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Structural change and time dependence in models of stock returns

Kim, Dongcheol; Kon, Stanley Jay - In: Journal of empirical finance 6 (1999) 3, pp. 283-308

Persistent link: https://ebvufind01.dmz1.zbw.eu/10001426368

Price volatility and futures margins

Hardouvelis, Gikas A. - In: The journal of futures markets 16 (1996) 1, pp. 81-111

Persistent link: https://ebvufind01.dmz1.zbw.eu/10001193435

Price volatility and futures margins

Hardouvelis, Gikas A.; Kim, Dongcheol - 1995

Persistent link: https://ebvufind01.dmz1.zbw.eu/10000564035

Exchange rates, price levels, and inflation targeting : evidence from Asian countries

Prasertnukul, Weera; Kim, Donghun; Kakinaka, Makato - In: Japan and the world economy : international journal of … 22 (2010) 3, pp. 173-182

Persistent link: https://ebvufind01.dmz1.zbw.eu/10009272692

Investor sentiment from internet message postings and the predictability of stock returns

Kim, Soon-Ho; Kim, Dongcheol - In: Journal of economic behavior & organization : JEBO 107 (2014) 2, pp. 708-729

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011295891

The forecast dispersion anomaly revisited : time-series forecast dispersion and the cross-section of stock returns

Kim, Dongcheol; Na, Haejung - In: Journal of empirical finance 39 (2016), pp. 37-53

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011663264

Emotional trading in the cryptocurrency market

Ahn, Yongkil; Kim, Dongyeon - In: Finance research letters 42 (2021), pp. 1-7

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014581278

Structural Change and Time Dependence in Models of Stock Returns

Kim, Dongcheol - 2018

In this paper, we provide evidence that the time-series properties of stock returns includeboth structural change and time dependence in the conditional variance. The absence of astructural change component tends to overstate the persistence parameter in a time-dependentmodel specification. The...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012909347

Liquidity risk and exchange-traded fund returns, variances, and tracking errors

Bae, Kyounghun; Kim, Daejin - In: Journal of financial economics 138 (2020) 1, pp. 222-253

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012631970

Factor-augmented HAR model improves realized volatility forecasting

Kim, Dongwoo; Baek, Changryong - In: Applied economics letters 27 (2020) 12, pp. 1002-1009

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012267030