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Showing results 1 to 20 of 21

Abnormal energy price movements prior to FOMC announcements

Jang, Hyeonung , Seo, Byoung Ki

Conference Paper Issue Date2018-04-14 View2
Analytic formula for option margin with liquidity costs under dynamic delta hedging File

Lee, Kyungsub , Seo, Byoung Ki

Article Issue Date2021-06 View11
Derivatives use and the value of cash holdings: Evidence from the U.S. oil and gas industry File

Choi, Sanghak , Jang, Hyeonung , Kim, Daejin , Seo, Byoung Ki

Article Issue Date2021-03 View9
Expected liquidity cost for dynamic delta hedging

Lee, Kyungsub , Seo, Byoung Ki

Conference Paper Issue Date2019-08-13 View5
Expected liquidity cost for dynamic delta hedging

Lee, Kyungsub , Seo, Byoung Ki

Conference Paper Issue Date2019-07-01 View4
Expected liquidity cost under delta hedging process

Lee, Kyungsub , Seo, Byoung Ki

Conference Paper Issue Date2018-07-18 View8
Expected Liquidity Cost under Delta Hedging Process

Lee, Kyungsub , Seo, Byoung Ki

Conference Paper Issue Date2017-12-12 View5
Filtered Historical Simulation for Initial Margin of Interest Rate Swap Under Korean Market File

Lee, Kyungsub , Seo, Byoung Ki

Article Issue Date2018-06 View6
Financial Market Crash and Phase Transition: Through Model-Free Framework with Machine Learning

Jang, Hyeonung , Jho, Yongseok , Seo, Byoung Ki

Conference Paper Issue Date2019-12-18 View2
Hyperbolic normal stochastic volatility model File

Choi, Jaehyuk , Liu, Chenru , Seo, Byoung Ki

Article Issue Date2019-02 View6
Marked Hawkes process modeling of price dynamics and volatility estimation

Lee, Kyungsub , Seo, Byoung Ki

Conference Paper Issue Date2015-08-25 View10
Marked Hawkes process modeling of price dynamics and volatility estimation File

Lee, Kyungsub , Seo, Byoung Ki

Article Issue Date2017-01 View9
Modeling Bid and Ask Price Dynamics with an Extended Hawkes Process and Its Empirical Applications for High-Frequency Stock Market Data File

Lee, Kyungsub , Seo, Byoung Ki

Article Issue Date2023-09 View13
Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data File

Lee, Kyungsub , Seo, Byoung Ki

Article Issue Date2017-06 View6
Monetary policy rate expectation and energy prices during the FOMC announcement period File

Jang, Hyeonung , Seo, Byoung Ki

Article Issue Date2020-03 View6
Performance of Tail Hedged Portfolio with Third Moment Variation Swap File

Lee, Kyungsub , Seo, Byoung Ki

Article Issue Date2017-10 View7
Recurrence speed of multiples of an irrational number File

Choe, GH , Seo, BK

Article Issue Date2001-09 View5
The waiting time for irrational rotations File

Kim, DH , Seo, Byoung Ki

Article Issue Date2003-09 View11
Transmission of central bank communication to emerging economies: Evidence from the Korean stock market File

Jang, Hyeonung , Seo, Byoung Ki

Article Issue Date2022-09 View13
Valuing American option with non-parametric regression with Fast Gauss Transformation

Choi, Jaehyuk , Seo, Byoung Ki

Conference Paper Issue Date2016-07-17 View1
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