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Forecasting with option implied information
Christoffersen, Peter F.; Jacobs, Kris; Chang, Bo Young - 2011
Persistent link: https://www.econbiz.de/10009385092
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Correlation dynamics and international diversification benefits
Christoffersen, Peter F.; Errunza, Vihang R.; Jacobs, Kris - 2013
Persistent link: https://www.econbiz.de/10010226790
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Illiquidity premia in the equity options market
Christoffersen, Peter F.; Goyenko, Ruslan; Jacobs, Kris; … - 2013
Persistent link: https://www.econbiz.de/10010226833
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The factor structure in equity options
Christoffersen, Peter F.; Fournier, Mathieu; Jacobs, Kris - 2013
Persistent link: https://www.econbiz.de/10010226837
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Dynamic diversi cation in corporate credit
Christoffersen, Peter F.; Jacobs, Kris; Jin, Xisong; … - 2013
Persistent link: https://www.econbiz.de/10010226838
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Does realized skewness predict the cross-section of equity returns?
Amaya, Diego; Christoffersen, Peter F.; Jacobs, Kris; … - 2013
Persistent link: https://www.econbiz.de/10010226861
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GARCH option valuation : theory and evidence
Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - 2012
Persistent link: https://www.econbiz.de/10009667377
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Nonlinear Kalman filtering in affine term structure models
Christoffersen, Peter F.; Dorion, Christian; Jacobs, Kris; … - 2012
Persistent link: https://www.econbiz.de/10009667381
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Is the potential for international diversivication disappearing? : a dynamic copula approach
Christoffersen, Peter F.; Errunza, Vihang R.; Jacobs, Kris - 2012
Persistent link: https://www.econbiz.de/10009667396
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The shape and term structure of the index option smirk : why multifactor stochastic volatility models work so well
Christoffersen, Peter F.; Heston, Steven L.; Jacobs, Kris - 2009
Persistent link: https://www.econbiz.de/10003865680