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Browsing by Author « Jacobs, Kris »
Showing results 9 to 17 of 17
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 9 to 17 of 17
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