Yoontae Jeon

Ryerson University - Ted Rogers School of Management

350 Victoria Street

Toronto, Ontario M5B 2K3

Canada

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 39,895

SSRN RANKINGS

Top 39,895

in Total Papers Downloads

1,040

CITATIONS

0

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 505 (53,346)

Abstract:

Loading...

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

2.

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 260 (114,618)

Abstract:

Loading...

Dynamic volatility, dynamic jumps, realized volatility, realized jumps

3.

Stock Return Autocorrelations and the Cross Section of Option Returns

Number of pages: 45 Posted: 18 Apr 2019
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 199 (149,706)

Abstract:

Loading...

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

4.

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 69 (324,566)

Abstract:

Loading...

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

5.

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

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 7 (591,688)

Abstract:

Loading...

information, textual analysis, jumps