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A state-space model of diffusion-jump process with heteroscedasticity : estimating the daily flow of information in stock prices
Kim, Myung-jig - In: Kyŏngje-yŏn'gu 16 (1995) 2, pp. 287-305
Persistent link: https://www.econbiz.de/10001205483
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Jumps and time-varying correlations in daily foreign exchange rates
Chang, Kook-hyun; Kim, Myung-jig - In: Journal of international money and finance 20 (2001) 5, pp. 611-637
Persistent link: https://www.econbiz.de/10001612879
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Volatility and jump risk in Korean financial markets
Kim, Myung-jig - In: Journal of economic research 1 (1996) 2, pp. 349-368
Persistent link: https://www.econbiz.de/10001222454
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Why are stock returns and volatility negatively correlated?
Bae, Jinho; Kim, Chang-jin; Nelson, Charles R. - In: Journal of empirical finance 14 (2007) 1, pp. 41-58
Persistent link: https://www.econbiz.de/10003416062
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Pricing stock market volatility : does it matter whether the volatility is related to the business cycle?
Kim, Yunmi; Nelson, Charles R. - In: Journal of financial econometrics : official journal of … 12 (2014) 2, pp. 307-328
Persistent link: https://www.econbiz.de/10010351545
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Is there a positive relationship between stock market volatility and the equity premium?
Kim, Chang-jin; Morley, James C.; Nelson, Charles R. - In: Journal of money, credit and banking : JMCB 36 (2004) 3,1, pp. 339-360
Persistent link: https://www.econbiz.de/10002144585
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Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?
Kim, Chang-jin; Morley, James C.; Nelson, Charles R. - In: Journal of empirical finance 8 (2001) 4, pp. 403-426
Persistent link: https://www.econbiz.de/10001607064
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The less-volatile US economy : a Bayesian investigation of timing, breadth, and potential explanations
Kim, Chang-jin; Nelson, Charles R.; Piger, Jeremy Max - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 1, pp. 80-93
Persistent link: https://www.econbiz.de/10001891451
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The less volatile U.S. economy : a bayesian investigation of timing, Breadth, and potential explanations
Kim, Chang-jin (contributor); Nelson, Charles R. (contributor) - 2003 - [Elektronische Ressource].rev
Persistent link: https://www.econbiz.de/10001965242
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Why were changes in the federal funds rate smaller in the 1990s?
Basistha, Arabinda; Startz, Richard - In: Journal of applied econometrics 19 (2004) 3, pp. 339-354
Persistent link: https://www.econbiz.de/10002102161