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False discoveries in volatility timing of mutual funds

Kim, Sangbae; In, Francis Haeuck - In: Journal of banking & finance 36 (2012) 7, pp. 2083-2094

Persistent link: https://www.econbiz.de/10009629677

The influence of foreign stock markets and macroeconomic news announcements on Australian financial markets

Kim, Sangbae; In, Francis Haeuck - In: Pacific-Basin finance journal 10 (2002) 5, pp. 571-582

Persistent link: https://www.econbiz.de/10001716116

The effect of initial margin on long-run and short-run volatilities in Japan

Kim, Sangbae; Jung, Taehun - In: Journal of East Asian economic integration 17 (2013) 3, pp. 311-332

Persistent link: https://www.econbiz.de/10010197020

Volatility spillovers across international swap markets : the US, Japan, and the UK

In, Francis Haeuck - In: Journal of international money and finance 26 (2007) 3, pp. 329-341

Persistent link: https://www.econbiz.de/10003441989

The Effect of Initial Margin on Long-Run and Short-Run Volatilities in Japan

Kim, Sangbae - 2016

This paper examines the effect of initial margin requirements on long-run and short-run volatilities in the Japanese stock market using the Component GARCH model. Our empirical results show that when we do not divide the margin requirement into positive and negative changes, increasing margin...

Persistent link: https://www.econbiz.de/10013007134

Dynamic interaction and valuation of quality yen Eurobonds in a multivariate EGARCH framework

Batten, Jonathan A.; In, Francis Haeuck - In: Applied financial economics 16 (2006) 12, pp. 881-892

Persistent link: https://www.econbiz.de/10003377842

On timing ability in Australian managed funds

In, Francis Haeuck; Kim, Sangbea; Ji, Philip Inyeob - In: Australian journal of management 39 (2014) 1, pp. 92-106

Persistent link: https://www.econbiz.de/10010353549

The impact of a new term auction facility on Libor–OIS spreads and volatility transmission between money and mortgage markets during the subprime crisis

In, Francis Haeuck; Cui, Jin; Maharaj, Elizabeth Ann - In: Journal of international money and finance 31 (2012) 5, pp. 1106-1125

Persistent link: https://www.econbiz.de/10009671973

Modeling volatility and changes in the swap spread

In, Francis Haeuck; Brown, Rob; Fang, Victor - In: International review of financial analysis 12 (2003) 5, pp. 545-561

Persistent link: https://www.econbiz.de/10001797475

Dynamic interdependence and volatility transmission of Asian stock markets : evidence from the Asian crisis

In, Francis Haeuck (contributor) - In: International review of financial analysis 10 (2001) 1, pp. 87-96

Persistent link: https://www.econbiz.de/10001573051