Member's Details
Fellows
Email
kris.jacobs@cirano.qc.ca
University
University of Houston
713 743-2826
713 743-4789
Function(s)
Ph.D., Economics, Pittsburg University
Bauer Professor of Finance
C.T. Bauer College of Business
University of Houston
Domain(s) of interest
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.

List of scientific publications at CIRANO by Kris Jacobs

Code Publications
2009s-32 WP Peter Christoffersen, Redouane Elkamhi, Bruno Feunou et Kris Jacobs. Option Valuation with Conditional Heteroskedasticity and Non-Normality
2009s-33 WP Bo-Young Chang, Peter Christoffersen, Kris Jacobs et Gregory Vainberg. Option-Implied Measures of Equity Risk
2009s-34 WP Peter Christoffersen, Kris Jacobs et Chayawat Ornthanalai. Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options
2004s-55 WP Jan Ericsson, Kris Jacobs et Rodolfo A. Oviedo. The Determinants of Credit Default Swap Premia
2004s-56 WP Peter Christoffersen, Kris Jacobs et Yintian Wang. Option Valuation with Long-run and Short-run Volatility Components
2004s-54 WP Kris Jacobs, Stephane Pallage et Michel A. Robe. Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data
2003s-50 WP Peter Christoffersen, Steve Heston et Kris Jacobs. Option Valuation with Conditional Skewness
2003s-51 WP Kris Jacobs et Xiaofei Li. Modeling the Dynamics of Credit Spreads with Stochastic Volatility
2003s-52 WP Peter Christoffersen et Kris Jacobs. The Importance of the Loss Function in Option Valuation
2002s-33 WP Peter Christoffersen et Kris Jacobs. Which Volatility Model for Option Valuation?
2002s-11 WP Kris Jacobs et Kevin Q. Wang. Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns
2002s-08 WP Kris Jacobs. The Rate of Risk Aversion May Be Lower Than You Think
2001s-45 WP Peter Christoffersen et Kris Jacobs. The Importance of the Loss Function in Option Pricing
2001s-22 WP Jin-Chuan Duan et Kris Jacobs. Short and Long Memory in Equilibrium Interest Rate Dynamics
2001s-12 WP Kris Jacobs. Estimating Nonseparable Preference Specifications for Asset Market Participants

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