We study structural models of stochastic discount factors and explore alternative methods of estimating such models using data on macroeconomic risk and asset returns. Particular attention is devoted to recursive utility models in which risk aversion can be modified without altering...

We study structural models of stochastic discount factors and explore alternative methods of estimating such models using data on macroeconomic risk and asset returns. Particular attention is devoted to recursive utility models in which risk aversion can be modified without altering...

We examine whether the relationship between market volatility and network properties in the low-frequency level can be applied to the high-frequency level. For the analysis, we use the minimum spanning tree (MST) method constructed from intraday Korean stock market data. The results show that...

This paper develops a general equilibrium model to study the impact of aggregate fluctuations in idiosyncratic volatility that incorporates the endogenous determination of investment opportunities. By making investment options more valuable, an increase in volatility encourages the creation of...

Samsung Card Lending Model (SCLM) analyzes cash flow in individual accounts and measures the level of company-wide risk. Serving as a risk and portfolio management model in the consumer lending business, the main features of SCLM are as follows. Default ratios such as intrinsic balance default...

Blue light has outstanding transmission characteristics in the sea, and is known to cause the most sensitive visual response in common squid Todarodes pacificus. Application of a light emitting diode (LED) that can efficiently emit monochromatic light is expected to bring enormous energy...

Microalgae have garnered interest for the production of valuable molecules ranging from therapeutic proteins to biofuels. However, microalgae also are associated with the considerable problem of phytoplankton bloom. In this study, we demonstrated algal growth using Isochrysis galbana as a model...