Kris Jacobs

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

Professor

Houston, TX 77204-6021

United States

SCHOLARLY PAPERS

50

DOWNLOADS
Rank 418

SSRN RANKINGS

Top 418

in Total Papers Downloads

35,375

CITATIONS
Rank 1,101

SSRN RANKINGS

Top 1,101

in Total Papers Citations

494

Scholarly Papers (50)

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 1,693 (7,204)
Citation 25

Abstract:

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 982 (17,115)
Citation 25

Abstract:

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

2.
Downloads 2,299 ( 4,287)
Citation 10

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 1,956 (5,534)
Citation 10

Abstract:

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 343 (69,789)
Citation 10

Abstract:

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

3.

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 2,008 (4,912)
Citation 23

Abstract:

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

4.

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 1,835 (5,672)
Citation 97

Abstract:

Credit risk, Credit default swaps

5.

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 1,647 (4,249)
Citation 1

Abstract:

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

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 1,574 (7,519)
Citation 11

Abstract:

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 1,183 (9,726)
Citation 3

Abstract:

Pricing kernel, stochastic volatility, overreaction, variance risk

8.

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 1,068 (12,692)
Citation 16

Abstract:

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

9.

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 1,063 (15,500)
Citation 31

Abstract:

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 684 (28,966)
Citation 33

Abstract:

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 359 (66,107)
Citation 33

Abstract:

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

11.

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 927 (13,144)
Citation 2

Abstract:

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

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 862 (16,944)
Citation 19

Abstract:

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

13.

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

Journal of Financial Economics, Forthcoming., AFA 2010 Atlanta Meetings Paper, EFA 2008 Athens 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 829 (19,329)
Citation 1

Abstract:

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

14.

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 744 (22,835)
Citation 30

Abstract:

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

15.

GARCH Option Valuation: Theory and Evidence

Number of pages: 58 Posted: 08 May 2012 Last Revised: 22 Aug 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 669 (22,088)
Citation 2

Abstract:

GARCH, option valuation

16.

Illiquidity Premia in the Equity Options Market

Number of pages: 63 Posted: 15 Mar 2011 Last Revised: 24 May 2017
University of Toronto - Rotman School of Management, McGill University - Desautels Faculty of Management, University of Houston - C.T. Bauer College of Business and McGill University
Downloads 635 (17,780)
Citation 3

Abstract:

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

17.

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 626 (32,564)

Abstract:

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

18.

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 571 (35,615)
Citation 38

Abstract:

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

19.

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 567 (30,430)
Citation 4

Abstract:

Realized volatility, index options, risk premium, heteroskedasticity

20.

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
Downloads 556 (29,884)
Citation 6

Abstract:

Asset allocation, dynamic dependence, dynamic copula, asymmetric dependence

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 416 (55,406)
Citation 8

Abstract:

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 109 (208,017)
Citation 8

Abstract:

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

22.

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 504 (41,749)
Citation 37

Abstract:

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

23.

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 465 (18,545)

Abstract:

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

24.

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 429 (52,112)
Citation 3

Abstract:

term structure models, Kalman filtering, nonlinearity, swaps

25.

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 428 (52,544)
Citation 7

Abstract:

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

26.

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 399 (48,404)
Citation 1

Abstract:

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

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 365 (52,847)
Citation 3

Abstract:

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

28.

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 357 (61,653)
Citation 34

Abstract:

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

29.

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 321 (74,585)
Citation 1

Abstract:

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

30.

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 307 (60,329)
Citation 23

Abstract:

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

31.

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

Rotman School of Management Working Paper No. 2334842
Number of pages: 72 Posted: 02 Oct 2013 Last Revised: 13 Feb 2017
Mathieu Fournier and Kris Jacobs
HEC Montreal and University of Houston - C.T. Bauer College of Business
Downloads 294 (48,665)

Abstract:

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

32.

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 294 (80,279)

Abstract:

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

33.

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 282 (71,790)

Abstract:

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

34.

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
Downloads 278 (57,630)
Citation 2

Abstract:

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

35.

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 and University of Toronto - Rotman School of Management
Downloads 248 (81,168)
Citation 2

Abstract:

Accounting information; CDS; jumps; market integration

36.

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 239 (95,044)
Citation 3

Abstract:

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 American University - Kogod School of Business
Downloads 232 (107,386)
Citation 3

Abstract:

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 American University - Kogod School of Business

Abstract:

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

38.

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 162 (145,543)
Citation 5

Abstract:

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

39.

Leverage and the Cross-Section of Equity Returns

Number of pages: 62 Posted: 10 Sep 2014 Last Revised: 24 Jun 2016
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 128 (85,338)

Abstract:

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

40.

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 American University - Kogod School of Business
Downloads 100 (212,681)

Abstract:

Incomplete markets, consumption volatility, growth, welfare

41.

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 95 (165,112)

Abstract:

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

42.

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

Journal of Derivatives, Forthcoming, Rotman School of Management Working Paper No. 2861911
Number of pages: 38 Posted: 01 Nov 2016
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 84 (246,457)

Abstract:

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

43.

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 72 (209,857)
Citation 1

Abstract:

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

44.

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

Number of pages: 64 Posted: 07 Feb 2015 Last Revised: 22 Sep 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 University of Houston - C.T. Bauer College of Business
Downloads 67 (161,366)

Abstract:

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

45.

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 62 (253,963)

Abstract:

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

46.

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

Rotman School of Management Working Paper No. 2656412
Number of pages: 56 Posted: 06 Sep 2015 Last Revised: 16 Jan 2016
University of Toronto - Rotman School of Management, HEC Montreal, University of Houston - C.T. Bauer College of Business and McGill University
Downloads 53 (87,038)

Abstract:

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

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 University of Houston - C.T. Bauer College of Business
Downloads 31 (253,963)

Abstract:

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

48.

Pricing Structured Products with Economic Covariates

Number of pages: 48 Posted: 20 Dec 2015 Last Revised: 12 May 2016
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 0 (244,656)

Abstract:

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

49.

Volatility and Expected Option Returns

Number of pages: 68 Posted: 27 Nov 2015 Last Revised: 29 Sep 2016
Guanglian Hu and Kris Jacobs
University of Houston - C.T. Bauer College of Business and University of Houston - C.T. Bauer College of Business
Downloads 0 (85,666)

Abstract:

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

50.

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 0 (104,166)

Abstract:

volatility components, fat tails, jumps, pricing kernel