Details about Soosung Hwang

Access statistics for papers by Soosung Hwang.

Last updated 2013-04-14. Update your information in the RePEc Author Service.

Short-id: phw8

Working Papers

2006

1. An Analysis of Commercial Real Estate Returns: Is there a Smoothing Puzzle?
   Real Estate & Planning Working Papers, Henley Business School, Reading University
2. An Asymptotics of Stationary and Nonstationary AR(1) Processes with Multiple Structural Breaks in Mean
   Working Papers, Warwick Business School, Financial Econometrics Research Centre
3. The Asymptotic Properties of AR(1) Process with the Occasionally Changing AR Coefficient
   Working Papers, Warwick Business School, Financial Econometrics Research Centre

2005

4. Performance Measurement with Loss Aversion
   Working Papers, Warwick Business School, Financial Econometrics Research Centre
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005)
   Working Papers, Warwick Business School, Financial Econometrics Research Centre (2005)
5. Smoothing, Nonsynchronous Appraisal and Cross-Sectional Aggreagation in Real Estate Price Indices
   Working Papers, Warwick Business School, Financial Econometrics Research Centre
   See also Journal Article in Real Estate Economics (2007)

2004

6. How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations
   Econometric Society 2004 Latin American Meetings, Econometric Society View citations (1)
7. Market Stress and Herding
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (13)
   See also Journal Article in Journal of Empirical Finance (2004)

2003

8. Small Sample Properties of GARCH Estimates and Persistence
   Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa View citations (9)
   See also Journal Article in European Journal of Finance (2006)

2002

9. On Empirical Risk Measurement with Asymmetric Returns Data
   Working Papers, Warwick Business School, Financial Econometrics Research Centre

2001

10. A New Measure of Herding and Empirical Evidence
    Working Papers, Warwick Business School, Financial Econometrics Research Centre
11. An Analysis of Performance Measures Using Copulae
    Working Papers, Warwick Business School, Financial Econometrics Research Centre View citations (1)
12. GARCH Model with Cross-sectional Volatility; GARCHX Models
    Working Papers, Warwick Business School, Financial Econometrics Research Centre
    See also Journal Article in Applied Financial Economics (2005)
13. The Asset Allocation Decision in a Loss Aversion World
    Working Papers, Warwick Business School, Financial Econometrics Research Centre
14. Tracking Error: Ex-Ante versus Ex-Post Measures
    Working Papers, Warwick Business School, Financial Econometrics Research Centre View citations (4)

2000

15. Calculating the Miss-specification in Beta from Using a Proxy for the Market Portfolio
    Working Papers, Warwick Business School, Financial Econometrics Research Centre
    See also Journal Article in Applied Financial Economics (2002)
16. Properties of Cross-sectional Volatility
    Working Papers, Warwick Business School, Financial Econometrics Research Centre View citations (4)
17. Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (5)
18. Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return Models
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (1)
    Also in Working Papers, Warwick Business School, Financial Econometrics Research Centre (1999)
    See also Journal Article in Journal of Banking & Finance (2002)
19. Valuing Information Using Utility Functions
    Working Papers, Warwick Business School, Financial Econometrics Research Centre

1999

20. Forecasting Volatility using LINEX Loss Functions
    Working Papers, Warwick Business School, Financial Econometrics Research Centre View citations (1)
21. Improved Testing for the Efficiency of Asset Pricing Theories in Linear Factor Models
    Working Papers, Warwick Business School, Financial Econometrics Research Centre
22. Market Risk and the Concept of Fundamental Volatility: Measuring Volatility Across Asset and Derivative Markets and Testing for the Impact of Derivatives Markets on Financial Markets
    Working Papers, Warwick Business School, Financial Econometrics Research Centre View citations (1)
    See also Journal Article in Journal of Banking & Finance (2000)
23. Modelling Emerging Market Risk Premia Using Higher Moments
    Working Papers, Warwick Business School, Financial Econometrics Research Centre View citations (20)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1998) View citations (4)
    See also Journal Article in International Journal of Finance & Economics (1999)
24. The Disappearance of Style in the US Equity Market
    Working Papers, Warwick Business School, Financial Econometrics Research Centre View citations (5)
    See also Journal Article in Applied Financial Economics (2007)
25. The Effects of Systematic Sampling and Temporal Aggregation on Discrete Time Long Memory Processes and their Finite Sample Properties
    Working Papers, Warwick Business School, Financial Econometrics Research Centre
    See also Journal Article in Econometric Theory (2000)

1998

26. Implied Volatility Forecasting: A Comparison of Different Procedures
    Accounting and Finance Discussion Papers, Faculty of Economics, University of Cambridge View citations (7)

1997

27. An Integrated Risk Measure with Application to UK Asset Allocation
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
28. Market Risk and the Concept of Fundamental Volatility
    Accounting and Finance Discussion Papers, Faculty of Economics, University of Cambridge View citations (2)

Journal Articles

2012

1. The Optimal Mortgage Loan Portfolio in UK Regional Residential Real Estate
   The Journal of Real Estate Finance and Economics, 2012, 45, (3), 645-677

2010

2. How loss averse are investors in financial markets?
   Journal of Banking & Finance, 2010, 34, (10), 2425-2438 View citations (10)

2008

3. 'Irrational exuberance' in the long-run UK stock market
   Applied Economics, 2008, 40, (24), 3199-3211 View citations (2)
4. Surprise vs anticipated information announcements: Are prices affected differently? An investigation in the context of stock splits
   Journal of Banking & Finance, 2008, 32, (5), 643-653 View citations (3)

2007

5. Does downside beta matter in asset pricing?
   Applied Financial Economics, 2007, 17, (12), 961-978 View citations (5)
6. How Persistent is Stock Return Volatility? An Answer with Markov Regime Switching Stochastic Volatility Models
   Journal of Business Finance & Accounting, 2007, 34, (5-6), 1002-1024 View citations (4)
7. Marketing Period Risk in a Portfolio Context: Theory and Empirical Estimates from the UK Commercial Real Estate Market
   The Journal of Real Estate Finance and Economics, 2007, 34, (4), 447-461 View citations (9)
8. Smoothing, Nonsynchronous Appraisal and Cross-Sectional Aggregation in Real Estate Price Indices
   Real Estate Economics, 2007, 35, (3), 349-382 View citations (3)
   See also Working Paper (2005)
9. The disappearance of style in the US equity market
   Applied Financial Economics, 2007, 17, (8), 597-613 View citations (3)
   See also Working Paper (1999)

2006

10. Small sample properties of GARCH estimates and persistence
    European Journal of Finance, 2006, 12, (6-7), 473-494 View citations (8)
    See also Working Paper (2003)

2005

11. GARCH model with cross-sectional volatility: GARCHX models
    Applied Financial Economics, 2005, 15, (3), 203-216 View citations (7)
    See also Working Paper (2001)
12. Valuing information using utility functions: how much should we pay for linear factor models?
    European Journal of Finance, 2005, 11, (1), 1-16

2004

13. Asymmetric risk measures when modelling emerging markets equities: evidence for regional and timing effects
    Emerging Markets Review, 2004, 5, (1), 109-128 View citations (9)
14. Market stress and herding
    Journal of Empirical Finance, 2004, 11, (4), 585-616 View citations (16)
    See also Working Paper (2004)

2003

15. A Measure of Fundamental Volatility in the Commercial Property Market
    Real Estate Economics, 2003, 31, (4), 577-600 View citations (6)

2002

16. Calculating the misspecification in beta from using a proxy for the market portfolio
    Applied Financial Economics, 2002, 12, (11), 771-781 View citations (2)
    See also Working Paper (2000)
17. Using Bayesian variable selection methods to choose style factors in global stock return models
    Journal of Banking & Finance, 2002, 26, (12), 2301-2325 View citations (4)
    See also Working Paper (2000)

2001

18. Forecasting Nonlinear Functions of Returns Using LINEX Loss Functions
    Annals of Economics and Finance, 2001, 2, (1), 187-213 View citations (5)

2000

19. Exponential risk measure with application to UK asset allocation
    Applied Mathematical Finance, 2000, 7, (2), 127-152
20. Market risk and the concept of fundamental volatility: Measuring volatility across asset and derivative markets and testing for the impact of derivatives markets on financial markets
    Journal of Banking & Finance, 2000, 24, (5), 759-785 View citations (5)
    See also Working Paper (1999)
21. THE EFFECTS OF SYSTEMATIC SAMPLING AND TEMPORAL AGGREGATION ON DISCRETE TIME LONG MEMORY PROCESSES AND THEIR FINITE SAMPLE PROPERTIES
    Econometric Theory, 2000, 16, (03), 347-372 View citations (2)
    See also Working Paper (1999)

1999

22. Modelling Emerging Market Risk Premia Using Higher Moments
    International Journal of Finance & Economics, 1999, 4, (4), 271-96 View citations (24)
    See also Working Paper (1999)