User profiles for Kris Jacobs

Kris Jacobs

University of Houston
Verified email at bauer.uh.edu
Cited by 8459

The determinants of credit default swap premia

J Ericsson, K Jacobs, R Oviedo - Journal of financial and quantitative …, 2009 - cambridge.org
Variables that in theory determine credit spreads have limited explanatory power in existing
empirical work on corporate bond data. We investigate the linear relationship between …

Market skewness risk and the cross section of stock returns

BY Chang, P Christoffersen, K Jacobs - Journal of Financial Economics, 2013 - Elsevier
The cross section of stock returns has substantial exposure to risk captured by higher moments
of market returns. We estimate these moments from daily Standard & Poor's 500 index …

Is the potential for international diversification disappearing? A dynamic copula approach

P Christoffersen, V Errunza, K Jacobs… - The Review of …, 2012 - academic.oup.com
International equity markets are characterized by nonlinear dependence and asymmetries.
We propose a new dynamic asymmetric copula model to capture long-run and short-run …

The shape and term structure of the index option smirk: Why multifactor stochastic volatility models work so well

…, S Heston, K Jacobs - Management Science, 2009 - pubsonline.informs.org
State-of-the-art stochastic volatility models generate a “volatility smirk” that explains why out-of-the-money
index puts have high prices relative to the Black-Scholes benchmark. These …

Does realized skewness predict the cross-section of equity returns?

D Amaya, P Christoffersen, K Jacobs… - Journal of Financial …, 2015 - Elsevier
We use intraday data to compute weekly realized moments for equity returns and study their
time-series and cross-sectional properties. Buying stocks in the lowest realized skewness …

Option valuation with conditional skewness

P Christoffersen, S Heston, K Jacobs - Journal of Econometrics, 2006 - Elsevier
Index option prices differ systematically from Black–Scholes prices. Out-of-the-money put
prices (and in-the-money call prices) are relatively high compared to the Black–Scholes price. …

Exome sequencing identifies mutation in CNOT3 and ribosomal genes RPL5 and RPL10 in T-cell acute lymphoblastic leukemia

…, H Vranckx, R Vandepoel, B Sweron, K Jacobs… - Nature …, 2013 - nature.com
T-cell acute lymphoblastic leukemia (T-ALL) is caused by the cooperation of multiple
oncogenic lesions 1 , 2 . We used exome sequencing on 67 T-ALLs to gain insight into the …

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

P Christoffersen, K Jacobs, C Ornthanalai - Journal of Financial Economics, 2012 - Elsevier
We build a new class of discrete-time models that are relatively easy to estimate using returns
and/or options. The distribution of returns is driven by two factors: dynamic volatility and …

The importance of the loss function in option valuation

P Christoffersen, K Jacobs - Journal of Financial Economics, 2004 - Elsevier
Which loss function should be used when estimating and evaluating option valuation
models? Many different functions have been suggested, but no standard has emerged. We …

Option-implied measures of equity risk

BY Chang, P Christoffersen, K Jacobs… - Review of …, 2012 - academic.oup.com
Equity risk measured by beta is of great interest to both academics and practitioners. Existing
estimates of beta use historical returns. Many studies have found option-implied volatility to …