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~isPartOf:"Journal of financial economics"
~person:"Jacobs, Kris"
~type_genre:"Aufsatz im Buch"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Working Paper"
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Search: "Christoffersen, Peter F."
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Option pricing theory
4
Optionspreistheorie
4
Volatility
4
Volatilität
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Analytical filtering
2
Capital income
2
Compound Poisson jumps
2
Estimation
2
Kapitaleinkommen
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Risikoprämie
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Risk premium
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Schätzung
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Statistical distribution
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1988-1991
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ARCH model
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Capital market returns
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Cross-section of stock returns
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Dynamic jump intensity
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Equity markets
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Fat tails
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Realized volatility
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Aufsatz im Buch
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Jacobs, Kris
Christoffersen, Peter F.
6
Ornthanalai, Chayawat
3
Amaya, Diego
1
Chang, Bo Young
1
Durham, Garland
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Geweke, John
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Ghosh, Pulak
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Jakobs, Kris
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Journal of financial economics
CREATES research paper
12
Working papers / Financial Institutions Center
8
The review of financial studies
7
The journal of derivatives : the official publication of the International Association of Financial Engineers
3
Journal of financial and quantitative analysis : JFQA
2
Management science : journal of the Institute for Operations Research and the Management Sciences
2
Review of finance : journal of the European Finance Association
2
Handbook of economic forecasting ; Volume 2A
1
International journal of forecasting
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of econometrics
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Review of asset pricing studies
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Rotman School of Management working paper / University of Toronto Rotman School of Management
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ECONIS (ZBW)
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1
A comment on Christoffersen, Jacobs, and Ornthanalai (2012), "Dynamic jump intensities and risk premiums : evidence from S&P 500 returns and options"
Durham, Garland
;
Geweke, John
;
Ghosh, Pulak
- In:
Journal of financial economics
115
(
2015
)
1
,
pp. 210-214
Persistent link: https://www.econbiz.de/10011327221
Saved in:
2
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:
3
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:
4
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:
5
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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