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volatility components, fat tails, jumps, pricing kernel

36.

Accounting Information Releases and CDS Spreads

Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 48 Posted: 29 Jun 2011 Last Revised: 17 Mar 2012
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business, HEC Paris - Finance Department and University of Toronto - Rotman School of Management
Downloads 339 (87,114)
Citation 6

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Accounting information; CDS; jumps; market integration

37.

Exploring Dynamic Default Dependence

Number of pages: 43 Posted: 07 May 2009
University of Toronto - Rotman School of Management, McGill University, University of Houston - C.T. Bauer College of Business and Central Bank of Luxembourg
Downloads 334 (88,519)
Citation 2

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credit risk, structured products, dynamic equicorrelation, CDS, CDO, default

38.

Affine Term Structure Models, Volatility and the Segmentation Hypothesis

Number of pages: 53 Posted: 02 Aug 2006
Kris Jacobs and Lotfi Karoui
University of Houston - C.T. Bauer College of Business and Goldman, Sachs & Co
Downloads 313 (95,131)
Citation 1

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term structure model, affine, conditional volatility, segmentation hypothesis, time series, cross section, EGARCH

39.

On Pricing Credit Default Swaps with Observable Covariates

Number of pages: 49 Posted: 02 Jul 2011 Last Revised: 16 Mar 2012
University of Houston - C.T. Bauer College of Business, McGill University, University of Houston - C.T. Bauer College of Business and University of Houston - C.T. Bauer College of Business
Downloads 286 (104,914)
Citation 26

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credit default swap, no-arbitrage, observable covariates, volatility, leverage, distance-to-default

Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data

Number of pages: 23 Posted: 05 Apr 2005
Kris Jacobs, Stephane Pallage and Michel A. Robe
University of Houston - C.T. Bauer College of Business, University of Quebec at Montreal - Department of Economics and University of Illinois at Urbana-Champaign
Downloads 243 (123,771)
Citation 3

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Heterogeneity, idiosyncratic consumption risk, incomplete markets, consumption-based model, risk aversion, equity premium puzzle

Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data

Journal of Banking & Finance, Vol. 37, No. 2, pp. 378-388, 2013
Posted: 15 Jan 2013
Kris Jacobs, Stephane Pallage and Michel A. Robe
University of Houston - C.T. Bauer College of Business, University of Quebec at Montreal - Department of Economics and University of Illinois at Urbana-Champaign

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heterogeneity, idiosyncratic consumption risk, incomplete markets, consumption-based asset pricing model, risk aversion, equity premium puzzle

41.

Macroeconomic Determinants of the Term Structure: Long-Run and Short-Run Dynamics

Number of pages: 64 Posted: 07 Feb 2015 Last Revised: 17 Feb 2019
Hitesh Doshi, Kris Jacobs and Rui Liu
University of Houston - C.T. Bauer College of Business, University of Houston - C.T. Bauer College of Business and Duquesne University
Downloads 195 (153,672)
Citation 1

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term structure; inflation; real activity growth; long-run component; filtering

42.

Conditional Volatility in Affine Term Structure Models: Evidence from Treasury and Swap Markets

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 55 Posted: 05 May 2008 Last Revised: 12 May 2008
Kris Jacobs and Lotfi Karoui
University of Houston - C.T. Bauer College of Business and Goldman, Sachs & Co
Downloads 182 (163,557)
Citation 11

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term structure model, affine, interest rate swap, Treasury market, conditional volatilility, time series, cross section, EGARCH

43.

Economic and Financial Determinants of Credit Risk Premiums in the Sovereign CDS Market

Number of pages: 43 Posted: 14 Mar 2014 Last Revised: 30 Oct 2014
Hitesh Doshi, Kris Jacobs and Carlos Zurita
University of Houston - C.T. Bauer College of Business, University of Houston - C.T. Bauer College of Business and University of Houston - Bauer College of Business
Downloads 178 (166,847)
Citation 5

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credit default swap; sovereign risk; risk premiums; economic determinants; financial crisis

44.

Pricing Structured Products with Economic Covariates

Number of pages: 52 Posted: 20 Dec 2015 Last Revised: 21 Feb 2019
University of Houston - C.T. Bauer College of Business, University of Houston - C.T. Bauer College of Business, University of Houston - C.T. Bauer College of Business and University of Houston - C.T. Bauer College of Business
Downloads 131 (215,562)

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structured product, collateralized debt obligation, tranche pricing, economic determinants, risk premiums

45.

Nonlinear Kalman Filtering in Affine Term Structure Models: Internet Appendix

Rotman School of Management Working Paper No. 2322760
Number of pages: 4 Posted: 10 Sep 2013
University of Toronto - Rotman School of Management, HEC Montreal, University of Houston - C.T. Bauer College of Business and Goldman, Sachs & Co
Downloads 129 (218,124)
Citation 12

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Kalman filtering, nonlinearity, term structure models, swaps, caps

46.

The Welfare Costs of Macroeconomic Fluctuations Under Incomplete Markets: Evidence from State-Level Consumption Data

CIRPEE Working Paper No. 05-24
Number of pages: 26 Posted: 24 Aug 2005
Kris Jacobs, Stephane Pallage and Michel A. Robe
University of Houston - C.T. Bauer College of Business, University of Quebec at Montreal - Department of Economics and University of Illinois at Urbana-Champaign
Downloads 108 (248,563)

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Incomplete markets, consumption volatility, growth, welfare

47.

Information in the Term Structure: A Forecasting Perspective

Number of pages: 58 Posted: 23 May 2015 Last Revised: 23 Nov 2016
Hitesh Doshi, Kris Jacobs and Rui Liu
University of Houston - C.T. Bauer College of Business, University of Houston - C.T. Bauer College of Business and Duquesne University
Downloads 105 (253,536)

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term structure; forecasting; loss function; state variables; hidden factor

48.

Time-Varying Jump Intensities and Fat Tail Dynamics: Evidence from S&P500 Returns and Options

Rotman School of Management Working Paper No. 2360737
Number of pages: 49 Posted: 07 Dec 2013
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and University of Toronto - Rotman School of Management
Downloads 94 (272,763)
Citation 1

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compound Poisson, fi…ltering, jumps, fat tails, risk premia

49.

Characterizing the Variance Risk Premium: The Role of the Leverage Effect

Finance Down Under 2019 Building on the Best from the Cellars of Finance
Number of pages: 58 Posted: 27 Aug 2018 Last Revised: 18 Jul 2019
Guanglian Hu, Kris Jacobs and Sang Byung Seo
The University of Sydney - Discipline of Finance, University of Houston - C.T. Bauer College of Business and University of Houston - C.T. Bauer College of Business
Downloads 86 (288,636)

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50.

Supply, Demand, and Risk Premiums in Electricity Markets

Number of pages: 64 Posted: 11 Nov 2017
Kris Jacobs, Yu Li and Craig Pirrong
University of Houston - C.T. Bauer College of Business, University of Houston, C.T. Bauer College of Business, Department of Finance and University of Houston - Department of Finance
Downloads 55 (367,689)

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Electricity Futures; Economic Determinants; Supply; Demand; Risk Premium; Unspanned Risk

51.

Estimation and Filtering With Big Option Data

Number of pages: 61 Posted: 31 Dec 2018
Kris Jacobs and Yuguo Liu
University of Houston - C.T. Bauer College of Business and University of Houston - C.T. Bauer College of Business
Downloads 42 (411,901)
Citation 12

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Option Valuation; Big Data; Particle Filter; MCMC; Identification; Risk Premia.

52.

Dynamic Jump Intensities in Crude Oil Futures and Options Markets

Journal of Derivatives 24 (2), 8-30, 2016
Number of pages: 38 Posted: 19 Feb 2019
Peter Christoffersen, Kris Jacobs and Bingxin Li
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and West Virginia University
Downloads 20 (515,467)

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Crude oil, Futures, Options, Discrete-time models, Jump intensities, Risk premiums

53.

GARCH Option Valuation: Theory and Evidence

Posted: 20 May 2019
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and University of Toronto - Rotman School of Management
Downloads 0 (662,094)
Citation 2

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GARCH, option valuation

54.

Dynamic Jump Intensities and Risk Premiums in Crude Oil Futures and Options Markets

Journal of Derivatives, 24 (2), 8-30, Rotman School of Management Working Paper No. 2861911, https://doi.org/10.3905/jod.2016.24.2.008
Posted: 20 May 2019
Peter Christoffersen, Kris Jacobs and Bingxin Li
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and West Virginia University

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Crude oil; Futures; Options; Discrete-time models; Jump intensities; Risk premiums