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Exploring time-varying jump intensities : evidence from S&P500 returns and options
Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - 2008
Persistent link: https://www.econbiz.de/10003861266
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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 - 2009
Persistent link: https://www.econbiz.de/10003861274
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Models for S&P500 dynamics : evidence from realized volatility, daily returns, and option prices
Christoffersen, Peter F.; Jacobs, Kris; Mimouni, Karim - 2008
Persistent link: https://www.econbiz.de/10003861277
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Nonlinear filtering in affine term structure models : evidence from the term structure of swap rates
Christoffersen, Peter F.; Jacobs, Kris; Karoui, Lofti; … - 2008
Persistent link: https://www.econbiz.de/10003861281
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Is the potential for international diversification disappearing?
Christoffersen, Peter F.; Errunza, Vihang R.; Jacobs, Kris - 2010
Persistent link: https://www.econbiz.de/10009161197
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Time-varying jump intensities and fat tail dynamics : evidence from S&P500 returns and options
Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - 2010
Persistent link: https://www.econbiz.de/10009161203
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Market skewness risk and the cross-section of stock returns
Chang, Bo Young; Christoffersen, Peter F.; Jacobs, Kris - 2010
Persistent link: https://www.econbiz.de/10009161204
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Option anomalies and the pricing kernel
Christoffersen, Peter F.; Heston, Steven L.; Jacobs, Kris - 2010
Persistent link: https://www.econbiz.de/10009161205