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Long memory versus structural breaks in modeling and forecasting realized volatility

Choi, Kyongwook; Yu, Wei-choun; Zivot, Eric - In: Journal of international money and finance 29 (2010) 5, pp. 857-875

Persistent link: https://www.econbiz.de/10003989920

Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment

Choi, Kyongwook; Hammoudeh, Shawkat - In: Energy policy 38 (2010) 8, pp. 4388-4399

Persistent link: https://www.econbiz.de/10008655098

Long memory in oil and refined products markets

Choi, Kyongwook; Hammoudeh, Shawkat - In: The energy journal 30 (2009) 2, pp. 97-116

Persistent link: https://www.econbiz.de/10003842673

Characteristics of permanent and transitory returns in oil-sensitive emerging stock markets : the case of GCC countries

Hammoudeh, Shawkat; Choi, Kyongwook - In: Journal of international financial markets, … 17 (2007) 3, pp. 231-245

Persistent link: https://www.econbiz.de/10003499624

The sources of the decline in US output volatility

Choi, Kyongwook; Jung, Chulho - In: Contemporary economic policy : a journal of Western … 26 (2008) 1, pp. 132-144

Persistent link: https://www.econbiz.de/10003700901

Time-varying co-movements and contagion effects in Asian sovereign CDS markets

Cho, Daehyoung; Choi, Kyongwook - In: Journal of East Asian economic integration 19 (2015) 4, pp. 357-379

Persistent link: https://www.econbiz.de/10011434876

Time-varying co-movements and contagion effects in asian sovereign CDS markets

Cho, Daehyoung; Choi, Kyongwook - In: Journal of East Asian economic integration 19 (2015) 4, pp. 357-379

We investigate interconnectedness and the contagion effect of default risk in Asian sovereign CDS markets since the global financial crisis. Using dynamic conditional correlation analysis, we find that there are significant co-movements in Asian sovereign CDS markets; that such co-movements tend...

Persistent link: https://www.econbiz.de/10011572880

Exchange rate volatility : an empirical investigation

Doroodian, Khosrow; Caporale, Tony - In: The Indian economic journal 46 (1998/1999) 3, pp. 66-75

Persistent link: https://www.econbiz.de/10001381684

High and variable inflation : further evidence on the Friedman hypothesis

Caporale, Tony - In: Economics letters 54 (1997) 1, pp. 65-68

Persistent link: https://www.econbiz.de/10001222334

Central bank intervention and foreign exchange volatility

Doroodian, Khosrow; Caporale, Tony - In: International advances in economic research : IAER ; an … 7 (2001) 4, pp. 385-392

Persistent link: https://www.econbiz.de/10001636289