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Value-at-risk analysis for Asian emerging markets : asymmetry and fat tails in returns innovation

Kang, Sang Hoon; Yoon, Seong-min - In: The Korean economic review 50 (2009) 2, pp. 387-411

Persistent link: https://www.econbiz.de/10003926834

Index futures trading and asymmetric volatility : evidence from Asian stock markets

Kang, Sang Hoon; Yoon, Seong-min - In: The journal of the Korean economy 8 (2007) 2, pp. 273-293

Persistent link: https://www.econbiz.de/10009772044

Network interdependence and optimization of bank portfolios from developed and emerging Asia Pacific countries

Hernandez, Jose Arreola; Kang, Sang Hoon; McIver, Ron; … - In: Asia Pacific financial markets 28 (2021) 4, pp. 613-647

Persistent link: https://www.econbiz.de/10012697534

Sudden changes in variance and volatility persistence in Asian foreign exchange markets

Kang, Sang Hoon; Yoon, Seong-min - In: The journal of the Korean economy 11 (2010) 1, pp. 129-143

Persistent link: https://www.econbiz.de/10009778114

Exogenous shocks, dynamic correlations, and portfolio risk management for the Asian emerging and other global developed and emerging stock markets

Dong, Xiyong; Li, Changhong; Yoon, Seong-min - In: Applied economics 52 (2020) 43, pp. 4745-4764

Persistent link: https://www.econbiz.de/10012298738

What global economic factors drive emerging Asian stock market returns? : evidence from a dynamic model averaging approach

Dong, Xiyong; Yoon, Seong-min - In: Economic modelling 77 (2019), pp. 204-215

Persistent link: https://www.econbiz.de/10012198474

Contagion Effects and Volatility Impulse Responses between US and Asian Stock Markets

Kang, Sang Hoon - 2018

In this study, we investigated volatility transmission effects be-tween the US and six Asian markets — China, Hong Kong, Japan, Korea, Singapore, and Taiwan — using a bivariate GARCH-BEKK model. We also assessed the impact of shocks on stock market volatility using the volatility impulse...

Persistent link: https://www.econbiz.de/10012931900

The Global Financial Crisis and the Integration of Emerging Stock Markets in Asia

Kang, Sang Hoon - 2013

This study investigates the effects of volatility spillovers among five Asian stock markets (China, Hong Kong, Korea, Singapore, and Taiwan) and examines how the global financial crisis of 2008 has influenced volatility transmission among Asian stock markets. The results from a VAR(1)-bivariate...

Persistent link: https://www.econbiz.de/10013076925

Exogenous Shocks, Dynamic Correlations, and Portfolio Risk Management for the Asian Emerging and Other Global Developed and Emerging Stock Markets

Dong, Xiyong; Li, Changhong; Yoon, Seong-Min - 2023

This study examines the potential influence of exogenous shocks on time-varying correlations and portfolio strategies between the Asian emerging and other global stock markets including developed and other emerging markets. Using the ARMA-cDCC-FIEGARCH model with and without exogenous shocks,...

Persistent link: https://www.econbiz.de/10014351309