Sutthisit Jamdee

Saint Cloud State University - Finance, Insurance and Real Estate

Assistant Professor of Finance

720 4th Ave South

St. Cloud, MN 56301

United States

  • Saint Cloud State University - Finance, Insurance and Real Estate

SCHOLARLY PAPERS

7

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1,388

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (7)

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1.

Long Memory Options: Valuation

Number of pages: 52 Posted: 15 Sep 2004
Sutthisit Jamdee and Cornelis A. Los
Saint Cloud State University - Finance, Insurance and Real Estate and University of California at Irvine - The Paul Merage School of Business
Downloads 341 (153,124)
Citation 1

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Options, Long Memory, Persistence, Hurst Exponent, Executive Remuneration

2.

Multifractal Modeling of the Us Treasury Term Structure and Fed Funds Rate

Number of pages: 49 Posted: 07 Mar 2005
Sutthisit Jamdee and Cornelis A. Los
Saint Cloud State University - Finance, Insurance and Real Estate and University of California at Irvine - The Paul Merage School of Business
Downloads 334 (156,572)
Citation 1

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MMAR, multifractal spectrum, long memory, scaling, term stucture, persistence, Brownian motion, GARCH, time-frequency analysis

3.

Dynamic Risk Profile of the Us Term Structure by Wavelet Mra

Kent State University, Finance Working Paper
Number of pages: 33 Posted: 04 Feb 2003
Sutthisit Jamdee and Cornelis A. Los
Saint Cloud State University - Finance, Insurance and Real Estate and University of California at Irvine - The Paul Merage School of Business
Downloads 306 (171,794)

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Wavelet, Interest rates, Hurst exponent, Term structure, Yield curve

4.

Long Memory Options: Lm Evidence and Simulations

Downloads 212 (247,073)

Long Memory Options: Lm Evidence and Simulations

Number of pages: 34 Posted: 09 May 2005
Cornelis A. Los and Sutthisit Jamdee
University of California at Irvine - The Paul Merage School of Business and Saint Cloud State University - Finance, Insurance and Real Estate
Downloads 212 (246,421)

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Options, Long Memory, Persistence, Hurst Exponent, Identification, Simulation, Executive Remuneration

Long Memory Options: LM Evidence and Simulations

Research in International Business and Finance, Vol. 21, No. 2, pp. 260--280, June 2007
Posted: 03 Jun 2008
Cornelis A. Los and Sutthisit Jamdee
University of California at Irvine - The Paul Merage School of Business and Saint Cloud State University - Finance, Insurance and Real Estate

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Options, long memory, persistence, Hurst exponent, identification, simulation, executive remuneration, warrants

5.

Multifractal Modeling of the Japanese Treasury Term Structure

Number of pages: 52 Posted: 08 Sep 2005
Sutthisit Jamdee and Cornelis A. Los
Saint Cloud State University - Finance, Insurance and Real Estate and University of California at Irvine - The Paul Merage School of Business
Downloads 195 (266,571)

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MMAR, multifractal spectrum, long memory, scaling, term stucture, persistence, Brownian motion, GARCH, time-frequency analysis, Japan

6.

Positive Feedback Trading in Chinese Stock Markets: Empirical Evidence From Shanghai, Shenzhen, and Hong Kong Stock Exchanges

Journal of Financial and Economic Practice, Vol. 12, Issue 1, p. 35-58, 2012
Posted: 21 Feb 2018
Sutthisit Jamdee, Shengxiong Wu and Bing Yu
Saint Cloud State University - Finance, Insurance and Real Estate, Texas Wesleyan University and Meredith College

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Asymmetric GARCH Model, Behavioral Finance, Chinese Stock Markets, Feedback Trading, Market Segmentation, Stock Return Autocorrelation, Volatility

7.

Dynamic Risk Profile of the U.S. Term Structure

International Research Journal of Finance and Economics, Vol 1, No. 5, pages 19-47, September 2006
Posted: 02 Jun 2008
Cornelis A. Los and Sutthisit Jamdee
University of California at Irvine - The Paul Merage School of Business and Saint Cloud State University - Finance, Insurance and Real Estate

Abstract:

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Wavelet, interest rates, Hurst exponent, term structure, yield curve