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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
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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
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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
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Market skewness risk and the cross section of stock returns
Chang, Bo Young; Christoffersen, Peter F.; Jakobs, Kris - In: Journal of financial economics 107 (2013) 1, pp. 46-68
Persistent link: https://www.econbiz.de/10009715175
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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
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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
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The distribution of realized stock return volatility
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - In: Journal of financial economics 61 (2001) 1, pp. 43-76
Persistent link: https://www.econbiz.de/10006512570