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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

Modeling the Dynamics of Credit Spreads with Stochastic Volatility
Jacobs, Kris; Li, Xiaofei
Issue Date : 2003-08

Nonlinear Kalman Filtering in Affine Term Structure Models
Christoffersen, Peter; Dorion, Christian; Jacobs, Kris; Karoui, Lotfi
Issue Date : 2014-01

Option-Implied Measures of Equity Risk
Chang, Bo-Young; Christoffersen, Peter; Jacobs, Kris; Vainberg, Gregory
Issue Date : 2009-08

Option Valuation with Conditional Heteroskedasticity and Non-Normality
Christoffersen, Peter; Elkamhi, Redouane; Feunou, Bruno; Jacobs, Kris
Issue Date : 2009-08

Option Valuation with Conditional Skewness
Christoffersen, Peter; Heston, Steve; Jacobs, Kris
Issue Date : 2003-08

Option Valuation with Long-run and Short-run Volatility Components
Christoffersen, Peter; Jacobs, Kris; Wang, Yintian
Issue Date : 2004-11

The Rate of Risk Aversion May Be Lower Than You Think
Jacobs, Kris
Issue Date : 2002-01

Short and Long Memory in Equilibrium Interest Rate Dynamics
Duan, Jin-Chuan; Jacobs, Kris
Issue Date : 2001-03

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

Which Volatility Model for Option Valuation?
Christoffersen, Peter; Jacobs, Kris
Issue Date : 2002-04

Showing results 7 to 17 of 17


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