Narrow search
Showing 1 - 10 of 25
Cover Image
FORECASTING VOLATILITY AND OPTION PRICES OF THE S&P 500 INDEX
Noh, Jaesun; Engle, Robert F.; Kane, Alex - In: The journal of derivatives : the official publication … 2 (1994) 1, pp. 17-30
Persistent link: https://www.econbiz.de/10006002342
Cover Image
A TEST OF EFFICIENCY FOR THE S&P 500 INDEX OPTION MARKET USING VARIANCE FORECASTS
Noh, Jaesun; Engle, Robert F.; Kane, Alex - 1993
Persistent link: https://www.econbiz.de/10007015559
Cover Image
INDEX-OPTION PRICING WITH STOCHASTIC VOLATILITY AND THE VALUE OF ACCURATE VARIANCE FORECASTS
Engle, Robert F.; Kane, Alex; Noh, Jaesun - 1993
Persistent link: https://www.econbiz.de/10007015560
Cover Image
PORTFOLIO MANAGEMENT - Geometric or Arithmetic Mean: A Reconsideration - Biases that result from using either past mean return for forecasting may paint too rosy a view of future p...
Jacquier, Eric; Kane, Alex; Marcus, Alan J. - In: Financial analysts' journal : FAJ 59 (2003) 6, pp. 46-53
Persistent link: https://www.econbiz.de/10006250406
Cover Image
THE PROFESSION - The Valuation of Security Analysis - Active portfolio management is commonly partitioned into two types of activities: Market timing, which requires forecasts of b...
Kane, Alex; Marcus, Alan J.; Trippi, Robert R. - In: The journal of portfolio management : a publication of … 25 (1999) 3, pp. 25-38
Persistent link: https://www.econbiz.de/10007340564
Cover Image
The relationship between R&D concentration and industry R&D intensity: a simple model and some evidence
Lee, Chang-Yang; Noh, Jaesun - In: Economics of innovation and new technology 18 (2009) 4, pp. 353-368
Persistent link: https://www.econbiz.de/10008249986
Cover Image
The relationship between R&D concentration and industry R&D intensity: a simple model and some evidence
Lee, Chang-Yang; Noh, Jaesun - In: Economics of innovation and new technology 18 (2009) 3-4, pp. 353-368
Persistent link: https://www.econbiz.de/10008266137
Cover Image
The role of stochastic volatility and return jumps: reproducing volatility and higher moments in the KOSPI 200 returns dynamics
Kim, In Joon; Baek, In-Seok; Noh, Jaesun; Kim, Sol - In: Review of quantitative finance and accounting 29 (2007) 1, pp. 69-110
Persistent link: https://www.econbiz.de/10007765966
Cover Image
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/10010094095
Cover Image
Forecasting volatility of futures market: the S&P 500 and FTSE 100 futures using high frequency returns and implied volatility <sup>1<-sup>
Noh, Jaesun; Kim, Tae-Hwan - In: Applied economics 38 (2006) 4, pp. 395-414
Persistent link: https://www.econbiz.de/10007635730