Yoontae Jeon

Ryerson University - Ted Rogers School of Management

350 Victoria Street

Toronto, Ontario M5B 2K3

Canada

SCHOLARLY PAPERS

5

DOWNLOADS
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SSRN RANKINGS

Top 32,513

in Total Papers Downloads

1,434

SSRN CITATIONS

1

CROSSREF CITATIONS

4

Scholarly Papers (5)

1.

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: 24 Jul 2018
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 528 (53,583)
Citation 3

Abstract:

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

2.

Stock Return Autocorrelations and Expected Option Returns

Number of pages: 48 Posted: 18 Apr 2019 Last Revised: 17 Jan 2020
Yoontae Jeon, Raymond Kan and Gang Li
Ryerson University - Ted Rogers School of Management, University of Toronto - Rotman School of Management and University of Toronto, Rotman School of Management
Downloads 467 (62,436)

Abstract:

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

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 269 (116,992)
Citation 1

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

2019 Canadian Academic Accounting Association (CAAA) Annual Conference
Number of pages: 53 Posted: 19 Jan 2019 Last Revised: 21 May 2019
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 98 (277,133)
Citation 1

Abstract:

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information, textual analysis, jumps

5.

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 72 (334,301)

Abstract:

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