Myeong Hyeon Kim

Seoul National University of Science and Technology

Assistant Professor

172 Gongreuing 2-dong, Nowon-gu

Seoul, 139-746

Korea, Republic of (South Korea)

SCHOLARLY PAPERS

7

DOWNLOADS

284

CITATIONS

0

Scholarly Papers (7)

1.

Risk-Adjusted Cross-Sectional Momentum

Number of pages: 23 Posted: 02 Jun 2016 Last Revised: 13 Nov 2017
Myeong Hyeon Kim and Inro Lee
Seoul National University of Science and Technology and Korea University - Department of Finance
Downloads 153 (189,752)

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Momentum Strategies, Risk-Return Criteria, Volatility Timing

2.

Industry Portfolio Allocation with Asymmetric Correlations

Number of pages: 26 Posted: 07 Nov 2015 Last Revised: 11 Dec 2017
Myeong Hyeon Kim and Seyoung Park
Seoul National University of Science and Technology and Loughborough University - School of Business and Economics
Downloads 102 (258,213)

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Optimal portfolio; Dynamic and asymmetric correlation, Systematic risk

3.

다(多)시장 정보를 활용한 금융시장 불안정성 지수 개발에 관한 연구-CISS 방법론을 중심으로- (A Proposal for a Systemic Stress Index in Korea-A CISS Approach)

Financial Stability Studies, Vol. 18, No. 2, Korea Deposit Insurance Corporation(KDIC), 2017, pp. 1-28.
Number of pages: 28 Posted: 30 May 2018 Last Revised: 09 Jan 2019
Myeong Hyeon Kim and Inro Lee
Seoul National University of Science and Technology and The Bank of Korea
Downloads 15 (543,568)

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금융시장 불안정성 지수, 리스크 측도, 포트폴리오 이론, 주성분분석, 조기경보, Financial Stability Index, Risk Measures, Portfolio Theory, Principal Component Analysis, Early warning,

4.

Korean Housing Cycle: Implications for Risk Management (Factor-Augmented VAR Approach)

KDI Journal of Economic Policy 2017, 39(3): 43–62
Number of pages: 21 Posted: 29 Sep 2017
Kwon Hyuck-Shin, Doo Bang and Myeong Hyeon Kim
Korea Housing & Urban Guarantee Corporation, Korea Housing & Urban Guarantee Corporation and Seoul National University of Science and Technology
Downloads 14 (549,531)

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Housing Cycle, FAVAR, Risk Management

5.

The Zero Lower Bound and Economic Determinants of the Volatility Surface in the Interest Cap Markets

Posted: 06 Jun 2016 Last Revised: 17 Oct 2017
Myeong Hyeon Kim, Changki Kim and Injun Hwang
Seoul National University of Science and Technology, Korea University Business School (KUBS) and Korea University Business School (KUBS)

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Interest Rate Caps, Economic Determinants, Zero Lower Bound

Dynamic Conditional Correlations between Chinese Sector Returns and the S&P500 Index: An Interpretation Based on Investment Shocks

Asian Finance Association (AsianFA) 2016 Conference
Posted: 12 Jan 2016
Myeong Hyeon Kim and Lingxia Sun
Seoul National University of Science and Technology and Nankai University - Business School

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Dynamic conditional correlation, Sector portfolios, Investment-specific shock, Growth opportunity

Dynamic Conditional Correlations between Chinese Sector Returns and the S&P500 Index: An Interpretation Based on Investment Shocks

29th Australasian Finance and Banking Conference 2016
Posted: 23 Aug 2016 Last Revised: 17 Oct 2017
Myeong Hyeon Kim and Lingxia Sun
Seoul National University of Science and Technology and Nankai University - Business School

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Dynamic Conditional Correlation, Sector Portfolios, Investment-Specific Shock, Growth Opportunity

7.

Systematic Cyclicality of Systemic Bubbles: Evidence from the U.S. Commercial Banking System

Journal of Macroeconomics, 42 (2014) 281-297
Posted: 19 Aug 2012 Last Revised: 12 Mar 2015
Myeong Hyeon Kim and Baeho Kim
Seoul National University of Science and Technology and Korea University Business School (KUBS)

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Systemic bubble; Financial crisis; Cyclicality; Early warning signal; Markov regime-switching model