Kris Jacobs

Publication Activity (10 Years)

Years Active: 2004-2021
Publications (10 Years): 1

Top Topics

Multiple Perspectives

Kalman Filtering

State Space Model

Top Venues

Publications

Hitesh Doshi, Kris Jacobs, Rui Liu
Information in the Term Structure: A Forecasting Perspective. Manag. Sci. 67 (8) (2021)
Peter F. Christoffersen, Christian Dorion, Kris Jacobs, Lotfi Karoui
Nonlinear Kalman Filtering in Affine Term Structure Models. Manag. Sci. 60 (9) (2014)
Peter F. Christoffersen, Steven Heston, Kris Jacobs
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well. Manag. Sci. 55 (12) (2009)
Kris Jacobs, Xiaofei Li
Modeling the Dynamics of Credit Spreads with Stochastic Volatility. Manag. Sci. 54 (6) (2008)
Peter F. Christoffersen, Kris Jacobs
Which GARCH Model for Option Valuation? Manag. Sci. 50 (9) (2004)