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Time-varying higher-order conditional moments and forecasting intraday VaR and Expected Shortfall

Ergün, A. Tolga; Jun, Jongbyung - In: The Quarterly Review of Economics and Finance 50 (2010) 3, pp. 264-272

We estimate several GARCH- and Extreme Value Theory (EVT)-based models to forecast intraday Value-at-Risk (VaR) and Expected Shortfall (ES) for S&P 500 stock index futures returns for both long and short positions. Among the GARCH-based models we consider is the so-called Autoregressive...

Persistent link: https://www.econbiz.de/10008872515

Friction model and foreign exchange market intervention

Jun, Jongbyung - In: International review of economics & finance : IREF 17 (2008) 3, pp. 477-489

Persistent link: https://www.econbiz.de/10008057856

A more accurate benchmark for daily electricity demand forecasts

Jun, Jongbyung; Ergün, A. Tolga - In: Management research review 34 (2011) 7, pp. 810-821

Persistent link: https://www.econbiz.de/10009178496

Conditional skewness, kurtosis, and density specification testing : moment-based versus nonparametric tests

Ergun, A. Tolga; Jun, Jongbyung - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 14 (2010) 3, pp. 1-19

Persistent link: https://www.econbiz.de/10009949973

Time-varying higher-order conditional moments and forecasting intraday VaR and Expected Shortfall

Ergün, A. Tolga; Jun, Jongbyung - In: The quarterly review of economics and finance : journal … 50 (2010) 3, pp. 264-273

Persistent link: https://www.econbiz.de/10008429918

Taxes and the Form of Ownership of Foreign Corporate Equity.

Gordon, R.H.; Jun, J. - Research Seminar in International Economics, University … - 1991

Persistent link: https://www.econbiz.de/10005146470

Taxes and the Form of Ownership of Foreign Corporate Equity.

Gordon, R.H.; Jun, J. - Economic Growth Center, Economics Department - 1991

Persistent link: https://www.econbiz.de/10005675218

The effects of health value on healthful food selection intention at restaurants : considering the role of attitudes toward taste and healthfulness of healthful foods

Jun, Jinhyun; Kang, Juhee; Arendt, Susan W. - In: International journal of hospitality management 42 (2014), pp. 85-91

Persistent link: https://www.econbiz.de/10010410791

Understanding healthy eating behaviors at casual dining restaurants using the extended theory of planned behavior

Jun, Jinhyun; Arendt, Susan W. - In: International journal of hospitality management 53 (2016), pp. 106-115

Persistent link: https://www.econbiz.de/10011443046

Understanding customers' healthy food choices at casual dining restaurants : using the value-attitude-behavior model

Kang, Juhee; Jun, Jinhyun; Arendt, Susan W. - In: International journal of hospitality management 48 (2015), pp. 12-21

Persistent link: https://www.econbiz.de/10011341605