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A VECM analysis of Bitcoin price using time-varying cointegration approach

Yong Lee, Joon Hee Rhee

Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2022) 30 (3): 197–218.

https://doi.org/10.1108/JDQS-01-2022-0001

Published: 01 July 2022

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Journal Articles

The Term Structure Model under the α-Stable Levy Process

Joon Hee Rhee, Soo Chun Park

Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2010) 18 (1): 77–100.

https://doi.org/10.1108/JDQS-01-2010-B0003

Published: 28 February 2010

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Journal Articles

Fractal Interest Rate Model without Ito Formula

Joon Hee Rhee

Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2008) 16 (1): 21–48.

https://doi.org/10.1108/JDQS-01-2008-B0002

Published: 31 May 2008

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Journal Articles

Theoretical Identifications of the Market Price of Risk under the Affine Interest Rate Model with Jumps

Joon Hee Rhee

Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2005) 13 (2): 133–143.

https://doi.org/10.1108/JDQS-02-2005-B0006

Published: 30 November 2005

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Journal Articles

Derivatives Pricing in the Positive Interest Rates

Joon Hee Rhee

Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2004) 12 (2): 157–179.

https://doi.org/10.1108/JDQS-02-2004-B0007

Published: 30 November 2004

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A VECM analysis of Bitcoin price using time-varying cointegration approach

The Term Structure Model under the α-Stable Levy Process

Fractal Interest Rate Model without Ito Formula

Theoretical Identifications of the Market Price of Risk under the Affine Interest Rate Model with Jumps

Derivatives Pricing in the Positive Interest Rates

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