Seungmoon Choi

School of Economics, University of Seoul

Professor

Seoul, 130-743

Korea

SCHOLARLY PAPERS

2

DOWNLOADS

25

CITATIONS

0

Scholarly Papers (2)

1.

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 17 (536,175)

Abstract:

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

2.

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 8 (591,065)

Abstract:

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