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Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation
Choe, Kwang-il; Choi, Pilsun; Nam, Kiseok; Vahid, Farshid - In: Pacific-Basin finance journal 20 (2012) 2, pp. 271-291
Persistent link: https://www.econbiz.de/10009488255
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Necessity of negative serial correlation for mean-reversion of stock prices
Choe, Kwang-Il; Nam, Kiseok; Vahid, Farshid - In: The quarterly review of economics and finance : journal … 47 (2007) 4, pp. 576-583
Persistent link: https://www.econbiz.de/10003541140
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Intertemporal risk-return tradeoff in the short-run
Marks, Joseph M.; Nam, Kiseok - In: Economics letters 172 (2018), pp. 81-84
Persistent link: https://www.econbiz.de/10012022059
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Asymmetric and leptokurtic distribution for heteroscedastic asset returns : the S[U]-normal distribution
Choi, Pilsun; Nam, Kiseok - In: Journal of empirical finance 15 (2008) 1, pp. 41-63
Persistent link: https://www.econbiz.de/10003692974
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State-dependent volatility feedback effect in the ICAPM
Kilic, Osman; Nam, Kiseok; O'Connor, Matthew L. - In: Finance research letters 59 (2024), pp. 1-10
Persistent link: https://www.econbiz.de/10014445185
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Predictable asset price dynamics, risk-return tradeoff, and investor behavior
Kilic, Osman; Marks, Joseph M.; Nam, Kiseok - In: Review of quantitative finance and accounting 59 (2022) 2, pp. 749-791
Persistent link: https://www.econbiz.de/10013459315
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Uncertain mean-variance portfolio model with inflation taking linear uncertainty distributions
Huang, Xiaoxia; Ma, Di; Choe, Kwang-Il - In: International review of economics & finance : IREF 87 (2023), pp. 203-217
Persistent link: https://www.econbiz.de/10014472066
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Buyers' and sellers' prices and administered behavior
Ross, Howard N.; Krausz, Joshua - In: The review of economics and statistics 68 (1986) 3, pp. 369-378
Persistent link: https://www.econbiz.de/10003608078