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

230

SSRN CITATIONS

0

CROSSREF 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 185 (202,987)

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Momentum Strategies, Risk-Return Criteria, Volatility Timing

2.

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 23 (616,199)

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Housing Cycle, FAVAR, Risk Management

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 22 (623,158)

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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.

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 Sun Yat-sen University (SYSU) - ISBF

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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 Sun Yat-sen University (SYSU) - ISBF

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

6.

Industry Portfolio Allocation with Asymmetric Correlations

European Journal of Finance, Forthcoming
Posted: 07 Nov 2015 Last Revised: 13 Apr 2020
Myeong Hyeon Kim, Seyoung Park and Jong Mun Yoon
Seoul National University of Science and Technology, Nottingham University Business School and The Credit Finance Association of Korea (CREFIA)

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Optimal portfolio; Dynamic and asymmetric correlation, Systematic risk

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