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Yongsik Kim

Ajou University - Department of Financial Engineering

Suwon

Korea, Republic of (South Korea)

  • Ajou University - Department of Financial Engineering

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

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1.

Time-Delayed Stochastic Volatility Model

Number of pages: 28 Posted: 10 Mar 2020 Last Revised: 10 Nov 2021
Hyeong-Ohk Bae, Seung-Yeal Ha, Myeongju Kang, Yongsik Kim, Hyuncheul Lim and Jane Yoo
Ajou University - Department of Financial Engineering, Seoul National University - Research Institute of Mathematics, Seoul National University - Department of Mathematical Sciences, Ajou University - Department of Financial Engineering, KB Bank and Ajou University - School of Business
Downloads 149 (497,070)

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Aggregation, Cucker-Smale mechanism, flocking, regime-switching, time-delay

2.

Volatility Flocking in the Dow Jones Industrial Average (DJIA) Index

Number of pages: 25 Posted: 20 Jul 2017 Last Revised: 30 Jan 2019
Hyeong-Ohk Bae, Seung-Yeal Ha, Yongsik Kim, Sang-Hyeok Lee, Hyuncheul Lim and Jane Yoo
Ajou University - Department of Financial Engineering, Seoul National University - Research Institute of Mathematics, Ajou University - Department of Financial Engineering, Korea Maritime Institute, KB Bank and Ajou University - School of Business
Downloads 119 (600,462)

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Cucker-Smale Model, Flocking, Regime Switching, Volatility-Distance Index (VDI), Volatility-Flocking Index (VFI)