User profiles for Kris Jacobs
Kris JacobsUniversity 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 …
empirical work on corporate bond data. We investigate the linear relationship between …
Market skewness risk and the cross section of stock returns
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 …
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
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 …
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 …
index puts have high prices relative to the Black-Scholes benchmark. These …
Does realized skewness predict the cross-section of equity returns?
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 …
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. …
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 …
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 …
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 …
models? Many different functions have been suggested, but no standard has emerged. We …
Option-implied measures of equity risk
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 …
estimates of beta use historical returns. Many studies have found option-implied volatility to …