Details about Beum Jo Park

Access statistics for papers by Beum Jo Park.

Last updated 2021-12-31. Update your information in the RePEc Author Service.

Short-id: ppa753

Working Papers

2017

1. A Dynamic Measure of Intentional Herd Behavior in Financial Markets
   MPRA Paper, University Library of Munich, Germany View citations (1)

Journal Articles

2022

1. The COVID-19 pandemic, volatility, and trading behavior in the bitcoin futures market
   Research in International Business and Finance, 2022, 59, (C) View citations (9)

2016

2. Investors' Herd Behavior and its Relation with Volatility in the Korean Stock Market (in Korean)
   Economic Analysis (Quarterly), 2016, 22, (3), 70-93

2015

3. Risk Preferences in Decision Making and Cognitive Ability: An Experimental Analysis (in Korean)
   Economic Analysis (Quarterly), 2015, 21, (2), 63-89
4. Tobin Tax and Volatility: A Threshold Quantile Autoregressive Regression Framework
   Review of International Economics, 2015, 23, (5), 996-1022 View citations (2)

2014

5. The Short-Term Risk Premium Puzzle: Revisited by Dynamic Herd Behavior (in Korean)
   Economic Analysis (Quarterly), 2014, 20, (2), 1-26
6. Time-varying, heterogeneous risk aversion and dynamics of asset prices among boundedly rational agents
   Journal of Banking & Finance, 2014, 43, (C), 150-159 View citations (15)

2013

7. Volatility Regimes and the Relationship between Volatility, Trading Volume, and Spreads in the FX market (in Korean)
   Economic Analysis (Quarterly), 2013, 19, (2), 1-23

2012

8. Dynamics of Asset Prices Based on Time-varying Risk Aversion and Adaptive Beliefs System (in Korean)
   Economic Analysis (Quarterly), 2012, 18, (3), 157-187

2011

9. Asymmetric herding as a source of asymmetric return volatility
   Journal of Banking & Finance, 2011, 35, (10), 2657-2665 View citations (26)
10. Forecasting Volatility in Financial Markets Using a Bivariate Stochastic Volatility Model with Surprising Information
    Journal for Economic Forecasting, 2011, (3), 37-58
11. The extension of a continuous beliefs system and analyzing herd behavior in stock markets (in Korean)
    Economic Analysis (Quarterly), 2011, 17, (2), 27-55

2010

12. Surprising information, the MDH, and the relationship between volatility and trading volume
    Journal of Financial Markets, 2010, 13, (3), 344-366 View citations (21)

2009

13. Risk-return relationship in equity markets: using a robust GMM estimator for GARCH-M models
    Quantitative Finance, 2009, 9, (1), 93-104 View citations (3)

2008

14. A Study on the Relationship between Volatility and Trading Volumes Using a Surprising-Information-Stochastic-Volatility(SISV) Model (in Korean)
    Economic Analysis (Quarterly), 2008, 14, (4), 47-85

2007

15. TRADING VOLUME, VOLATILITY, AND GARCH EFFECTS IN THE SOUTH KOREAN WON/US DOLLAR EXCHANGE MARKET: EVIDENCE FROM CONDITIONAL QUANTILE ESTIMATION*
    The Japanese Economic Review, 2007, 58, (3), 382-399 View citations (5)
16. The Impact of Surprise Information on the Relation between Volatility and Trading Volume in Exchange Rate Markets (in Korean)
    Economic Analysis (Quarterly), 2007, 13, (1), 56-87

2002

17. An Outlier Robust GARCH Model and Forecasting Volatility of Exchange Rate Returns
    Journal of Forecasting, 2002, 21, (5), 381-93 View citations (29)
18. Asymmetric Volatility of Exchange Rate Returns Under The EMS: Some Evidence From Quantile Regression Approach for Tgarch Models
    International Economic Journal, 2002, 16, (1), 105-125 View citations (1)

1996

19. An interior point algorithm for nonlinear quantile regression
    Journal of Econometrics, 1996, 71, (1-2), 265-283 View citations (84)