Browsing All of EconStor by Author Kim, Young Shin
Showing results 1 to 8 of 8
Year of Publication | Title | Author(s) |
2011 | Tempered infinitely divisible distributions and processes | Bianchi, Michele Leonardo; Rachev, Svetlozar T.; Kim, Young Shin; Fabozzi, Frank J. |
2011 | Tempered stable and tempered infinitely divisible GARCH models | Kim, Young Shin; Rachev, Svetlozar T.; Bianchi, Michele Leonardo; Fabozzi, Frank J. |
2012 | Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model | Kim, Young Shin; Giacometti, Rosella; Rachev, Svetlozar T.; Fabozzi, Frank J.; Mignacca, Domenico |
2012 | Option pricing with regime switching tempered stable processes | Lin, Zuodong; Rachev, Svetlozar T.; Kim, Young Shin; Fabozzi, Frank J. |
2017 | Speculative bubbles and crashes: Fundamentalists and positive-feedback trading | Cheng, Po-Keng; Kim, Young Shin |
2021 | Systemic risk modeling with Lévy copulas | Liu, Yuhao; Djurić, Petar M.; Kim, Young Shin; Račev, Svetlozar T.; Glimm, James |
2021 | Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing | Kim, Young Shin |
2022 | Portfolio optimization on multivariate regime-switching garch model with normal tempered stable innovation | Peng, Cheng; Kim, Young Shin; Mittnik, Stefan |