...Min A Lee; Kook Hyun Chang This paper tries to estimate the dynamic linear latent factor model (DLLFM) with jump in order to find jump risk, heteroscedasticity and time varying correlations in Global REITs Markets. Using five major Global Reits rates such as the United States, Japan, the United...

... options decrease days to maturity gets longer. This is partial evidence of the jump risk inherent in the stochastic process of the spot price. Thirdly, the moneyness pattern showed heavily skewed shapes of volatility smiles, which was more apparent during the global financial crises period from 2007...

...Min-Goo Hong; Kook-Hyun Chang This study examines whether KOSPI200 intra-day return has jump risk and heteroscedasticity and we compare the estimation result of intra-day return and that of daily return. The sample covers from January 2, 2004 to July 31, 2014. We use 30-minute intervals...

...Kook-Hyun Chang; Byung-Jo Yoon This paper tries to empirically investigate whether the jump risk of Korean stock market may be statistically useful in explaining the Korean CDS (5Y) premium rate. This paper uses the jump-diffusion model with heteroscedasticity to estimate the conditional volatility...