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Asymmetry and long memory features in volatility : evidence from Korean stock market

Kang, Sang Hoon; Yoon, Seong-min - In: The Korean economic review 24 (2008) 2, pp. 383-412

Persistent link: https://www.econbiz.de/10003795500

Value-at-risk analysis for Asian emerging markets : asymmetry and fat tails in returns innovation

Kang, Sang Hoon; Yoon, Seong-min - In: The Korean economic review 50 (2009) 2, pp. 387-411

Persistent link: https://www.econbiz.de/10003926834

The global financial crisis and the integration of emerging stock markets in Asia

Kang, Sang Hoon; Yoon, Seong-min - In: Dae oe gyeong je yeon gu 15 (2011) 4, pp. 49-73

Persistent link: https://www.econbiz.de/10009426743

Index futures trading and asymmetric volatility : evidence from Asian stock markets

Kang, Sang Hoon; Yoon, Seong-min - In: The journal of the Korean economy 8 (2007) 2, pp. 273-293

Persistent link: https://www.econbiz.de/10009772044

Price and volatility transmission between ADRs and their underlying stocks : evidence from the Korean case

Kang, Sang Hoon; Yoon, Seong-min - In: Korea and the world economy 12 (2011) 1, pp. 99-116

Persistent link: https://www.econbiz.de/10009754257

Modeling and forecasting the volatility of petroleum futures prices

Kang, Sang Hoon; Yoon, Seong-min - In: Energy economics 36 (2013), pp. 354-362

Persistent link: https://www.econbiz.de/10009724686

Revisited return and volatility spillover effect in Korea

Kang, Sang Hoon; Yoon, Seong-min - In: Korea and the world economy 14 (2013) 1, pp. 121-145

Persistent link: https://www.econbiz.de/10010227761

Intraday price and volatility spillovers between Japanese and Korean stock markets

Kang, Sang Hoon; Yoon, Seong-min - In: Korea and the world economy 15 (2014) 2, pp. 185-207

Persistent link: https://www.econbiz.de/10010414245

Forecasting volatility of crude oil markets

Kang, Sang Hoon; Kang, Sang-mok; Yoon, Seong-min - In: Energy economics 31 (2009) 1, pp. 119-125

Persistent link: https://www.econbiz.de/10003803810

Price and Volatility Transmission between ADRs and Their Underlying Stocks : Evidence from the Korean Case

Kang, Sang Hoon - 2016

This study investigates the spillover effect of price returns and volatility between ADRs and their underlying Korean stocks, employing a Granger causality test and a bivariate GARCH model. First, the empirical results of Granger causality test suggest bi-directional transmission of price...

Persistent link: https://www.econbiz.de/10013000615

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