Yoontae Jeon

Ryerson University - Ted Rogers School of Management

350 Victoria Street

Toronto, Ontario M5B 2K3

Canada

SCHOLARLY PAPERS

3

DOWNLOADS

636

CITATIONS

0

Scholarly Papers (3)

1.

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 135 (117,612)

Abstract:

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Dynamic volatility, dynamic jumps, realized volatility, realized jumps

2.

Time-Varying Crash Risk: The Role of Stock Market Liquidity

Rotman School of Management Working Paper No. 2797308
Number of pages: 66 Posted: 20 Jun 2016 Last Revised: 02 Nov 2017
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 0 (71,988)

Abstract:

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

3.

Time-Varying Window Length for Correlation Forecasts

Number of pages: 46 Posted: 20 Feb 2016 Last Revised: 26 Nov 2017
Yoontae Jeon and Thomas H. McCurdy
Ryerson University - Ted Rogers School of Management and University of Toronto - Rotman School of Management
Downloads 0 (305,423)

Abstract:

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