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The instability of the Pearson correlation coefficient in the presence of coincidental outliers

Kim, Yunmi; Kim, Tae-hwan; Ergün, Tolga - In: Finance research letters 13 (2015), pp. 243-257

Persistent link: https://www.econbiz.de/10011552545

Testing for structural breaks in return-based style regression models

Kim, Yunmi; Stone, Douglas; Kim, Tae-hwan - In: Financial markets and portfolio management 35 (2021) 1, pp. 61-76

Persistent link: https://www.econbiz.de/10012495896

Robust estimation of covariance and its application to portfolio optimization

Huo, Lijuan; Kim, Tae-Hwan; Kim, Yunmi - In: Finance Research Letters 9 (2012) 3, pp. 121-134

Outliers can have a considerable influence on the conventional measure of covariance, which may lead to a misleading understanding of the comovement between two variables. Both an analytical derivation and Monte Carlo simulations show that the conventional measure of covariance can be heavily...

Persistent link: https://www.econbiz.de/10010595304

Is the backward-looking component important in a new Keynesian Phillips curve?

Kim, Chang-jin; Kim, Yunmi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 12 (2008) 3, pp. 1-18

Persistent link: https://www.econbiz.de/10009513625

A unified framework jointly explaining business conditions, stock returns, volatility and "volatility feedback news" effects

Kim, Chang-jin; Kim, Yunmi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 2, pp. 1-14

Persistent link: https://www.econbiz.de/10012054880

Detecting multiple changes in persistence

Leybourne, Stephen James; Kim, Tae-hwan; Taylor, Robert - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 11 (2007) 3, pp. 1-32

Persistent link: https://www.econbiz.de/10009513024

VAR for VaR: measuring tail dependence using multivariate regression quantiles

White, Halbert; Kim, Tae-hwan; Manganelli, Simone - In: Journal of econometrics 187 (2015) 1, pp. 169-188

Persistent link: https://www.econbiz.de/10011498808

Quantile cointegration in the autoregressive distributed-lag modeling framework

Cho, Jin Seo; Kim, Tae-hwan; Shin, Yongcheol - In: Journal of econometrics 188 (2015) 1, pp. 281-300

Persistent link: https://www.econbiz.de/10011500352

Unit root tests in the presence of multiple breaks in variance

Jeong, Soo-Bin; Kim, Bong Hwan; Kim, Tae-hwan; Moon, … - In: The Singapore economic review : journal of the Economic … 62 (2017) 2, pp. 345-361

Persistent link: https://www.econbiz.de/10011702157

Multi-dimensional portfolio risk and its diversification : a note

Kim, Woohwan; Kim, Youngmin; Kim, Tae-hwan; Bang, Seungbeom - In: Global finance journal 35 (2018), pp. 147-156

Persistent link: https://www.econbiz.de/10012124807