Zobrazeno 1 - 10
of 21
pro vyhledávání: '"Yoontae Jeon"'
Autor:
Yoontae Jeon, Thomas H. McCurdy
Publikováno v:
Econometrics, Vol 5, Iss 4, p 54 (2017)
Forecasting correlations between stocks and commodities is important for diversification across asset classes and other risk management decisions. Correlation forecasts are affected by model uncertainty, the sources of which can include uncertainty a
Externí odkaz:
https://doaj.org/article/e5a2b037797b422b83a5e91ae0c75b2e
News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies
Publikováno v:
Journal of Financial Economics. 145:1-17
Material news events can be potentially important sources of jumps in stock returns. We collect 21 million news articles associated with more than 9,000 publicly-traded companies and use textual analyses to derive measures to summarize the news. We f
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3e6351a45198f85a42569c6bf26ef11a
https://doi.org/10.1016/j.jfineco.2021.08.002
https://doi.org/10.1016/j.jfineco.2021.08.002
Publikováno v:
Journal of Real Estate Research. 45:83-110
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e2c1734fdca911335383bb945ca9ecb6
https://doi.org/10.1080/08965803.2022.2060905
https://doi.org/10.1080/08965803.2022.2060905
Publikováno v:
International Review of Economics & Finance. 76:1063-1077
We find that Chinese EPU shocks can explain 40% of the cross-sectional variation in bond returns. We also find that Chinese EPU shocks command a significant negative risk premia. In contrast to a strong explanatory power for bond markets, we do not f
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::51790c329eb6c82baf1d5998a44711c5
https://doi.org/10.1016/j.iref.2021.08.011
https://doi.org/10.1016/j.iref.2021.08.011
Publikováno v:
International Review of Finance. 21:1519-1528
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::91e45dee87df7b89ef848be07555383c
https://doi.org/10.1111/irfi.12335
https://doi.org/10.1111/irfi.12335
Autor:
Kiryoung Lee, Yoontae Jeon
Publikováno v:
International Review of Economics & Finance. 66:51-70
An unanticipated change in consumers’ view on the expected economic condition has the potential to provide information about the degree of economic uncertainty. Based on this intuition, we construct a monthly time-varying Chinese economic uncertain
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::334e635f734e145de6437a655c524908
https://doi.org/10.1016/j.iref.2019.10.012
https://doi.org/10.1016/j.iref.2019.10.012
Autor:
kiryoung Lee, Yoontae Jeon
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::355f8ba3defe8cc9711f995b98a963b4
https://doi.org/10.2139/ssrn.4215987
https://doi.org/10.2139/ssrn.4215987
Publikováno v:
Journal of Financial Research.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::12af04259d130b6fd4eab12e39d7354d
https://doi.org/10.1111/jfir.12243
https://doi.org/10.1111/jfir.12243
Autor:
Yoontae Jeon, Thomas H. McCurdy
Publikováno v:
Econometrics; Volume 5; Issue 4; Pages: 54
Econometrics, Vol 5, Iss 4, p 54 (2017)
Econometrics, Vol 5, Iss 4, p 54 (2017)
Forecasting correlations between stocks and commodities is important for diversification across asset classes and other risk management decisions. Correlation forecasts are affected by model uncertainty, the sources of which can include uncertainty a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d20c1ca335694472a509616786ba20a6
https://doi.org/10.32920/14636631
https://doi.org/10.32920/14636631
Publikováno v:
Review of Finance.
We estimate a continuous-time model for the stock market index where the stochastic volatility and crash probability depend on the realized spot variance and the stock market illiquidity. We find that market illiquidity is a useful economic covariate
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c469f87b6b83320236b8609aab7ab81a
https://doi.org/10.1093/rof/rfaa040
https://doi.org/10.1093/rof/rfaa040