Kris Jacobs

29 catalog papers. Identity-linked publications and additional name matches are distinguished below.

ORCID: 0000-0002-8059-4878

Publications

• Identifying Demand Curves in Index Option Markets — Management Science 2026
• Tail Risk Around FOMC Announcements — Journal of Financial and Quantitative Analysis 2026
• Modeling Conditional Factor Risk Premia Implied by Index Option Returns — The Journal of Finance 2024
• Modeling volatility in dynamic term structure models — Journal of Financial Economics 2024 (name-matched, not ORCID-linked)
• Fast Filtering with Large Option Panels: Implications for Asset Pricing — Journal of Financial and Quantitative Analysis 2024
• The State Price Density Implied by Crude Oil Futures and Option Prices — The Review of Financial Studies 2022
• Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk — Journal of Financial and Quantitative Analysis 2021
• Volatility and Expected Option Returns — Journal of Financial and Quantitative Analysis 2020
• Pricing structured products with economic covariates — Journal of Financial Economics 2020 (name-matched, not ORCID-linked)
• A Tractable Framework for Option Pricing with Dynamic Market Maker Inventory and Wealth — Journal of Financial and Quantitative Analysis 2020
• Leverage and the Cross-Section of Equity Returns — The Journal of Finance 2019
• The Factor Structure in Equity Options — The Review of Financial Studies 2018
• Dynamic Dependence and Diversification in Corporate Credit — Review of Finance 2018
• The Cross Section of Recovery Rates and Default Probabilities Implied by Credit Default Swap Spreads — Journal of Financial and Quantitative Analysis 2014
• The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation — Journal of Financial and Quantitative Analysis 2014
• Nonlinear Kalman Filtering in Affine Term Structure Models — Management Science 2014
• Pricing Credit Default Swaps with Observable Covariates — The Review of Financial Studies 2013
• Capturing Option Anomalies with a Variance-Dependent Pricing Kernel — The Review of Financial Studies 2013
• Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach — The Review of Financial Studies 2012
• Option-Implied Measures of Equity Risk — Review of Finance 2012
• Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices — The Review of Financial Studies 2010
• Option Valuation with Conditional Heteroskedasticity and Nonnormality — The Review of Financial Studies 2010
• The Determinants of Credit Default Swap Premia — Journal of Financial and Quantitative Analysis 2009
• The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well — Management Science 2009
• Conditional volatility in affine term-structure models: Evidence from Treasury and swap markets — Journal of Financial Economics 2009 (name-matched, not ORCID-linked)
• Modeling the Dynamics of Credit Spreads with Stochastic Volatility — Management Science 2008
• Which GARCH Model for Option Valuation? — Management Science 2004
• Idiosyncratic Consumption Risk and the Cross Section of Asset Returns — The Journal of Finance 2004
• Incomplete Markets and Security Prices: Do Asset-Pricing Puzzles Result from Aggregation Problems? — The Journal of Finance 1999