17 citations · 94 across the 18 of their papers we have counts for
4 papers · 1 filter
Conditional correlation in asset return and GARCH intensity model
Geon Ho Choe, Kyungsub Lee
In an asset return series there is a conditional asymmetric dependence between current return and past volatility depending on the current return's sign. To take into account the c…
High moment variations and their application
Geon Ho Choe, Kyungsub Lee
We propose a new method of measuring the third and fourth moments of return distribution based on quadratic variation method when the return process is assumed to have zero drift.…
Recursive formula for arithmetic Asian option prices
Kyungsub Lee
We derive a recursive formula for arithmetic Asian option prices with finite observation times in semimartingale models. The method is based on the relationship between the risk-ne…
Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data
Kyungsub Lee
We discuss the probabilistic properties of the variation based third and fourth moments of financial returns as estimators of the actual moments of the return distributions. The mo…