9 citations · 10 across the 2 of their papers we have counts for
2 papers
q-fin.ST2013★ 1 cited
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…
q-fin.PR2013★ 9 cited
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.…