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The role of stochastic volatility and return jumps: Reproducing volatility and higher moments in the KOSPI 200 returns dynamics

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dc.contributor.authorKim I.J.ko
dc.contributor.authorBaek I.-S.ko
dc.contributor.authorNoh J.ko
dc.contributor.authorKim S.ko
dc.date.accessioned2013-03-06T10:44:41Z-
dc.date.available2013-03-06T10:44:41Z-
dc.date.created2012-02-06-
dc.date.created2012-02-06-
dc.date.issued2007-07-
dc.identifier.citationREVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING, v.29, no.1, pp.69 - 110-
dc.identifier.issn0924-865X-
dc.identifier.urihttp://hdl.handle.net/10203/86724-
dc.languageEnglish-
dc.publisherWestern Academic Publishers-
dc.titleThe role of stochastic volatility and return jumps: Reproducing volatility and higher moments in the KOSPI 200 returns dynamics-
dc.typeArticle-
dc.identifier.scopusid2-s2.0-34548246446-
dc.type.rimsART-
dc.citation.volume29-
dc.citation.issue1-
dc.citation.beginningpage69-
dc.citation.endingpage110-
dc.citation.publicationnameREVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING-
dc.contributor.localauthorNoh J.-
dc.contributor.nonIdAuthorKim I.J.-
dc.contributor.nonIdAuthorBaek I.-S.-
dc.contributor.nonIdAuthorKim S.-
dc.subject.keywordAuthorEfficient method of moments-
dc.subject.keywordAuthorJump diffusion model-
dc.subject.keywordAuthorMarkov Chain Monte Carlo-
dc.subject.keywordAuthorOption pricing implications-
dc.subject.keywordAuthorReprojection-
dc.subject.keywordAuthorStochastic volatility model-
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MT-Journal Papers(저널논문)
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