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Engle, Robert F. Kane, Alex Kim, Tae-hwan Kim, Tong Suk Park, Yuen Jung Lee, Chang-yang Kim, In-joon Baek, In-Seok Kim, Sol Ghysels, Eric Lee, Hahn-shik All co-authors variance index option pricing volatility forecasts volatilität prognoseverfahren stochastic value optionspreistheorie accurate returns market using schätzung estimation options credit adjustment markets forecasting futures test efficiency underlying kreditrisiko südkorea zeitreihenanalyse schätztheorie effizienzmarkthypothese basel counterparty risk impact
Composed index futures forecasting model index option variance forecasts option pricing theory stochastic volatility option pricing pricing stochastic volatility value value accurate accurate variance forecasting volatility forecasts test test efficiency efficiency index option market market using using variance credit risk south korea monte carlo simulation time series analysis estimation theory efficient market hypothesis forecasts basel basel counterparty counterparty risk risk credit credit value value adjustment adjustment impact impact wrong wrong way way risk risk linkage linkage options options credit credit default default swap swap markets markets subprime subprime mortgage mortgage crisis crisis relationship relationship concentration concentration industry industry intensity intensity simple simple model model evidence evidence role role stochastic volatility return return jumps jumps reproducing reproducing volatility volatility higher higher moments moments kospi kospi returns returns dynamics dynamics forecasting volatility futures futures market market ftse ftse futures futures using using frequency frequency returns returns implied implied volatility volatility behaviour behaviour cointegration cointegration tests tests presence
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The information on the author is retrieved from: Entity Facts (by DNB = German National Library data service), DBPedia and Wikidata
Jaesun Noh Alternative spellings: Jaesum Noh Noh Jaesum J. Noh Jaesun Noh Jaesum Noh
Profession Economist
Affiliations Canadian Imperial Bank of Commerce University of California, San Diego. Department of Economics University of Nottingham Quantitative Micro Software (Irvine, Calif.)
Publishing years Series Discussion paper / Department of Economics, University of California San Diego (3) Working paper / National Bureau of Economic Research, Inc. (2) NBER Working Paper (1) 
The result list below will be reduced to the selected search terms. The terms are generated from the titles, abstracts and STW thesaurus of publications by the respective author.
