Kris Jacobs

The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well

Peter Christoffersen, Steven L. Heston, Kris Jacobs · Management Science · 2009 · 554 citations

Business, Economics, Finance +17

Market Skewness Risk and the Cross Section of Stock Returns

Bo Young Chang, Peter Christoffersen, Kris Jacobs · CBS Research Portal (Copenhagen Business School) · 2013 · 441 citations

Business, Economics, Finance +16

Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach

Peter Christoffersen, Vihang R. Errunza, Kris Jacobs et al. · Review of Financial Studies · 2012 · 421 citations · Full text

Business, Economics, Finance +17

Option valuation with long-run and short-run volatility components☆

Peter Christoffersen, Kris Jacobs, Chayawat Ornthanalai et al. · Journal of Financial Economics · 2008 · 324 citations · Full text

Business, Economics, Finance +14

Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices

Peter Christoffersen, Kris Jacobs, Karim Mimouni · Review of Financial Studies · 2010 · 314 citations

Business, Economics, Finance +17