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Conditional volatility in affine term-structure models: Evidence from Treasury and swap markets
Jacobs, Kris; Karoui, Lotfi - In: Journal of financial economics 91 (2009) 3, pp. 288-318
Persistent link: https://www.econbiz.de/10008232018
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Conditional volatility in affine term-structure models : evidence from Treasury and swap markets
Jacobs, Kris; Karoui, Lotfi - In: Journal of financial economics 91 (2009) 3, pp. 288-318
Persistent link: https://www.econbiz.de/10003833577
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The importance of the loss function in option valuation
Christoffersen, Peter; Jacobs, Kris - In: Journal of financial economics 72 (2004) 2, pp. 291-318
Persistent link: https://www.econbiz.de/10006504607
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Option valuation with long-run and short-run volatility components
Christoffersen, Peter; Jacobs, Kris; Ornthanalai, Chayawat - In: Journal of financial economics 90 (2008) 3, pp. 272-297
Persistent link: https://www.econbiz.de/10008149195
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Market skewness risk and the cross section of stock returns
Chang, Bo Young; Christoffersen, Peter; Jacobs, Kris - In: Journal of financial economics 107 (2013) 1, pp. 46-68
Persistent link: https://www.econbiz.de/10010052653
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Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options
Christoffersen, Peter; Jacobs, Kris; Ornthanalai, Chayawat - In: Journal of financial economics 106 (2012) 3, pp. 447-473
Persistent link: https://www.econbiz.de/10010034708
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Option valuation with long-run and short-run volatility components
Christoffersen, Peter; Jacobs, Kris; Ornthanalai, Chayawat - In: Journal of financial economics 90 (2008) 3, pp. 272-298
Persistent link: https://www.econbiz.de/10008890951
Cover Image
The importance of the loss function in option valuation
Christoffersen, Peter F.; Jacobs, Kris - In: Journal of financial economics 72 (2004) 2, pp. 291-318
Persistent link: https://www.econbiz.de/10002033587
Cover Image
Dynamic jump intensities and risk premiums : evidence from S&P500 returns and options
Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - In: Journal of financial economics 106 (2012) 3, pp. 447-472
Persistent link: https://www.econbiz.de/10009710173
Cover Image
Option valuation with long-run and short-run volatility components
Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - In: Journal of financial economics 90 (2008) 3, pp. 272-297
Persistent link: https://www.econbiz.de/10003833351