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The role of time-varying jump risk premia in pricing stock index options

Yun, Jaeho - In: Journal of empirical finance 18 (2011) 5, pp. 833-846

Persistent link: https://www.econbiz.de/10009492529

Out-of-sample density forecasts with affine jump diffusion models

Yun, Jaeho - In: Journal of banking & finance 47 (2014), pp. 74-87

Persistent link: https://www.econbiz.de/10010506503

A re-examination of the predictability of stock returns and cash flows via the decomposition of VIX

Yun, Jaeho - In: Economics letters 186 (2020), pp. 1-5

Persistent link: https://www.econbiz.de/10012500329

Density forecast evaluations via a simulation-based dynamic probability integral transformation

Yun, Jaeho - In: Journal of financial econometrics 18 (2020) 1, pp. 24-58

Persistent link: https://www.econbiz.de/10012180381

Bond risk premia in a small open economy with volatile capital flows : the case of Korea

Yun, Jaeho - In: Journal of international money and finance 93 (2019), pp. 223-243

Persistent link: https://www.econbiz.de/10012138637

International linkages of term structures : US and Korea Treasury bond yields

Yun, Jaeho - In: Journal of international money and finance 138 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014478198

Measuring systemic risk in the Korean banking sector via dynamic conditional correlation models

Yun, Jaeho; Moon, Hyejung - In: Pacific-Basin finance journal 27 (2014), pp. 94-114

Persistent link: https://www.econbiz.de/10010499711

Essays On The Specification Testing For Dynamic Asset Pricing Models

Yun, Jaeho - 2009

This dissertation consists of three essays on the subjects of specification testing on dynamic asset pricing models. In the first essay (with Yongmiao Hong), "A Simulation Test for ContinuousTime Models", we propose a simulation method to implement Hong and Li's (2005) s transition density-based...

Persistent link: https://www.econbiz.de/10009466206

SRISK 모형을 이용한 은행부문 시스템적 리스크 분석 : 데이터빈도별 성과 분석 (Performance Analysis of the Systemic Risk Measures with Different Data Frequencies)...

Yun, Jaeho - 2019

Korean Abstract: 본 연구는 Brownlees and Engle(2012)이 제안한 SRISK 모형을 이용하여 우리나라 은행의 시스템적 리스크를 분석하였다. 본 모형은 주가수익률 등 시장정보를 바탕으로 Engle(2002)의 DCC(dynamic conditional correlation) 모형을...

Persistent link: https://www.econbiz.de/10012901365

Measuring Systemic Risk in the Korean Banking Sector via Dynamic Conditional Correlation Models

Yun, Jaeho - 2015

In this paper we study systemic risks in the Korean banking sector by using two famous systemic risk measures – the MES (marginal expected shortfall) and CoVaR. To compute both measures we employ Engle's dynamic conditional correlation model. Our empirical analysis shows, first, that although...

Persistent link: https://www.econbiz.de/10013026041