Journal of Derivatives and Quantitative Studies: 선물연구: Volume 17 Issue 1 , Open Access

The Effects of Correlated Jump Risks on Default Correlation

Hwa-Sung Kim

The previous theoretical studies on default correlations analyze them only when the firm value moves continuously. Unlike these researches, this paper examines them when the firm…

A Research on Enhancing Forecasting Power for the Realized Volatility of KOSPI200

Shiyong Yoo, Jung Yang Koh

This paper tried to find out whether the information from foreign capital markets can improve the forecasting power for the realized volatility of KOSPI200 index. The realized…

Stochastic Behavior of Commodity Prices: The Valuation of Derivative-Linked Securities

Bong-Gyu Jang, Sang-Gyu Lim, Ho-Seok Lee

We investigated term structure models for commodity prices to value derivative-linked securities (DLS) traded in Korea. We especially highlighted geometric Brownian motion (GBM…

Latent Factor Analysis of KOSDAQ Markets

Kook-Hyun Chang, Myung-Jig Kim

This paper tries to estimate multivariate latent factor model with jump in order to find common factor and jump risk of KOSDAQ markets. Using five major daily KOSDAQ indexes such…