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1

Does Realized Skewness Predict the Cross-Section of Equity Returns?

Amaya, Diego, Christoffersen, Peter, Jacobs, Kris, Vasquez, Aurelio

Journal:

Journal of Financial Economics

Année:

2015

Langue:

english

Fichier:

PDF, 985 KB

english, 2015

2

Leverage and the Cross-Section of Equity Returns

DOSHI, HITESH, JACOBS, KRIS, KUMAR, PRAVEEN, RABINOVITCH, RAMON

Journal:

The Journal of Finance

Année:

2019

Langue:

english

Fichier:

PDF, 403 KB

english, 2019

3

Market skewness risk and the cross section of stock returns

Bo Young Chang, Peter Christoffersen, Kris Jacobs

Journal:

Journal of Financial Economics

Année:

2013

Langue:

english

Fichier:

PDF, 701 KB

english, 2013

4

Which GARCH Model for Option Valuation?

Christoffersen, Peter, Jacobs, Kris

Journal:

Management Science

Année:

2004

Langue:

english

Fichier:

PDF, 332 KB

english, 2004

5

Dynamic Jump Intensities and Risk Premiums in Crude Oil Futures and Options Markets

Christoffersen, Peter, Jacobs, Kris, Li, Bingxin

Journal:

The Journal of Derivatives

Année:

2016

Langue:

english

Fichier:

PDF, 2.22 MB

english, 2016

6

A Tractable Framework for Option Pricing with Dynamic Market Maker Inventory and Wealth

Fournier, Mathieu, Jacobs, Kris

Journal:

Journal of Financial and Quantitative Analysis

Année:

2019

Langue:

english

Fichier:

PDF, 1.17 MB

english, 2019

7

GARCH Option Valuation: Theory and Evidence

Christoffersen, Peter, Jacobs, Kris, Ornthanalai, Chayawat

Journal:

The Journal of Derivatives

Année:

2013

Langue:

english

Fichier:

PDF, 1.55 MB

english, 2013

8

Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices

Peter Christoffersen, Kris Jacobs and Karim Mimouni

Journal:

Review of Financial Studies

Année:

2010

Langue:

english

Fichier:

PDF, 3.24 MB

english, 2010

9

Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach

Peter Christoffersen, Vihang Errunza, Kris Jacobs and Hugues Langlois

Journal:

Review of Financial Studies

Année:

2012

Langue:

english

Fichier:

PDF, 3.82 MB

english, 2012

10

Modeling the Dynamics of Credit Spreads with Stochastic Volatility

Jacobs, Kris, Li, Xiaofei

Journal:

Management Science

Année:

2008

Langue:

english

Fichier:

PDF, 239 KB

english, 2008

11

Volatility and Expected Option Returns

Hu, Guanglian, Jacobs, Kris

Journal:

Journal of Financial and Quantitative Analysis

Année:

2019

Langue:

english

Fichier:

PDF, 705 KB

english, 2019

12

Market incompleteness and the equity premium puzzle: Evidence from state-level data

Kris Jacobs, Stéphane Pallage, Michel A. Robe

Journal:

Journal of Banking & Finance

Année:

2013

Langue:

english

Fichier:

PDF, 681 KB

english, 2013

13

Nonlinear Kalman Filtering in Affine Term Structure Models

Christoffersen, Peter, Dorion, Christian, Jacobs, Kris, Karoui, Lotfi

Journal:

Management Science

Année:

2014

Langue:

english

Fichier:

PDF, 1.31 MB

english, 2014

14

The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well

Christoffersen, Peter, Heston, Steven, Jacobs, Kris

Journal:

Management Science

Année:

2009

Langue:

english

Fichier:

PDF, 420 KB

english, 2009

15

The Determinants of Credit Default Swap Premia

Ericsson, Jan, Jacobs, Kris, Oviedo, Rodolfo

Journal:

Journal of Financial and Quantitative Analysis

Année:

2009

Langue:

english

Fichier:

PDF, 377 KB

english, 2009

16

The Cross Section of Recovery Rates and Default Probabilities Implied by Credit Default Swap Spreads

Elkamhi, Redouane, Jacobs, Kris, Pan, Xuhui

Journal:

Journal of Financial and Quantitative Analysis

Année:

2014

Langue:

english

Fichier:

PDF, 326 KB

english, 2014

17

Which GARCH Model for Option Valuation?

Peter Christoffersen and Kris Jacobs

Journal:

Management Science

Année:

2004

Langue:

english

Fichier:

PDF, 2.56 MB

english, 2004

18

Idiosyncratic Consumption Risk and the Cross Section of Asset Returns

Kris Jacobs and Kevin Q. Wang

Journal:

The Journal of Finance

Année:

2004

Langue:

english

Fichier:

PDF, 5.01 MB

english, 2004

19

Macroeconomic determinants of the term structure: Long-run and short-run dynamics

Doshi, Hitesh, Jacobs, Kris, Liu, Rui

Journal:

Journal of Empirical Finance

Année:

2018

Langue:

english

Fichier:

PDF, 1.75 MB

english, 2018

20

Salmonella Typhi, Paratyphi A, Enteritidis and Typhimurium core proteomes reveal differentially expressed proteins linked to the cell surface and pathogenicity

Saleh, Sara, Van Puyvelde, Sandra, Staes, An, Timmerman, Evy, Barbé, Barbara, Jacobs, Jan, Gevaert, Kris, Deborggraeve, Stijn, Bourret, Travis J.

Journal:

PLoS Neglected Tropical Diseases

Année:

2019

Langue:

english

Fichier:

PDF, 2.66 MB

english, 2019

21

Pricing structured products with economic covariates

Choi, Yong Seok, Doshi, Hitesh, Jacobs, Kris, Turnbull, Stuart M.

Journal:

Journal of Financial Economics

Année:

2019

Langue:

english

Fichier:

PDF, 1.44 MB

english, 2019

22

Bacterial-like nonribosomal peptide synthetases produce cyclopeptides in the zygomycetous fungus Mortierella alpina

Wurlitzer, Jacob M., StaniÅ¡iÄ, Aleksa, Wasmuth, Ina, Jungmann, Sandra, Fischer, Dagmar, Kries, Hajo, Gressler, Markus

Journal:

Applied and Environmental Microbiology

Année:

2020

Fichier:

PDF, 5.92 MB

2020

23

Incomplete Markets and Security Prices: Do Asset-Pricing Puzzles Result from Aggregation Problems?

Journal:

The Journal of Finance

Année:

1999

Langue:

english

Fichier:

PDF, 196 KB

english, 1999

24

Effect of iron depletion on serum markers of fibrogenesis, oxidative stress and serum liver enzymes in chronic hepatitis C: results of a pilot study

Jacob Alexander, Bruce Y. Tung, Anne Croghan, Kris V. Kowdley

Journal:

Liver International

Année:

2007

Langue:

english

Fichier:

PDF, 94 KB

english, 2007

25

Idiosyncratic Consumption Risk and the Cross Section of Asset Returns

KRIS JACOBS, KEVIN Q. WANG

Journal:

The Journal of Finance

Année:

2004

Langue:

english

Fichier:

PDF, 306 KB

english, 2004

26

The importance of the loss function in option valuation

Peter Christoffersen, Kris Jacobs

Journal:

Journal of Financial Economics

Année:

2004

Langue:

english

Fichier:

PDF, 419 KB

english, 2004

27

Option valuation with long-run and short-run volatility components

Peter Christoffersen, Kris Jacobs, Chayawat Ornthanalai, Yintian Wang

Journal:

Journal of Financial Economics

Année:

2008

Langue:

english

Fichier:

PDF, 763 KB

english, 2008

28

Conditional volatility in affine term-structure models: Evidence from Treasury and swap markets

Kris Jacobs, Lotfi Karoui

Journal:

Journal of Financial Economics

Année:

2009

Langue:

english

Fichier:

PDF, 1.94 MB

english, 2009

29

Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options

Peter Christoffersen, Kris Jacobs, Chayawat Ornthanalai

Journal:

Journal of Financial Economics

Année:

2012

Langue:

english

Fichier:

PDF, 1.82 MB

english, 2012

30

Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach

Christoffersen, Peter, Errunza, Vihang, Jacobs, Kris, Langlois, Hugues

Journal:

Review of Financial Studies

Année:

2012

Langue:

english

Fichier:

PDF, 1.65 MB

english, 2012

31

Correlation dynamics and international diversification benefits

Christoffersen, Peter, Errunza, Vihang, Jacobs, Kris, Jin, Xisong

Journal:

International Journal of Forecasting

Année:

2014

Langue:

english

Fichier:

PDF, 1.73 MB

english, 2014

32

Economic valuation of ecosystem services, a case study for aquatic vegetation removal in the Nete catchment (Belgium)

Boerema, Annelies, Schoelynck, Jonas, Bal, Kris, Vrebos, Dirk, Jacobs, Sander, Staes, Jan, Meire, Patrick

Journal:

Ecosystem Services

Année:

2014

Langue:

english

Fichier:

PDF, 1.37 MB

english, 2014

33

Volatility Components, Affine Restrictions, and Nonnormal Innovations

Christoffersen, Peter, Dorion, Christian, Jacobs, Kris, Wang, Yintian

Journal:

Journal of Business and Economic Statistics

Année:

2010

Langue:

english

Fichier:

PDF, 1.67 MB

english, 2010

34

Population Approaches to Improve Diet, Physical Activity, and Smoking Habits: A Scientific Statement From the American Heart Association

Mozaffarian, D., Afshin, A., Benowitz, N. L., Bittner, V., Daniels, S. R., Franch, H. A., Jacobs, D. R., Kraus, W. E., Kris-Etherton, P. M., Krummel, D. A., Popkin, B. M., Whitsel, L. P., Zakai, N. A.

Journal:

Année:

2012

Langue:

english

Fichier:

PDF, 382 KB

english, 2012

35

The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation

Christoffersen, Peter, Feunou, Bruno, Jacobs, Kris, Meddahi, Nour

Journal:

Journal of Financial and Quantitative Analysis

Année:

2014

Langue:

english

Fichier:

PDF, 543 KB

english, 2014

36

Capturing Option Anomalies with a Variance-Dependent Pricing Kernel

Christoffersen, Peter, Heston, Steven, Jacobs, Kris

Journal:

Review of Financial Studies

Année:

2013

Langue:

english

Fichier:

PDF, 1.65 MB

english, 2013

37

[ACM Press Proceeding of the twenty-sixth annual CHI conference extended abstracts - Florence, Italy (2008.04.05-2008.04.10)] Proceeding of the twenty-sixth annual CHI conference extended abstracts on Human factors in computing systems - CHI '08 - User interface description languages for next generation user interfaces

Shaer, Orit, Jacob, Robert J. K., Green, Mark, Luyten, Kris

Année:

2008

Langue:

english

Fichier:

PDF, 134 KB

english, 2008

38

[IEEE 2014 IEEE 41st International Conference on Plasma Sciences (ICOPS) held with 2014 IEEE International Conference on High-Power Particle Beams (BEAMS) - Washington, DC, USA (2014.5.25-2014.5.29)] 2014 IEEE 41st International Conference on Plasma Sciences (ICOPS) held with 2014 IEEE International Conference on High-Power Particle Beams (BEAMS) - Fully implicit solution methods for fluid plasma equations with physics-based pre-conditioning

Beckwith, Kris, King, Jacob, Hallman, Eric, McCormick, Stephen F., Ruge, John W.

Année:

2014

Langue:

english

Fichier:

PDF, 108 KB

english, 2014

39

The Determinants of Credit Default Swap Premia

Jan Ericsson, Kris Jacobs and Rodolfo Oviedo

Journal:

Journal of Financial and Quantitative Analysis

Année:

2009

Langue:

english

Fichier:

PDF, 2.18 MB

english, 2009

40

Incomplete Markets and Security Prices: Do Asset-Pricing Puzzles Result from Aggregation Problems?

Journal:

The Journal of Finance

Année:

1999

Langue:

english

Fichier:

PDF, 1019 KB

english, 1999

41

The Effect of Cadence on Cycling Efficiency and Local Tissue Oxygenation

D. Jacobs, Robert, E. Berg, Kris, Slivka, Dustin R., Noble, John M.

Journal:

The Journal of Strength and Conditioning Research

Année:

2013

Langue:

english

Fichier:

PDF, 150 KB

english, 2013

42

The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well

Peter Christoffersen, Steven Heston and Kris Jacobs

Journal:

Management Science

Année:

2009

Langue:

english

Fichier:

PDF, 2.66 MB

english, 2009

43

Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy

Journal:

Journal of Financial Econometrics

Année:

2017

Langue:

english

Fichier:

PDF, 72 KB

english, 2017

44

Option Valuation with Volatility Components, Fat Tails, and Nonmonotonic Pricing Kernels*

Babaoglu, Kadir, Christoffersen, Peter, Heston, Steven, Jacobs, Kris

Journal:

Review of Asset Pricing Studies

Année:

2017

Langue:

english

Fichier:

PDF, 1.05 MB

english, 2017

45

Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy

Journal:

Journal of Financial Econometrics

Année:

2017

Langue:

english

Fichier:

PDF, 45 KB

english, 2017

46

Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns?

Amaya, Diego, Christoffersen, Peter, Jacobs, Kris, Vasquez, Aurelio

Journal:

SSRN Electronic Journal

Année:

2011

Langue:

english

Fichier:

PDF, 596 KB

english, 2011

47

The Importance of the Loss Function in Option Valuation

Christoffersen, Peter F., Jacobs, Kris

Journal:

SSRN Electronic Journal

Année:

2003

Fichier:

PDF, 400 KB

2003

48

Volatility and Expected Option Returns

Hu, Guanglian, Jacobs, Kris

Journal:

SSRN Electronic Journal

Année:

2015

Langue:

english

Fichier:

PDF, 273 KB

english, 2015

49

No-Arbitrage Modeling of Structured Products with Economic Determinants

Choi, Yong Seok, Doshi, Hitesh, Jacobs, Kris, Turnbull, Stuart M.

Journal:

SSRN Electronic Journal

Année:

2015

Langue:

english

Fichier:

PDF, 682 KB

english, 2015

50

Physician View and Experience of the Diagnosis of Autism Spectrum Disorder in Young Children

Jacobs, Delphine, Steyaert, Jean, Dierickx, Kris, Hens, Kristien

Journal:

Frontiers in Psychiatry

Année:

2019

Langue:

english

Fichier:

PDF, 898 KB

english, 2019