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Keywords: Component-Jump Model
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2013) 21 (3): 255–273.
Published: 31 August 2013
...Byung-Jo Yoon; Kook-Hyun Chang; 홍 민구 This paper tries to empirically investigate whether macroeconomic risk may be statistically useful in explaining long-term volatility of interest rate swap (IRS) in korean market. This paper uses the component-jump model to estimate long-term volatility of IRS...
Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2011) 19 (2): 149–173.
Published: 31 May 2011
...Kook Hyun Chang; Byung Jo Yoon This paper tries to investigate whether the information contained in trading volume volatilities of spot and futures may be statistically useful in explaining the volatility of korean stock market. This paper uses both the component-jump model and the bivariate GJR...
