Narrow search
Showing 1 - 10 of 108
Cover Image
Behaviour of cointegration tests in the presence of structural breaks in variance
Noh, Jaesun; Kim, Tae-hwan - In: Applied economics letters 10 (2003) 15, pp. 999-1002
Persistent link: https://www.econbiz.de/10001876763
Cover Image
Forecasting volatility of futures market : the S&P 500 and FTSE 100 futures using high frequency returns and implied volatility
Noh, Jaesun; Kim, Tae-hwan - In: Applied economics 38 (2006) 4, pp. 395-413
Persistent link: https://www.econbiz.de/10003298646
Cover Image
Small sample properties of GARCH(1,1) estimator under non-normality
Noh, Jaesun - In: Economics letters 55 (1997) 2, pp. 161-164
Persistent link: https://www.econbiz.de/10001227370
Cover Image
BASEL III counterparty risk and credit value adjustment: impact of the Wrong-way risk
Noh, Jaesun - In: Global economic review 42 (2013) 4, pp. 346-361
Persistent link: https://www.econbiz.de/10010251884
Cover Image
Two-stage quantile regression when the first stage is based on quantile regression
Kim, Tae-hwan; Muller, Christophe - In: The econometrics journal 7 (2004) 1, pp. 218-231
Persistent link: https://www.econbiz.de/10002122077
Cover Image
Index-option pricing with stochastic volatility and the value of accurate variance forecasts
Engle, Robert F.; Kane, Alex; Noh, Jaesun - 1993
Persistent link: https://www.econbiz.de/10000877913
Cover Image
A test of efficiency for the S&P 500 index option market using variance forecasts
Noh, Jaesun; Engle, Robert F.; Kane, Alex - 1993 - Rev
Persistent link: https://www.econbiz.de/10000877939
Cover Image
Testing for unit roots in seasonal time series : some theoretical extensions and a Monte Carlo investigation
Ghysels, Eric - In: Journal of econometrics 62 (1994) 2, pp. 415-442
Persistent link: https://www.econbiz.de/10001162289
Cover Image
Index-option pricing with stochastic volatility and the value of accurate variance forecasts
Engle, Robert F.; Kane, Alex; Noh, Jaesun - 1993
Persistent link: https://www.econbiz.de/10000886028
Cover Image
A test of efficiency for the S & P 500 index option market using variance forecasts
Noh, Jaesun - 1993
Persistent link: https://www.econbiz.de/10000886080