//--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~person:"Jacobs, Kris"
~subject:"CAPM"
~subject:"Compound Poisson jumps"
~subject:"Forecasting model"
~type_genre:"Aufsatz im Buch"
~type_genre:"Aufsatz in Zeitschrift"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: "Christoffersen, Peter F."
Narrow search
Delete all filters
| 6 applied filters
Year of publication
From:
To:
Subject
All
CAPM
Compound Poisson jumps
Forecasting model
Option pricing theory
13
Optionspreistheorie
13
Volatility
11
Volatilität
11
ARCH model
7
ARCH-Modell
7
Risikoprämie
7
Risk premium
7
Theorie
7
Theory
7
Capital income
6
Kapitaleinkommen
6
USA
6
United States
6
Statistical distribution
5
Statistische Verteilung
5
Estimation
4
Schätzung
4
Stochastic process
4
Stochastischer Prozess
4
Correlation
3
Korrelation
3
Yield curve
3
Zinsstruktur
3
Aktienmarkt
2
Aktienoption
2
Analytical filtering
2
Asset pricing
2
Börsenkurs
2
Capital market returns
2
Commodity derivative
2
Erdöl
2
Index derivative
2
Indexderivat
2
Kapitalmarktrendite
2
Kurtosis
2
Multivariate Verteilung
2
more ...
less ...
Online availability
All
Undetermined
3
Type of publication
All
Article
8
Type of publication (narrower categories)
All
Aufsatz im Buch
Aufsatz in Zeitschrift
Arbeitspapier
7
Article in journal
7
Graue Literatur
7
Non-commercial literature
7
Working Paper
7
Book section
1
more ...
less ...
Language
All
English
8
Author
All
Jacobs, Kris
Christoffersen, Peter F.
20
Diebold, Francis X.
5
Chang, Bo Young
2
Fournier, Mathieu
2
Heston, Steven L.
2
Ornthanalai, Chayawat
2
Amaya, Diego
1
Andersen, Torben
1
Babaoğlu, Kadir
1
Bollerslev, Tim
1
Boloorforoosh, Ali
1
Durham, Garland
1
Feunou, Bruno
1
Geweke, John
1
Ghosh, Pulak
1
Gouriéroux, Christian
1
Jakobs, Kris
1
Karoui, Mehdi
1
Mazzotta, Stefano
1
Meddahi, Nour
1
Pan, Xuhui
1
Schuermann, Til
1
Vasquez, Aurelio
1
more ...
less ...
Published in...
All
Journal of financial economics
3
Journal of financial and quantitative analysis : JFQA
2
Handbook of economic forecasting ; Volume 2A
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
Review of asset pricing studies
1
Source
All
ECONIS (ZBW)
8
Showing
1
-
8
of
8
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
Option-based estimation of the price of coskewness and cokurtosis risk
Christoffersen, Peter F.
;
Fournier, Mathieu
;
Jacobs, Kris
; …
- In:
Journal of financial and quantitative analysis : JFQA
56
(
2021
)
1
,
pp. 65-91
Persistent link: https://www.econbiz.de/10012437371
Saved in:
2
Option valuation with volatility components, fat tails, and nonmonotonic pricing Kernels
Babaoğlu, Kadir
;
Christoffersen, Peter F.
;
Heston, …
- In:
Review of asset pricing studies
8
(
2018
)
2
,
pp. 183-231
Persistent link: https://www.econbiz.de/10012002169
Saved in:
3
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:
4
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:
5
The economic value of realized volatility : using high-frequency returns for option valuation
Christoffersen, Peter F.
;
Feunou, Bruno
;
Jacobs, Kris
; …
- In:
Journal of financial and quantitative analysis : JFQA
49
(
2014
)
3
,
pp. 663-697
Persistent link: https://www.econbiz.de/10010487742
Saved in:
6
Forecasting with option-implied information
Christoffersen, Peter F.
;
Jacobs, Kris
;
Chang, Bo Young
-
2013
Persistent link: https://www.econbiz.de/10011507021
Saved in:
7
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:
8
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:
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->