Bumjean Sohn

Korea University Business School

Assistant Professor of Finance

Seoul, 136-701

http://biz.korea.ac.kr/professor/sohnb

SCHOLARLY PAPERS

2

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Top 13,790

in Total Papers Citations

12

CROSSREF CITATIONS

60

Scholarly Papers (2)

1.
Downloads 2,638 ( 5,000)
Citation 35

On the Economic Sources of Stock Market Volatility

AFA 2008 New Orleans Meetings Paper
Number of pages: 54 Posted: 21 Mar 2007 Last Revised: 18 Sep 2012
Robert F. Engle, Eric Ghysels and Bumjean Sohn
New York University - Leonard N. Stern School of Business - Department of Economics, University of North Carolina Kenan-Flagler Business School and Korea University Business School
Downloads 2,203 (6,634)
Citation 56

Abstract:

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stock market volatility, macroeconomic variables, volatility decomposition, cross-section of returns

On the Economic Sources of Stock Market Volatility

NYU Working Paper No. FIN-08-043
Number of pages: 54 Posted: 09 Mar 2009
Robert F. Engle, Eric Ghysels and Bumjean Sohn
New York University - Leonard N. Stern School of Business - Department of Economics, University of North Carolina Kenan-Flagler Business School and Korea University Business School
Downloads 435 (70,506)
Citation 1

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2.

Cross-Section of Equity Returns: Stock Market Volatility and Priced Factors

Number of pages: 76 Posted: 22 Mar 2009
Bumjean Sohn
Korea University Business School
Downloads 437 (70,775)
Citation 4

Abstract:

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Cross-Section of Equity Returns, GARCH-MIDAS, VAR, ICAPM, Linear Factor Pricing Model