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~isPartOf:"Journal of financial economics"
~isPartOf:"Management science : journal of the Institute for Operations Research and the Management Sciences"
~person:"Jacobs, Kris"
~person:"Jacquier, Antoine (Jack)"
~source:"econis"
~subject:"Option pricing theory"
~subject:"Stochastic process"
~subject:"Theorie"
~subject:"Volatility"
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Option pricing theory
Stochastic process
Theorie
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2
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Jacobs, Kris
Jacquier, Antoine (Jack)
Christoffersen, Peter F.
7
Bali, Turan G.
5
Bollerslev, Tim
5
Todorov, Viktor
4
Ang, Andrew
3
Aït-Sahalia, Yacine
3
Bakshi, Gurdip S.
3
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3
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3
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3
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3
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2
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2
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Bandi, Federico M.
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2
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2
Chung, Kee H.
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Journal of financial economics
Management science : journal of the Institute for Operations Research and the Management Sciences
CREATES research paper
4
Rotman School of Management Working Paper
3
Working papers / Financial Institutions Center
3
Journal of financial and quantitative analysis : JFQA
2
The review of financial studies
2
AFA 2013 San Diego Meetings Paper
1
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Finance Down Under 2019 Building on the Best from the Cellars of Finance
1
Handbook of Economic Forecasting : volume 2, part A
1
Handbook of economic forecasting ; Volume 2A
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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ECONIS (ZBW)
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1
Does realized skewness predict the cross-section of equity returns?
Amaya, Diego
;
Christoffersen, Peter F.
;
Jacobs, Kris
; …
- In:
Journal of financial economics
118
(
2015
)
1
,
pp. 135-167
Persistent link: https://www.econbiz.de/10011480389
Saved in:
2
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
Saved in:
3
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
- In:
Management science : journal of the Institute for …
55
(
2009
)
12
,
pp. 1914-1932
Persistent link: https://www.econbiz.de/10003928488
Saved in:
4
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
Saved in:
5
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
Saved in:
6
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
Saved in:
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