3 papers
math.ST2014
A goodness-of-fit test of the errors in nonlinear autoregressive time series models with stationary -mixing error terms
Kyong-Hui Kim, Myong-Guk Sin, Ok-Kyong Kim
In this work we deal with the problem of fitting an error density to the goodness-of-fit test of the errors in nonlinear autoregressive time series models with stationary -mixin…
q-fin.PR2013
Efficient hedging in general Black-Scholes model
Kyong-Hui Kim, Myong-Guk Sin
An investor faced with a contingent claim may eliminate risk by perfect hedging, but as it is often quite expensive, he seeks partial hedging (quantile hedging or efficient hedging…
math-ph2013
Asymptotic Normality of Estimates in Flexible Seasonal Time Series Model with Weak Dependent Error Terms
Kyong-Hui Kim, Hak-Myong Pak
In this article, we consider flexible seasonal time series models which consist of a common trend function over periods and additive individual trend (seasonal effect) functions. T…