10 citations · 18 across the 4 of their papers we have counts for
4 papers
Stochastic arbitrage with market index options
Brendan K. Beare, Juwon Seo, Zhongxi Zheng
Opportunities for stochastic arbitrage in an options market arise when it is possible to construct a portfolio of options which provides a positive option premium and which, when c…
Randomization tests of copula symmetry
Brendan K. Beare, Juwon Seo
New nonparametric tests of copula exchangeability and radial symmetry are proposed. The novel aspect of the tests is a resampling procedure that exploits group invariance condition…
A Projection Framework for Testing Shape Restrictions That Form Convex Cones
Zheng Fang, Juwon Seo
This paper develops a uniformly valid and asymptotically nonconservative test based on projection for a class of shape restrictions. The key insight we exploit is that these restri…
Randomization Tests for Equality in Dependence Structure
Juwon Seo
We develop a new statistical procedure to test whether the dependence structure is identical between two groups. Rather than relying on a single index such as Pearson's correlation…