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Exploring time-varying jump intensities : evidence from S&P500 returns and options
Christoffersen, Peter F.
;
Jacobs, Kris
;
Ornthanalai, …
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2008
Persistent link: https://www.econbiz.de/10003861266
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2
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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3
Models for S&P500 dynamics : evidence from realized volatility, daily returns, and option prices
Christoffersen, Peter F.
;
Jacobs, Kris
;
Mimouni, Karim
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2008
Persistent link: https://www.econbiz.de/10003861277
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4
Nonlinear filtering in affine term structure models : evidence from the term structure of swap rates
Christoffersen, Peter F.
;
Jacobs, Kris
;
Karoui, Lofti
; …
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2008
Persistent link: https://www.econbiz.de/10003861281
Saved in:
5
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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6
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
Saved in:
7
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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8
Option anomalies and the pricing kernel
Christoffersen, Peter F.
;
Heston, Steven L.
;
Jacobs, Kris
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2010
Persistent link: https://www.econbiz.de/10009161205
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