Myong‐Guk Sin

collaborators

2 papers

math.ST2014

A goodness-of-fit test of the errors in nonlinear autoregressive time series models with stationary $α$ -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 $α$ -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…

A goodness-of-fit test of the errors in nonlinear autoregressive time series models with stationary α-mixing error terms

Efficient hedging in general Black-Scholes model

A goodness-of-fit test of the errors in nonlinear autoregressive time series models with stationary $α$ -mixing error terms