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VALUE-AT-RISK ANALYSIS OF KOSPI 200 SECTOR INDICES

Kang, Sang Hoon; Cho, Hwan-Gue; Ryu, Suyeol; Yoon, Seong-Min - In: Theoretical and Applied Economics 12(541)(supplement) (2009) 12(541)(supplement), pp. 771-777

We investigated the performance of value-at-risk (VaR) models of KOSPI 200 sector indices using FIGARCH and FIAPARCH models under normal and skewed Student-t innovation distributions. The FIAPARCH model well captured the long-memory and asymmetry properties of the volatility. In addition, the...

Persistent link: https://www.econbiz.de/10008675979

Spillovers and portfolio optimization of precious metals and global/regional equity markets

Hernandez, Jose Arreola; Kang, Sang Hoon; Yoon, Seong-min - In: Applied economics 54 (2022) 20, pp. 2320-2342

Persistent link: https://www.econbiz.de/10012875943

Nonlinear dependence and connectedness between clean/renewable energy sector equity and European emission allowance prices

Hanif, Waqas; Hernandez, Jose Arreola; Mensi, Walid; … - In: Energy economics 101 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10013161674

Value-at-risk analysis for Asian emerging markets : asymmetry and fat tails in returns innovation

Kang, Sang Hoon; Yoon, Seong-min - In: The Korean economic review 50 (2009) 2, pp. 387-411

Persistent link: https://www.econbiz.de/10003926834

Sudden changes and persistence in volatility of Korean equity sector returns

Kang, Sang Hoon; Yoon, Seong-min - In: The Korean economic review 26 (2010) 2, pp. 431-451

Persistent link: https://www.econbiz.de/10009152033

Revisited return and volatility spillover effect in Korea

Kang, Sang Hoon; Yoon, Seong-min - In: Korea and the world economy 14 (2013) 1, pp. 121-145

Persistent link: https://www.econbiz.de/10010227761

Index futures trading and asymmetric volatility : evidence from Asian stock markets

Kang, Sang Hoon; Yoon, Seong-min - In: The journal of the Korean economy 8 (2007) 2, pp. 273-293

Persistent link: https://www.econbiz.de/10009772044

Non-periodic cycles and long memory property in the Korean stock market

Yoon, Seong-min; Kang, Sang Hoon - In: The journal of the Korean economy 9 (2008) 3, pp. 403-424

Persistent link: https://www.econbiz.de/10009776751

Sudden changes in variance and volatility persistence in Asian foreign exchange markets

Kang, Sang Hoon; Yoon, Seong-min - In: The journal of the Korean economy 11 (2010) 1, pp. 129-143

Persistent link: https://www.econbiz.de/10009778114

Modeling and forecasting the volatility of petroleum futures prices

Kang, Sang Hoon; Yoon, Seong-min - In: Energy economics 36 (2013), pp. 354-362

Persistent link: https://www.econbiz.de/10009724686