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Browsing by Author « Jacobs, Kris »
Showing results 7 to 17 of 17
| Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data | | Jacobs, Kris; Pallage, Stephane; Robe, Michel A. | | Issue Date : 2004-11 |
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| Modeling the Dynamics of Credit Spreads with Stochastic Volatility | | Jacobs, Kris; Li, Xiaofei | | Issue Date : 2003-08 |
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| Nonlinear Kalman Filtering in Affine Term Structure Models | | Christoffersen, Peter; Dorion, Christian; Jacobs, Kris; Karoui, Lotfi | | Issue Date : 2014-01 |
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| Option-Implied Measures of Equity Risk | | Chang, Bo-Young; Christoffersen, Peter; Jacobs, Kris; Vainberg, Gregory | | Issue Date : 2009-08 |
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| Option Valuation with Conditional Heteroskedasticity and Non-Normality | | Christoffersen, Peter; Elkamhi, Redouane; Feunou, Bruno; Jacobs, Kris | | Issue Date : 2009-08 |
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| Option Valuation with Conditional Skewness | | Christoffersen, Peter; Heston, Steve; Jacobs, Kris | | Issue Date : 2003-08 |
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| Option Valuation with Long-run and Short-run Volatility Components | | Christoffersen, Peter; Jacobs, Kris; Wang, Yintian | | Issue Date : 2004-11 |
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| The Rate of Risk Aversion May Be Lower Than You Think | | Jacobs, Kris | | Issue Date : 2002-01 |
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| Short and Long Memory in Equilibrium Interest Rate Dynamics | | Duan, Jin-Chuan; Jacobs, Kris | | Issue Date : 2001-03 |
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| The Welfare Costs of Macroeconomic Fluctuations under Incomplete Markets: Evidence from State-Level Consumption Data | | Jacobs, Kris; Pallage, Stéphane; Robe, Michel A. | | Issue Date : 2005-07 |
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| Which Volatility Model for Option Valuation? | | Christoffersen, Peter; Jacobs, Kris | | Issue Date : 2002-04 |
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Showing results 7 to 17 of 17
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