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~isPartOf:"SIFR Research Report Series"
~isPartOf:"The review of financial studies"
~person:"Engle, Robert F."
~person:"Jacobs, Kris"
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Engle, Robert F.
Jacobs, Kris
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5
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ECONIS (ZBW)
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1
Structural GARCH : the volatility-leverage connection
Engle, Robert F.
;
Siriwardane, Emil N.
- In:
The review of financial studies
31
(
2018
)
2
,
pp. 449-492
Persistent link: https://www.econbiz.de/10011925224
Saved in:
2
The factor structure in equity options
Christoffersen, Peter F.
;
Fournier, Mathieu
;
Jacobs, Kris
- In:
The review of financial studies
31
(
2018
)
2
,
pp. 595-637
Persistent link: https://www.econbiz.de/10011925246
Saved in:
3
Illiquidity premia in the equity options market
Christoffersen, Peter F.
;
Goyenko, Ruslan
;
Jacobs, Kris
; …
- In:
The review of financial studies
31
(
2018
)
3
,
pp. 811-851
Persistent link: https://www.econbiz.de/10011925271
Saved in:
4
Hedging climate change news
Engle, Robert F.
;
Giglio, Stefano
;
Kelly, Bryan T.
; …
- In:
The review of financial studies
33
(
2020
)
3
,
pp. 1184-1216
Persistent link: https://www.econbiz.de/10012198087
Saved in:
5
Pricing credit default swaps with observable covariates
Doshi, Hitesh
;
Ericsson, Jan
;
Jacobs, Kris
;
Turnball, …
- In:
The review of financial studies
26
(
2013
)
8
,
pp. 2048-2094
Persistent link: https://www.econbiz.de/10010207289
Saved in:
6
SRISK: a conditional capital shortfall measure of systemic
risk
Brownlees, Christian
;
Engle, Robert F.
- In:
The review of financial studies
30
(
2017
)
1
,
pp. 48-79
Persistent link: https://www.econbiz.de/10011738007
Saved in:
7
The Determinants of Credit Default Swap Premia
Ericsson, Jan
;
Jacobs, Kris
;
Oviedo-Helfenberger, Rodolfo
-
Institute for Financial Research (SIFR)
-
2004
theoretical determinants of default
risk
and actual market premia using linear regression. These theoretical determinants are firm …
Persistent link: https://www.econbiz.de/10005651562
Saved in:
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