Search Results - person:"Kwon, Tae Yeon"

Feature importance in linear models with ensemble machine learning : a study of the Fama and French five-factor model

Kwon, Tae Yeon - In: Finance research letters 71 (2025), pp. 1-7

Persistent link: https://www.econbiz.de/10015198423

Tracking the size of the estimation window in time-series data

Kwon, Tae Yeon - In: Data Technologies and Applications 58 (2024) 5, pp. 768-786

Purpose This paper introduces a novel method, Variance Rule-based Window Size Tracking (VR-WT), for deriving a sequence of estimation window sizes. This approach not only identifies structural change points but also ascertains the optimal size of the estimation window. VR-WT is designed to...

Persistent link: https://www.econbiz.de/10015342731

Industry specific defaults

Kwon, Tae Yeon; Lee, Yoonjung - In: Journal of empirical finance 45 (2018), pp. 45-58

Persistent link: https://www.econbiz.de/10012102441

Kwon, Tae Yeon - In: The journal of risk model validation 10 (2016) 3, pp. 21-48

Persistent link: https://www.econbiz.de/10011587693

Three essays on credit risk models and their Bayesian estimation

Kwon, Tae Yeon - 2012

Persistent link: https://www.econbiz.de/10011819064

Particle filtering of volatility dynamics for KOSPI200 and its sequential prediction

Kwon, Tae Yeon - In: Journal of Forecasting 37 (2018) 7, pp. 720-728

Persistent link: https://www.econbiz.de/10012082007