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Expertise

Asset Pricing, Option Valuation, Financial Econometrics, Pricing of Fixed-income Securities, Credit Risk, Risk Management, Relationship between asset returns and the real economy

Biography

Kris Jacobs has a Ph.D. from the University of Pittsburgh, and has been a professor at University of Houston since 2010. His research interests include asset pricing, econometrics and the relationship between asset returns and macroeconomic variables.
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CIRANO Publications by Kris Jacobs

1 to 5 of 15 results
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Option Valuation with Conditional Heteroskedasticity and Non-Normality

Peter Christoffersen, Redouane Elkamhi, Bruno Feunou and Kris Jacobs

Innovation
CS

Option-Implied Measures of Equity Risk

Bo-Young Chang, Peter Christoffersen, Kris Jacobs and Gregory Vainberg

CS

Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options

Peter Christoffersen, Kris Jacobs and Chayawat Ornthanalai

Simulation
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The Determinants of Credit Default Swap Premia

Jan Ericsson, Kris Jacobs and Rodolfo A. Oviedo

CS

Option Valuation with Long-run and Short-run Volatility Components

Peter Christoffersen, Kris Jacobs and Yintian Wang

Simulation
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