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Markov Chain Monte Carlo with particle filtering

Lee, Yongwoong; Poon, Ser-Huang - In: Handbook of Research Methods and Applications in …

This impressive Handbook presents the quantitative techniques that are commonly employed in empirical finance research together with real-world, state-of-the-art research examples.

Persistent link: https://www.econbiz.de/10011178494

Accuracy of mortgage portfolio risk forecasts during financial crises

Lee, Yong Woong; Rösch, Daniel; Scheule, Harald - In: European journal of operational research : EJOR 249 (2016) 2, pp. 440-456

Persistent link: https://www.econbiz.de/10011436707

Risk reduction in a time series momentum trading strategy

Hong, KiHoon; Park, KiBong; Lee, Yong Woong - In: The journal of risk model validation 10 (2016) 4, pp. 55-70

Persistent link: https://www.econbiz.de/10011587716

Optimal look-back period for adequate and less procyclical credit capital forecasts

Lee, Yong Woong; Cho, Yongbok; Yang, Kisung - In: Applied economics 53 (2021) 46, pp. 5337-5353

Persistent link: https://www.econbiz.de/10012626877

Sovereign risk contagion in East Asia : a mixture of time-varying copulas approach

Lee, Yong Woong; Hong, KiHoon; Yang, Kisung - In: Emerging markets finance & trade : a journal of the … 54 (2018) 7/8/9, pp. 1513-1537

Persistent link: https://www.econbiz.de/10012123613

Systematic credit risk in securitised mortgage portfolios

Lee, Yong Woong; Rösch, Daniel; Scheule, Harald - In: Journal of banking & finance 122 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10012659310

Modeling diversification and spillovers of loan portfolios' losses by LHP approximation and copula

Lee, Yong Woong; Yang, Kisung - In: International review of financial analysis 66 (2019), pp. 1-14

Persistent link: https://www.econbiz.de/10012208950

Asymmetric asset correlation in credit portfolios

Cho, Yongbok; Lee, Yong Woong - In: Finance research letters 49 (2022), pp. 1-6

Persistent link: https://www.econbiz.de/10013478636

Estimating dynamic copula dependence using intraday data

Grossmass, Lidan; Poon, Ser-Huang - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 4, pp. 501-529

Persistent link: https://www.econbiz.de/10011339412

The reality of stock market jumps diversification

Chen, Mark Ke; Vitiello, Luiz; Hyde, Stuart; Poon, Ser-Huang - In: Journal of international money and finance 86 (2018), pp. 171-188

Persistent link: https://www.econbiz.de/10012000491