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The role of time-varying jump risk premia in pricing stock index options

Yun, Jaeho - In: Journal of empirical finance 18 (2011) 5, pp. 833-846

Persistent link: https://www.econbiz.de/10009492529

Out-of-sample density forecasts with affine jump diffusion models

Yun, Jaeho - In: Journal of banking & finance 47 (2014), pp. 74-87

Persistent link: https://www.econbiz.de/10010506503

A re-examination of the predictability of stock returns and cash flows via the decomposition of VIX

Yun, Jaeho - In: Economics letters 186 (2020), pp. 1-5

Persistent link: https://www.econbiz.de/10012500329

Density forecast evaluations via a simulation-based dynamic probability integral transformation

Yun, Jaeho - In: Journal of financial econometrics 18 (2020) 1, pp. 24-58

Persistent link: https://www.econbiz.de/10012180381

Bond risk premia in a small open economy with volatile capital flows : the case of Korea

Yun, Jaeho - In: Journal of international money and finance 93 (2019), pp. 223-243

Persistent link: https://www.econbiz.de/10012138637

International linkages of term structures : US and Korea Treasury bond yields

Yun, Jaeho - In: Journal of international money and finance 138 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014478198

Measuring systemic risk in the Korean banking sector via dynamic conditional correlation models

Yun, Jaeho; Moon, Hyejung - In: Pacific-Basin finance journal 27 (2014), pp. 94-114

Persistent link: https://www.econbiz.de/10010499711

Measuring Systemic Risk in the Korean Banking Sector via Dynamic Conditional Correlation Models

Yun, Jaeho - 2015

In this paper we study systemic risks in the Korean banking sector by using two famous systemic risk measures – the MES (marginal expected shortfall) and CoVaR. To compute both measures we employ Engle's dynamic conditional correlation model. Our empirical analysis shows, first, that although...

Persistent link: https://www.econbiz.de/10013026041

EVT 및 CAViaR 모형에 의한 국고채 VaR 예측모형 분석 (VaR Forecasts for Korea Treasury Bonds via EVT and CAViaR Models)

Yun, Jaeho - 2019

Korean Abstract: 본 논문은 시장리스크의 주된 측정수단인 VaR(value at risk)의 여러 예측모형을 한국의 국고채(1년, 5년, 10년 만기 할인채) 보유수익률에 적용하여 비교 분석하였다. 특히 EVT(extreme value theory)를 적용한 모형과...

Persistent link: https://www.econbiz.de/10014112974

SRISK 모형을 이용한 은행부문 시스템적 리스크 분석 : 데이터빈도별 성과 분석 (Performance Analysis of the Systemic Risk Measures with Different Data Frequencies)

Yun, Jaeho - 2019

Korean Abstract: 본 연구는 Brownlees and Engle(2012)이 제안한 SRISK 모형을 이용하여 우리나라 은행의 시스템적 리스크를 분석하였다. 본 모형은 주가수익률 등 시장정보를 바탕으로 Engle(2002)의 DCC(dynamic conditional correlation) 모형을...

Persistent link: https://www.econbiz.de/10012901365