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

A CIRANO Associate Researcher and Fellow since 1999, Kris Jacobs is Professor at the C.T. Bauer College of Business at the University of Houston.

Holding a Ph.D. in Economics from the University of Pittsburgh, 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

As an author

1 to 5 of 15 results
CS

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
CS

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