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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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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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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/10003865680
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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 - In: Management science : journal of the Institute for … 55 (2009) 12, pp. 1914-1932
Persistent link: https://www.econbiz.de/10003928488
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Option valuation with conditional heteroskedasticity and nonnormality
Christoffersen, Peter F.; Elkamhi, Redouane; Feunou, Bruno - In: The review of financial studies 23 (2010) 5, pp. 2139-2138
Persistent link: https://www.econbiz.de/10003969117
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Volatility components, affine restrictions, and nonnormal innovations
Christoffersen, Peter F.; Dorion, Christian; Jacobs, Kris; … - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 4, pp. 483-502
Persistent link: https://www.econbiz.de/10008736151
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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