Hojin Lee

Myongji University

50-3 Namgajwadong

Seodaemungu

Seoul, 120-728

SCHOLARLY PAPERS

3

DOWNLOADS

54

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (3)

1.

Forecasting Performance of Asymmetric GARCH Stock Market Volatility Models

East Asian Economic Review, Vol. 13, No. 2, pp. 109-142, December 2009
Number of pages: 35 Posted: 04 Dec 2017 Last Revised: 05 Dec 2017
Hojin Lee
Myongji University
Downloads 27 (500,707)
Citation 2

Abstract:

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Asymmetric GARCH Effect, Leverage Effect, KOSPI Return Volatility, EGARCH, GJR-GARCH, PGARCH, Sign Bias Test, Negative Size Bias Test, Positive Size Bias test, Out-of-Sample Forecasting

2.

Out-of-Sample Forecasting Performance of Won/Dollar Exchange Rate Return Volatility Model (원-달러환율의 실시간 변동성 예측모형간 비교)

East Asian Economic Review, Vol. 13, No. 1, pp. 57-88, June 2009
Number of pages: 33 Posted: 04 Dec 2017
Hojin Lee
Myongji University
Downloads 16 (565,990)
Citation 1

Abstract:

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Parameter Instability, Volatility Break, Exchange Rate Change, ICSS Algorithm, White Reality Check Test, Hansen SPA Test, GARCH, EWMA, Long Memory Process

3.

Data-Mining Bootstrap Procedure with Potential Predictors in Forecasting Models: Evidence from Eight Countries in the Asia-Pacific Stock Markets

East Asian Economic Review Vol. 23, No. 4 (December 2019) 333-351, DOI: 10.11644/KIEP.EAER.2019.23.4.366
Number of pages: 19 Posted: 10 Jan 2020
Hojin Lee
Myongji University
Downloads 11 (598,366)

Abstract:

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Data-Mining, Bootstrap, In-Sample Predictability, Out-of-Sample Predictability, Forecasting