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Can asymmetric conditional volatility imply asymmetric tail dependence?

Kim, Jong-Min; Jung, Hojin - In: Economic modelling 64 (2017), pp. 409-418

Persistent link: https://www.econbiz.de/10011761287

Linear time-varying regression with Copula-DCC-GARCH models for volatility

Kim, Jong-Min; Jung, Hojin - In: Economics letters 145 (2016), pp. 262-265

Persistent link: https://www.econbiz.de/10011618857

Dependence structure between oil prices, exchange rates, and interest rates

Kim, Jong-Min; Jung, Hojin - In: The energy journal 39 (2018) 2, pp. 259-280

Persistent link: https://www.econbiz.de/10011825635

Estimating yield spreads volatility using GARCH-type models

Kim, Jong-Min; Kim, Dong H.; Jung, Hojin - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-10

Persistent link: https://www.econbiz.de/10012822078

The changing dynamics of board independence : a copula based quantile regression approach

Kim, Jong-Min; Cho, Chan Ho; Jun, Chulhee; Kim, Won Yong - In: Journal of risk and financial management : JRFM 13 (2020) 11/254, pp. 1-21

This paper examines the effect of board characteristics, especially board independence, on firm performance from a dynamic perspective through copula-based quantile regression approaches, which allow us to focus on changes at different points in the distribution of board characteristics. We find...

Persistent link: https://www.econbiz.de/10012389856