Seong-Min Yoon

Dynamical Behavior of Continuous Tick Data in Futures Exchange Market

We study the tick dynamical behavior of the bond futures in Korean Futures Exchange(KOFEX) market. Since the survival probability in the continuous-time random walk theory is applied to the bond futures transaction, the form of the decay function in our bond futures model is discussed from two kinds of Korean Treasury Bond(KTB) transacted recently in KOFEX. The decay distributions for survival probability are particularly displayed stretched exponential forms with novel scaling exponents

Asymmetric Linkages between BRICS Stock Returns and Country Risk Ratings: Evidence from Dynamic Panel Threshold Models

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Modeling Time-Varying Correlations in Volatility Between BRICS and Commodity Markets

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A Skewed Student-t Value-at-Risk Approach for Long Memory Volatility Processes in Japanese Financial Markets

0.82(KTB 203) and

Analysing dynamic linkages and hedging strategies between Islamic and conventional sector equity indexes

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Impact of macroeconomic factors and country risk ratings on GCC stock markets: evidence from a dynamic panel threshold model with regime switching

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Dynamics of the minority game for patients

0.90(KTB112), respectively, for our small time intervals. We obtain the scaling exponents for survival probability

Multifractal Measures for the Yen-Dollar Exchange Rate

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