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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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2
Option anomalies and the pricing kernel
Christoffersen, Peter F.
;
Heston, Steven L.
;
Jacobs, Kris
-
2010
Persistent link: https://www.econbiz.de/10009161205
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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
Saved in:
6
Is the potential for international diversification disappearing?
Christoffersen, Peter F.
;
Errunza, Vihang R.
;
Jacobs, Kris
-
2010
Persistent link: https://www.econbiz.de/10009161197
Saved in:
7
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:
8
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
Saved in:
9
Direction-of-change forecasts based on conditional variance, skewness and kurtosis dynamics : international evidence
Christoffersen, Peter F.
;
Diebold, Francis X.
;
Mariano, …
-
2007
Persistent link: https://www.econbiz.de/10003729191
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10
Practical volatility and correlation modeling for financial market risk management
Andersen, Torben
;
Bollerslev, Tim
;
Christoffersen, Peter F.
-
2005
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002636035
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