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Kris Jacobs

Orcid: 0000-0002-8059-4878

According to our database1, Kris Jacobs authored at least 5 papers between 2004 and 2021.

Collaborative distances:
  • Dijkstra number2 of six.
  • Erdős number3 of seven.

Timeline

Legend:

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Links

On csauthors.net:

Bibliography

2021
Information in the Term Structure: A Forecasting Perspective.
[BibTeX]
[DOI]
Hitesh Doshi
,
Kris Jacobs
,
Rui Liu
Manag. Sci., 2021

2014
Nonlinear Kalman Filtering in Affine Term Structure Models.
[BibTeX]
[DOI]
Peter F. Christoffersen
,
Christian Dorion
,
Kris Jacobs
,
Lotfi Karoui
Manag. Sci., 2014

2009
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well.
[BibTeX]
[DOI]
Peter F. Christoffersen
,
Steven Heston
,
Kris Jacobs
Manag. Sci., 2009

2008
Modeling the Dynamics of Credit Spreads with Stochastic Volatility.
[BibTeX]
[DOI]
Kris Jacobs
,
Xiaofei Li
Manag. Sci., 2008

2004
Which GARCH Model for Option Valuation?
[BibTeX]
[DOI]
Peter F. Christoffersen
,
Kris Jacobs
Manag. Sci., 2004


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