Hoe Kyung Lee

KAIST Business School

Professor

85 Hoegiro Dongdaemun-Gu

Seoul 130-722

Korea, Republic of (South Korea)

SCHOLARLY PAPERS

2

DOWNLOADS

280

CITATIONS

0

Scholarly Papers (2)

1.

Risk-Return Relationship in High Frequency Data: Multiscale Analysis and Long Memory Effect

KAIST Business School Working Paper Series No. 2008-007
Number of pages: 57 Posted: 30 May 2008
Jihyun Lee, Tong Suk Kim and Hoe Kyung Lee
KEB Hana Bank, Korea Advanced Institute of Science and Technology (KAIST) - College of Business and KAIST Business School
Downloads 211 (114,520)

Abstract:

risk-return relationship, high-frequency data, leverage effect, volatility feedback effect, multiresolution, wavelet, long memory

2.

Assessing the Proportionality Assumption in Default Rate Forecasting Using the Proportional Hazard Model

KAIST College of Business Working Paper Series No. 2013-011
Number of pages: 41 Posted: 29 Aug 2013
Seul Ah Oh, Chae Woo Nam, Tong Suk Kim and Hoe Kyung Lee
NICE Investors Services Co., Ltd, Ratings Policy and Research Center, Korea Capital Market Institute (KCMI), Korea Advanced Institute of Science and Technology (KAIST) - College of Business and KAIST Business School
Downloads 43 (313,697)

Abstract:

Cox’s proportional hazard model, proportionality assumption, macroeconomic variable