... Tail risk management Hedging strategies Regime-switching models Quadratic Hawkes process Second-order hidden Markov model AI technology stocks Probabilistic financial forecasting G17 C58 C53 G01 G13 C41 Research Grant of Inha University 10.13039/501100002635 2025-2...

... at Link to the terms of the CC BY 4.0 licence . Cost-of-living crisis COVID-19 Financial market Time-varying parameter C58 E44 F36 G15 This study is significant for the following four reasons. First, it offers insight into how two different crises, with distinct genesis stories...

... of the CC BY 4.0 licence . KOSPI 200 options Option pricing models Stochastic volatility Jumps Hedging performance Market efficiency G12 G13 C58 The study of option pricing has evolved substantially since the pioneering work of Black and Scholes (1973) . Their model introduced...