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Estimating risk aversion using individual-level survey data
Kim, Young-il; Lee, Jungmin - In: The Korean economic review 28 (2012) 2, pp. 221-239
Persistent link: https://www.econbiz.de/10010192143
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Modelling emerging market risk premia using higher moments
Hwang, Soosung; Satchell, Stephen - 1998
Persistent link: https://www.econbiz.de/10000656425
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An integrated risk measure with application to UK asset allocation
Damant, David C.; Hwang, Soosung; Satchell, Stephen - 1997
Persistent link: https://www.econbiz.de/10000640903
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A behavioral explanation of the value anomaly based on time-varying return reversals
Hwang, Soosung; Rubesam, Alexandre - In: Journal of banking & finance 37 (2013) 7, pp. 2367-2377
Persistent link: https://www.econbiz.de/10009760647
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Calculating the misspecification in beta from using a proxy for the market portfolio
Hwang, Soosung; Satchell, Stephen - In: Applied financial economics 12 (2002) 11, pp. 771-781
Persistent link: https://www.econbiz.de/10001711916
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Market risk and the concepts of fundamental volatility : measuring volatility across asset and derivative markets and testing for the impact of derivatives markets on financial mar...
Hwang, Soosung; Satchell, Stephen - In: Journal of banking & finance 24 (2000) 5, pp. 759-785
Persistent link: https://www.econbiz.de/10001467848
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Modelling emerging market risk premia using higher moments
Hwang, Soosung; Satchell, Stephen - In: International journal of finance & economics : IJFE 4 (1999) 4, pp. 271-296
Persistent link: https://www.econbiz.de/10001447124
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Exponential risk measure with application to UK asset allocation
Satchell, Stephen; Damant, David C.; Hwang, Soosung - In: Applied mathematical finance 7 (2000) 2, pp. 127-152
Persistent link: https://www.econbiz.de/10001563801
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The Effects of Structural Breaks in ARCH and GARCH Parameters on Persistence of GARCH Models
Hwang, Soosung; Valls Pereira, Pedro L. - 2009
We show that persistence of conditional volatility in large samples could be exaggerated by the existence of structural breaks in the ARCH and GARCH parameters. Our results suggest that extreme persistence frequently observed in index volatility does not necessarily indicate the same level of...
Persistent link: https://www.econbiz.de/10014214849
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The Effects of Structural Breaks in Arch and GARCH Parameters on Persistence of GARCH Models
Hwang, Soosung; Valls Pereira, Pedro L. - 2004
We show that persistence of conditional volatility in large samples could be exaggerated by the existence of structural breaks in the ARCH and GARCH parameters. Our results suggest that extreme persistence frequently observed in index volatility does not necessarily indicate the same level of...
Persistent link: https://www.econbiz.de/10014068444