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Option market activity
Lakonishok, Josef; Lee, Inmoo; Pearson, Neil D.; … - In: The review of financial studies 20 (2007) 3, pp. 813-857
Persistent link: https://www.econbiz.de/10003554637
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The information content of OTC individual put option implied volatility for credit default swap spreads
Park, Yuen Jung; Kim, Tong Suk - In: Asia-Pacific journal of financial studies 41 (2012) 4, pp. 491-516
Persistent link: https://www.econbiz.de/10009618798
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The linkage between the options and credit default swap markets during the subprime mortgage crisis
Kim, Tong Suk; Park, Yuen Jung; Noh, Jaesun - In: The journal of futures markets 33 (2013) 6, pp. 518-554
Persistent link: https://www.econbiz.de/10009756568
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Changes in market uncertainty and profitability of idiosyncratic volatility anomaly in Korea
Kim, Jung-Mu; Park, Yuen Jung; Ok, Young-Kyung - In: Journal of international trade & commerce 15 (2019) 6, pp. 69-78
Persistent link: https://www.econbiz.de/10012591064
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Investor sentiment and credit default swap spreads during the global financial crisis
Lee, Jeehye; Kim, Sol; Park, Yuen Jung - In: The journal of futures markets 37 (2017) 7, pp. 660-688
Persistent link: https://www.econbiz.de/10011950863
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Macroeconomic conditions and credit default swap spread changes
Kim, Tong Suk; Park, Jae Won; Park, Yuen Jung - In: The journal of futures markets 37 (2017) 8, pp. 766-802
Persistent link: https://www.econbiz.de/10011950882
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Skewness versus Kurtosis : implications for pricing and hedging options
Kim, Sol; Lee, Geul; Park, Yuen Jung - In: Asia-Pacific journal of financial studies 46 (2017) 6, pp. 903-933
Persistent link: https://www.econbiz.de/10011865909
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The impacts of overseas market shocks on the CDS-option basis
Park, Yuen Jung; Kutan, Ali Mustafa; Ryu, Doojin - In: The North American journal of economics and finance : a … 47 (2019), pp. 622-636
Persistent link: https://www.econbiz.de/10012120141
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Cross-sectional expected returns and predictability in the Korean stock market
Kim, Toyoung; Kim, Tong Suk; Park, Yuen Jung - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 15, pp. 3763-3784
Persistent link: https://www.econbiz.de/10012423689
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Contagion between liquid and illiquid assets during the financial crisis: evidence from the US credit derivative market
Kim, Jungmu; Park, Yuen Jung - In: Journal of derivatives and quantitative studies 28 (2020) 3, pp. 107-122
This study aims to investigate the existence of contagion between liquid and illiquid assets in the credit default swap (CDS) market around the recent financial crisis. The authors perform analyses based on vector autoregression model and the dynamic conditional correlation model. The estimation...
Persistent link: https://www.econbiz.de/10012592651