Frank C. Park

Seoul National University

Kwanak-gu

Seoul, 151-742

Korea, Republic of (South Korea)

  • Seoul National University

SCHOLARLY PAPERS

3

DOWNLOADS

497

TOTAL CITATIONS

0

Scholarly Papers (3)

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1.

Efficient Value at Risk Estimation for Mortgage-Backed Securities

Number of pages: 31 Posted: 23 Apr 2014
Chulwoo Han, Frank C. Park and Jangkoo Kang
Sungkyunkwan University, Seoul National University and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 387 (164,302)

Abstract:

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2.

A Geometric GARCH Framework for Covariance Dynamics

Number of pages: 52 Posted: 24 Aug 2016
Chulwoo Han and Frank C. Park
Durham Business School and Seoul National University
Downloads 110 (536,179)

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Geometric GARCH; Multivariate GARCH; Covariance; Realized Covariance; Principal Geodesic Analysis

3.

Interest Rate Models on Lie Groups

Quantitative Finance, First published on: 11 May 2010
Posted: 23 Apr 2014
Frank C. Park, Chulwoo Han, Chulwoo Han and Nick Webber
Seoul National University, Durham Business School, Sungkyunkwan University and University of Warwick - Warwick Business School

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