Seungmoon Choi

School of Economics, University of Seoul

Professor

Seoul, 130-743

Korea

SCHOLARLY PAPERS

3

DOWNLOADS

70

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Maximum Likelihood Estimation of Continuous-time Diffusion Models for Exchange Rates

East Asian Economic Review, Vol. 24, No. 1, (March 2020)
Number of pages: 27 Posted: 17 Apr 2020 Last Revised: 24 Apr 2020
Seungmoon Choi and Jaebum Lee
School of Economics, University of Seoul and Independent
Downloads 31 (533,600)

Abstract:

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Foreign Exchange Rate, Diffusion Model, Maximum Likelihood Estimation, US Dollar, Euro, British Pound, Japanese Yen

2.

국면전환 확산과정모형을 이용한 콜금리행태 분석 (Analysis of Call Rate Behaviour Using Regime-switching Diffusion Process Model)

Bank of Korea WP 2017-7
Number of pages: 43 Posted: 14 Feb 2017
Seungmoon Choi and Byungkuk Kim
School of Economics, University of Seoul and Economic Research Institute, The Bank of Korea
Downloads 26 (562,314)

Abstract:

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Regime-switching, Diffusion process model, Call rate behaviour, Maximum likelihood estimation, Transition probability density function

3.

Comparison of the Korean and US Stock Markets Using Continuous-Time Stochastic Volatility Models

KDI Journal of Economic Policy 2018, 40(4):1–22
Number of pages: 23 Posted: 03 Jan 2019 Last Revised: 08 Feb 2019
Seungmoon Choi
School of Economics, University of Seoul
Downloads 13 (649,762)

Abstract:

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Continuous-time Stochastic Volatility Model, Integrated Volatility Proxy, Maximum Likelihood Estimation