Jaesun Noh

Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance

Professor

207-43 Cheongryangri-2dong 130-722

Seoul

Korea

SCHOLARLY PAPERS

5

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SSRN CITATIONS
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CROSSREF CITATIONS

13

Scholarly Papers (5)

1.

Long Run Probability of Default and BASEL II Capital Allocation

KAIST Business School Working Paper Series No. 2008-013
Number of pages: 30 Posted: 10 Nov 2008
Jaesun Noh
Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance
Downloads 405 (77,361)

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BASEL II, probability of default, regulatory capital, pooling, business cycle, rating system

2.

Spurious Mean-Reversion of Stock Prices in the State-Space Model

KAIST Business School Working Paper Series No. 2008-010
Number of pages: 28 Posted: 02 Jun 2008
affiliation not provided to SSRN, College of Business, Korea Advanced Institute of Science and Technology (KAIST), Ohio State University (OSU) - Fisher College of Business and Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance
Downloads 164 (194,314)

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State-space model, ARIMA, Mean-reversion, Correlated noise process

3.

Long Term Mean Reversion of Stock Prices Based on Fractional Integration

KAIST Business School Working Paper Series No. 2010-003
Number of pages: 19 Posted: 25 Feb 2010
Duk Bin Jun, Yongjin Kim and Jaesun Noh
College of Business, Korea Advanced Institute of Science and Technology (KAIST), Carnegie Mellon University and Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance
Downloads 160 (198,597)

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mean reversion, stock price model, fractional integration, market inefficiency

4.

A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts

NBER Working Paper No. w4520
Number of pages: 31 Posted: 09 Jul 2000
Jaesun Noh, Robert F. Engle and Alex Kane
Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance, New York University - Leonard N. Stern School of Business - Department of Economics and University of California, San Diego (UCSD) - Graduate School of International Relations and Pacific Studies (IRPS)
Downloads 96 (291,304)

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5.

Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts

NBER Working Paper No. w4519
Number of pages: 31 Posted: 25 May 2006 Last Revised: 07 Apr 2010
Robert F. Engle, Alex Kane and Jaesun Noh
New York University - Leonard N. Stern School of Business - Department of Economics, University of California, San Diego (UCSD) - Graduate School of International Relations and Pacific Studies (IRPS) and Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance
Downloads 71 (349,108)

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