Similar Search Results - EconBiz

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

Volatility components, affine restrictions, and nonnormal innovations

Christoffersen, Peter F.; Dorion, Christian; Jacobs, Kris; … - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 4, pp. 483-502

Persistent link: https://www.econbiz.de/10008736151

Time-varying crash risk : the role of stock market liquidity

Christoffersen, Peter F.; Feunou, Bruno; Jeon, Yoontae; … - 2016

We estimate a continuous-time model with stochastic volatility and dynamic crash probability for the S&P 500 index and find that market illiquidity dominates other factors in explaining the stock market crash risk. While the crash probability is time-varying, its dynamic depends only weakly on...

Persistent link: https://www.econbiz.de/10011517122

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

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

Capturing option anomalies with a variance-dependent pricing Kernel

Christoffersen, Peter F.; Heston, Steven L.; Jacobs, Kris - In: The review of financial studies 26 (2013) 8, pp. 1962-2006

Persistent link: https://www.econbiz.de/10010207293

Option valuation with conditional heteroskedasticity and nonnormality

Christoffersen, Peter F.; Elkamhi, Redouane; Feunou, Bruno - In: The review of financial studies 23 (2010) 5, pp. 2139-2138

Persistent link: https://www.econbiz.de/10003969117

Correlation dynamics and international diversification benefits

Christoffersen, Peter F.; Errunza, Vihang R.; Jacobs, Kris - In: International journal of forecasting 30 (2014) 3, pp. 807-824

Persistent link: https://www.econbiz.de/10010516049

Market skewness risk and the cross-section of stock returns

Chang, Bo Young; Christoffersen, Peter F.; Jacobs, Kris - 2010

Persistent link: https://www.econbiz.de/10009161204

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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