Yoontae Jeon

Ryerson University - Ted Rogers School of Management

350 Victoria Street

Toronto, Ontario M5B 2K3

Canada

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 31,160

SSRN RANKINGS

Top 31,160

in Total Papers Downloads

1,742

SSRN CITATIONS

1

CROSSREF CITATIONS

4

Scholarly Papers (6)

1.

Stock Return Autocorrelations and Expected Option Returns

Number of pages: 51 Posted: 18 Apr 2019 Last Revised: 16 Jul 2020
Yoontae Jeon, Raymond Kan and Gang Li
Ryerson University - Ted Rogers School of Management, University of Toronto - Rotman School of Management and The Chinese University of Hong Kong, CUHK Business School
Downloads 597 (51,773)

Abstract:

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stock return autocorrelation, expected option returns, cross-section of option returns, option portfolios

2.

Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity

Rotman School of Management Working Paper No. 2797308
Number of pages: 71 Posted: 20 Jun 2016 Last Revised: 02 Dec 2020
University of Toronto - Rotman School of Management, Bank of Canada, Ryerson University - Ted Rogers School of Management and University of Toronto - Rotman School of Management
Downloads 577 (54,044)
Citation 3

Abstract:

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Market liquidity, Crash risk, Jump intensity, Options, Filtering

3.

Option Valuation with Observable Volatility and Jump Dynamics

Rotman School of Management Working Paper No. 2494379
Number of pages: 53 Posted: 12 Sep 2014 Last Revised: 20 May 2016
University of Toronto - Rotman School of Management, Bank of Canada and Ryerson University - Ted Rogers School of Management
Downloads 283 (124,246)
Citation 2

Abstract:

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Dynamic volatility, dynamic jumps, realized volatility, realized jumps

4.

News as Sources of Jumps in Stock Returns: Evidence From 21 Million News Articles for 9000 Companies

Number of pages: 56 Posted: 19 Jan 2019 Last Revised: 10 Sep 2020
Yoontae Jeon, Thomas H. McCurdy and Xiaofei Zhao
Ryerson University - Ted Rogers School of Management, University of Toronto - Rotman School of Management and Georgetown University - Robert Emmett McDonough School of Business
Downloads 158 (214,771)

Abstract:

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information, textual analysis, jumps

5.

Time-Varying Window Length for Correlation Forecasts

Econometrics 2017, 5, 54: DOI at http://dx.doi.org/10.3390/econometrics5040054
Number of pages: 29 Posted: 20 Feb 2016 Last Revised: 15 Dec 2020
Yoontae Jeon and Thomas H. McCurdy
Ryerson University - Ted Rogers School of Management and University of Toronto - Rotman School of Management
Downloads 81 (345,657)

Abstract:

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Model uncertainty, variance and correlation forecasts, time-varying window length

6.

Fragmentation in the Bitcoin Market: Evidence From Multiple Coexisting Order Books

Finance Research Letters, Forthcoming
Number of pages: 20 Posted: 04 Aug 2020
Yoontae Jeon, Laleh Samarbakhsh and Kenji Hewitt
Ryerson University - Ted Rogers School of Management, Ryerson University - Ted Rogers School of Management and affiliation not provided to SSRN
Downloads 46 (457,590)

Abstract:

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bitcoin, fragmented market, market micro-structure, smart order router