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Aggregate consumption and the predictability of asset returns
Jacobs, Kris - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 1, pp. 58-76
Persistent link: https://www.econbiz.de/10001441607
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Incomplete markets and security prices : do asset-pricing puzzles result rom aggregation problems?
Jacobs, Kris - In: The journal of finance : the journal of the American … 54 (1999) 1, pp. 123-163
Persistent link: https://www.econbiz.de/10001355204
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Conditional volatility in affine term-structure models : evidence from Treasury and swap markets
Jacobs, Kris; Karoui, Lotfi - In: Journal of financial economics 91 (2009) 3, pp. 288-318
Persistent link: https://www.econbiz.de/10003833577
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The determinants of credit default swap premia
Ericsson, Jan; Jacobs, Kris; Oviedo, Rodolfo - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 1, pp. 109-132
Persistent link: https://www.econbiz.de/10003854347
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The cross section of recovery rates and default probabilities implied by credit default swap spreads
Elkamhi, Redouane; Jacobs, Kris; Pan, Xuhui - In: Journal of financial and quantitative analysis : JFQA 49 (2014) 1, pp. 193-220
Persistent link: https://www.econbiz.de/10010408536
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Idiosyncratic consumption risk and the cross section of asset returns
Jacobs, Kris; Wang, Kevin Q. - In: The journal of finance : the journal of the American … 59 (2004) 5, pp. 2211-2252
Persistent link: https://www.econbiz.de/10002251494
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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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Testing for full insurance using exogenous information
Ham, John C.; Jacobs, Kris - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 4, pp. 387-397
Persistent link: https://www.econbiz.de/10001521450
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The state price density implied by crude oil futures and option prices
Christoffersen, Peter F.; Jacobs, Kris; Pan, Xuhui - In: The review of financial studies 35 (2022) 2, pp. 1064-1103
Persistent link: https://www.econbiz.de/10012878983
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Pricing credit default swaps with observable covariates
Doshi, Hitesh; Ericsson, Jan; Jacobs, Kris; Turnball, … - In: The review of financial studies 26 (2013) 8, pp. 2048-2094
Persistent link: https://www.econbiz.de/10010207289