| The determinants of credit default swap premia J Ericsson, K Jacobs, R Oviedo Journal of financial and quantitative analysis 44 (1), 109-132, 2009 | 852 | 2009 |
| The shape and term structure of the index option smirk: Why multifactor stochastic volatility models work so well P Christoffersen, S Heston, K Jacobs Management Science 55 (12), 1914-1932, 2009 | 536 | 2009 |
| Is the potential for international diversification disappearing? A dynamic copula approach P Christoffersen, V Errunza, K Jacobs, H Langlois The Review of financial studies 25 (12), 3711-3751, 2012 | 510 | 2012 |
| Market skewness risk and the cross section of stock returns BY Chang, P Christoffersen, K Jacobs Journal of Financial Economics 107 (1), 46-68, 2013 | 423 | 2013 |
| Does realized skewness predict the cross-section of equity returns? D Amaya, P Christoffersen, K Jacobs, A Vasquez Journal of Financial Economics 118 (1), 135-167, 2015 | 397 | 2015 |
| The importance of the loss function in option valuation P Christoffersen, K Jacobs Journal of Financial Economics 72 (2), 291-318, 2004 | 350 | 2004 |
| Option valuation with long-run and short-run volatility components P Christoffersen, K Jacobs, C Ornthanalai, Y Wang Journal of Financial Economics 90 (3), 272-297, 2008 | 337 | 2008 |
| Which GARCH model for option valuation? P Christoffersen, K Jacobs Management science 50 (9), 1204-1221, 2004 | 311 | 2004 |
| Volatility dynamics for the S&P500: Evidence from realized volatility, daily returns, and option prices P Christoffersen, K Jacobs, K Mimouni The Review of Financial Studies 23 (8), 3141-3189, 2010 | 306 | 2010 |
| Option valuation with conditional skewness P Christoffersen, S Heston, K Jacobs Journal of Econometrics 131 (1-2), 253-284, 2006 | 296 | 2006 |
| Capturing option anomalies with a variance-dependent pricing kernel P Christoffersen, S Heston, K Jacobs The Review of Financial Studies 26 (8), 1963-2006, 2013 | 259 | 2013 |
| Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options P Christoffersen, K Jacobs, C Ornthanalai Journal of Financial Economics 106 (3), 447-472, 2012 | 200 | 2012 |
| Option-implied measures of equity risk BY Chang, P Christoffersen, K Jacobs, G Vainberg Review of Finance 16 (2), 385-428, 2012 | 197 | 2012 |
| Option valuation with conditional heteroskedasticity and nonnormality P Christoffersen, R Elkamhi, B Feunou, K Jacobs The Review of Financial Studies 23 (5), 2139-2183, 2010 | 174 | 2010 |
| Idiosyncratic consumption risk and the cross section of asset returns K Jacobs, KQ Wang The Journal of Finance 59 (5), 2211-2252, 2004 | 147 | 2004 |
| Illiquidity premia in the equity options market P Christoffersen, R Goyenko, K Jacobs, M Karoui The Review of Financial Studies 31 (3), 811-851, 2018 | 141 | 2018 |
| The economic value of realized volatility: Using high-frequency returns for option valuation P Christoffersen, B Feunou, K Jacobs, N Meddahi Journal of Financial and Quantitative Analysis 49 (3), 663-697, 2014 | 117 | 2014 |
| The factor structure in equity options P Christoffersen, M Fournier, K Jacobs The Review of Financial Studies 31 (2), 595-637, 2018 | 91 | 2018 |
| Volatility components, affine restrictions, and nonnormal innovations P Christoffersen, C Dorion, K Jacobs, Y Wang Journal of Business & Economic Statistics 28 (4), 483-502, 2010 | 91 | 2010 |
| Nonlinear Kalman filtering in affine term structure models P Christoffersen, C Dorion, K Jacobs, L Karoui Management Science 60 (9), 2248-2268, 2014 | 87 | 2014 |
Jan EricssonMcGill UniversityVerified email at mcgill.ca
