Kris Jacobs

Kris Jacobs is Professor at the C.T. Bauer College of Business at the University of Houston.

Holding a Ph.D. in Economics from the University of Pittsburgh, his research interests include asset pricing, econometrics and the relationship between asset returns and macroeconomic variables.

Academic Appointments

C.T. Bauer College of Business, University of Houston

• C.T. Bauer Chair in Finance 2019-present
• Bauer Professor of Finance 2010-2019
• Professor of Finance 2009-2010

Desautels Faculty of Management, McGill University

• Associate Professor of Finance 2001-2010
• Assistant Professor of Finance 1995-2001

Tilburg University

• Visiting Professor of Finance 2007-2013

Education

• University of Pittsburgh, M.A. 1992, Ph.D. 1995
• Katholieke Universiteit Leuven, Belgium, B.A., 1988, M.A. 1990

Publications in Refereed Journals

• Jacobs, Kris, Yu Li, and Craig Pirrong, “Supply, Demand, and Risk Premiums in Electricity Markets”, forthcoming, Journal of Banking and Finance
• Hu, Guanglian, Kris Jacobs, and Sang Byung Seo, “Characterizing the Variance Risk Premium in ConsumptionBased Models”, forthcoming, Review of Asset Pricing Studies
• Christoffersen, Peter, Kris Jacobs, and Xuhui Pan (2022), “The State Price Density Implied by Crude Oil Futures and Option Prices”, Review of Financial Studies 35(2), 1064-1103
• Doshi, Hitesh, Kris Jacobs, and Rui Liu (2021), “Information in the Term Structure: A Forecasting Perspective”, Management Science 67(8), 4643-5300
• Christoffersen, Peter, Matthieu Fournier, Kris Jacobs, and Mehdi Karoui (2021), “Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk”, Journal of Financial and Quantitative Analysis 56(1), 65-91
• Choi, Yong Seok, Hitesh Doshi, Kris Jacobs, and Stuart Turnbull (2020) “Pricing Structured Products with Economic Covariates”, Journal of Financial Economics 135, 754-773
• Fournier, Mathieu, and Kris Jacobs (2020), “A Tractable Framework for Option Pricing with Dynamic Market Maker Inventory and Wealth”, Journal of Financial and Quantitative Analysis 55, 1117-1162
• Hu, Guanglian and Kris Jacobs (2020), “Volatility and Expected Option Returns”, Journal of Financial and Quantitative Analysis 55, 1025-1060
• Doshi, Hitesh, Kris Jacobs, Praveen Kumar, and Ramon Rabinovitch (2019), “Leverage and the CrossSection of Equity Returns”, Journal of Finance 74, 1431-1471
• Doshi, Hitesh, Kris Jacobs, and Rui Liu (2018), “Macroeconomic Determinants of the Term Structure: Long-Run and Short-Run Dynamics”, Journal of Empirical Finance 48, 99-122
• Christoffersen, Peter, Ruslan Goyenko, Kris Jacobs, and Mehdi Karoui (2018), “Illiquidity Premia in Equity Option Markets”, Review of Financial Studies 31, 811-851
• Babaoglu, Kadir, Peter Christoffersen, Steve Heston and Kris Jacobs (2018), “Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels”, Review of Asset Pricing Studies 8, 183- 231
• Christoffersen, Peter, Mathieu Fournier, and Kris Jacobs (2018), “The Factor Structure in Equity Options”, Review of Financial Studies 31, 595-637
• Christoffersen, Peter, Kris Jacobs, Xisong Jin, and Hugues Langlois (2018), “Dynamic Dependence and Diversification in Corporate Credit”, Review of Finance 22, 521-560
• Doshi, Hitesh, Kris Jacobs, and Virgilio Zurita (2017), “Pricing Credit Default Swaps with Observable Covariates”, Review of Asset Pricing Studies 7, 43-80
• Christoffersen, Peter, Kris Jacobs, and Bingxin Li (2016), “Dynamic Jump Intensities and Risk Premiums in Crude Oil Futures and Options Markets”, Journal of Derivatives 24, 8-30
• Amaya, Diego, Peter Christoffersen, Kris Jacobs, and Aurelio Vasquez (2015), “Does Realized Skewness Predict the Cross-Section of Equity Returns?” Journal of Financial Economics 118(1), 135-167
• Christoffersen, Peter, Christian Dorion, Kris Jacobs, and Lotfi Karoui (2014), “Nonlinear Kalman Filtering in Affine Term Structure Models”, Management Science 60, 2248-2268
• Christoffersen, Peter, Vihang Errunza, Kris Jacobs, and Xisong Jin (2014), “Correlation Dynamics and International Diversification Benefits”, International Journal of Forecasting 30, 807-824
• Elkamhi, Redouane, Kris Jacobs, and Xuhui Pan (2014), “The Cross-Section of Recovery Rates and Default Probabilities Implied by Credit Default Swap Spreads”, Journal of Financial and Quantitative Analysis 49, 193-220
• Christoffersen, Peter, Bruno Feunou, Kris Jacobs, and Nour Meddahi (2014), “The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation”, Journal of Financial and Quantitative Analysis 49, 663-697
• Christoffersen, Peter, Steve Heston and Kris Jacobs (2013), “Capturing Option Anomalies with a VarianceDependent Pricing Kernel”, Review of Financial Studies 26, 1963-2006

• Doshi, Hitesh, Jan Ericsson, Kris Jacobs, and Stuart Turnbull (2013), “Pricing Credit Default Swaps with Observable Covariates”, Review of Financial Studies 26, 2049-2094

• Christoffersen, Peter, Kris Jacobs, and Chayawat Ornthanalai (2013), “GARCH Option Valuation: Theory and Evidence”, Journal of Derivatives 21 (2), p. 8-41

• Chang, Bo Young, Peter Christoffersen and Kris Jacobs (2013), “Market Skewness Risk and the CrossSection of Stock Returns”, Journal of Financial Economics 107, p. 46-68

• Jacobs, Kris, Stephane Pallage and Michel Robe (2013), “Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data”, Journal of Banking and Finance 37, p. 378-388

• Christoffersen, Peter, Vihang Errunza, Kris Jacobs, and Hugues Langlois (2012), “Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach”, Review of Financial Studies 25, p. 3711-3751

• Christoffersen, Peter, Kris Jacobs, and Chayawat Ornthanalai (2012), “Dynamic Jump Intensities and Risk Premiums: Evidence from S&P500 Returns and Options”, Journal of Financial Economics 106, p. 447-472

• Chang, Bo Young, Peter Christoffersen, Kris Jacobs and Gregory Vainberg (2012), “Option-Implied Measures of Equity Risk”, Review of Finance 16, p.385-428

• Christoffersen, Peter, Kris Jacobs and Karim Mimouni (2010), “Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns and Option Prices”, Review of Financial Studies 23, p. 3141-3189.

• Christoffersen, Peter, Christian Dorion, Kris Jacobs and Yintian Wang (2010), “Volatility Components: Affine Restrictions and Non-normal Innovations”, Journal of Business and Economic Statistics 28, p. 483- 502.

• Christoffersen, Peter, Redouane Elkamhi, Bruno Feunou and Kris Jacobs (2010), “Option Valuation with Conditional Heteroskedasticity and Non-Normality”, Review of Financial Studies 23 p. 2139-2183.

• Christoffersen, Peter, Steve Heston and Kris Jacobs (2009), “The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well”, Management Science, p. 1914-1932

• Jacobs, Kris and Lotfi Karoui (2009), “Conditional Volatility in Affine Term Structure Models: Evidence from Treasury and Swap Markets”, Journal of Financial Economics, p. 288-318.

• Ericsson, Jan, Kris Jacobs and Rodolfo Oviedo-Helfenberger (2009), “The Determinants of Credit Default Swap Premia”, Journal of Financial and Quantitative Analysis 44, p. 109-132.

• Christoffersen, Peter, Kris Jacobs, Chayawat Ornthanalai and Yintian Wang (2008), “Option Valuation with Long-run and Short-run Volatility Components”, Journal of Financial Economics 90, 272-297

• Jacobs, Kris and Xiaofei Li (2008), “Modeling the Dynamics of Credit Spreads with Stochastic Volatility”, Management Science 54, p. 1176-1188.

• Duan, Jin-Chuan and Kris Jacobs (2008), “Is Long Memory Necessary? An Empirical Investigation of Nonnegative Interest rate Processes”, Journal of Empirical Finance 15, p. 567-581.

• Jacobs, Kris (2007), “Consumption-Leisure Nonseparabilities in Asset Market Participants Preferences”, Journal of Monetary Economics 54, p. 2131-2138.

• Christoffersen, Peter, Heston, Steve and Kris Jacobs (2006), “A Dynamic Model of Option Skewness”, Journal of Econometrics 131, p. 253-284.

• Jacobs, Kris and Kevin Wang (2004), “Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns”, Journal of Finance 59, p. 2211-2252.

• Christoffersen, Peter and Kris Jacobs (2004), “Which GARCH Model for Option Valuation?”, Management Science 50, p. 1204-1221.

• Christoffersen, Peter and Kris Jacobs (2004), “The Importance of the Loss Function in Option Valuation”, Journal of Financial Economics 72, p. 291-318.

• Jacobs, Kris (2000), “Aggregate Consumption and the Predictability of Asset Returns”, Journal of Business and Economic Statistics 18, p. 58-76.

• Ham, John and Kris Jacobs (2000), “Testing for Full Insurance Using Exogenous Information”, Journal of Business and Economic Statistics 18, p. 387-397.

• Jacobs, Kris (1999), “Incomplete Markets and Security Prices: Do Asset-Pricing Puzzles Result from Aggregation Problems?”, Journal of Finance 54, p. 123-164.

• Duan, Jin-Chuan and Kris Jacobs (1996), “A Simple Long-Memory Equilibrium Interest Rate Model”, Economics Letters 53, p. 317-321.

Book Chapter

• Chang, Bo Young, Peter Christoffersen and Kris Jacobs (2013), “Forecasting with Option-Implied Information”, in: G. Elliott and A. Timmermann, Handbooks in Economics: Economic Forecasting, Volume 2A, North-Holland, p. 581-648