Details about Seong-Min Yoon

Access statistics for papers by Seong-Min Yoon.

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Short-id: pyo53

Working Papers

2020

1. Are the interdependence characteristics of the US and Canadian energy equity sectors nonlinear and asymmetric?
   Post-Print, HAL View citations (5)
   See also Journal Article Are the interdependence characteristics of the US and Canadian energy equity sectors nonlinear and asymmetric?, The North American Journal of Economics and Finance, Elsevier (2020) View citations (5) (2020)
2. Inflation cycle synchronization in ASEAN countries
   Post-Print, HAL View citations (1)
   See also Journal Article Inflation cycle synchronization in ASEAN countries, Physica A: Statistical Mechanics and its Applications, Elsevier (2020) View citations (1) (2020)
3. OPEC News and Jumps in the Oil Market
   Working Papers, University of Pretoria, Department of Economics
   See also Journal Article OPEC news and jumps in the oil market, Energy Economics, Elsevier (2021) View citations (10) (2021)
4. Spillovers and diversification potential of bank equity returns from developed and emerging America
   Post-Print, HAL View citations (15)
   See also Journal Article Spillovers and diversification potential of bank equity returns from developed and emerging America, The North American Journal of Economics and Finance, Elsevier (2020) View citations (15) (2020)
5. The Effect of Air Quality and Weather on the Chinese Stock Market: Evidence from Shenzhen Stock Exchange
   Working Papers, University of Pretoria, Department of Economics

2019

6. The impact of financial and economic factors on Islamic mutual fund performance: Evidence from multiple fund categories
   Post-Print, HAL View citations (4)
   See also Journal Article The impact of financial and economic factors on Islamic mutual fund performance: Evidence from multiple fund categories, Journal of Multinational Financial Management, Elsevier (2019) View citations (4) (2019)
7. Who leads the inflation cycle in Europe? Inflation cycle and spillover influence among Eurozone and non-Eurozone economies
   Post-Print, HAL View citations (1)
   See also Journal Article Who leads the inflation cycle in Europe? Inflation cycle and spillover influence among Eurozone and non-Eurozone economies, International Economics, Elsevier (2019) View citations (1) (2019)

2018

8. Swing in the Fed’s balance sheet policy and spillover effects on emerging Asian countries
   MPRA Paper, University Library of Munich, Germany
9. Time-varying evidence of efficiency, decoupling, and diversification of conventional and Islamic stocks
   Post-Print, HAL View citations (13)
   See also Journal Article Time-varying evidence of efficiency, decoupling, and diversification of conventional and Islamic stocks, International Review of Financial Analysis, Elsevier (2018) View citations (13) (2018)

2017

10. OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration, Advances in Decision Sciences, Asia University, Taiwan (2019) View citations (3) (2019)
11. OPEC News and Predictability of Oil Futures Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantiles Approach
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article OPEC news and predictability of oil futures returns and volatility: Evidence from a nonparametric causality-in-quantiles approach, The North American Journal of Economics and Finance, Elsevier (2018) View citations (21) (2018)

2014

12. Dynamic spillovers among major energy and cereal commodity prices
    Working Papers, Department of Research, Ipag Business School View citations (170)
    See also Journal Article Dynamic spillovers among major energy and cereal commodity prices, Energy Economics, Elsevier (2014) View citations (162) (2014)
13. Structural Breaks, Dynamic Correlations, Volatility Transmission, and Hedging Strategies for International Petroleum Prices and U.S. Dollar Exchange Rate
    Working Papers, Economic Research Forum View citations (1)

2012

14. Modelling and forecasting the volatility of petroleum futures prices
    EcoMod2012, EcoMod View citations (6)
    See also Journal Article Modeling and forecasting the volatility of petroleum futures prices, Energy Economics, Elsevier (2013) View citations (70) (2013)

2005

15. Dynamical Minority Games in Futures Exchange Markets
    Papers, arXiv.org
16. Dynamical Stochastic Processes of Returns in Financial Markets
    Papers, arXiv.org
    See also Journal Article Dynamical stochastic processes of returns in financial markets, Physica A: Statistical Mechanics and its Applications, Elsevier (2007) (2007)
17. Dynamical Structures of High-Frequency Financial Data
    Papers, arXiv.org
    See also Journal Article Dynamical structures of high-frequency financial data, Physica A: Statistical Mechanics and its Applications, Elsevier (2007) View citations (1) (2007)

2004

18. Dynamical Volatilities for Yen-Dollar Exchange Rates
    Papers, arXiv.org
    See also Journal Article Dynamical volatilities for yen–dollar exchange rates, Physica A: Statistical Mechanics and its Applications, Elsevier (2006) View citations (6) (2006)
19. Herd Behaviors in Financial Markets
    Papers, arXiv.org View citations (3)
20. Multifractal Measures for the Yen-Dollar Exchange Rate
    Papers, arXiv.org
21. Phase Transition of Dynamical Herd Behaviors in Financial Markets
    Papers, arXiv.org View citations (1)
22. Power Law Distributions for Stock Prices in Financial Markets
    Papers, arXiv.org View citations (1)
23. Power Law Distributions in Korean Household Incomes
    Papers, arXiv.org View citations (4)
24. Zipf's Law Distributions for Korean Stock Prices
    Papers, arXiv.org

2003

25. Herd Behavior of Returns in the Futures Exchange Market
    Papers, arXiv.org
26. Herd Behaviors in the Stock and Foreign Exchange Markets
    Papers, arXiv.org
    See also Journal Article Herd behaviors in the stock and foreign exchange markets, Physica A: Statistical Mechanics and its Applications, Elsevier (2004) View citations (7) (2004)
27. Multifractal Features in the Foreign Exchange and Stock Markets
    Papers, arXiv.org
28. Volatility and Returns in Korean Futures Exchange Markets
    Papers, arXiv.org

2002

29. Dynamical Behavior of Continuous Tick Data in Futures Exchange Market
    Papers, arXiv.org View citations (5)

Journal Articles

2024

1. Does the dynamics between government bond and equity markets validate the adaptive market hypothesis? evidence from transfer entropy
   Applied Economics, 2024, 56, (2), 186-201
2. Dynamic connectedness among regional FinTech indices in times of turbulences
   Applied Economics Letters, 2024, 31, (7), 670-675 View citations (1)
3. Interdependence and spillovers between big oil companies and regional and global energy equity markets
   International Review of Economics & Finance, 2024, 92, (C), 451-469
4. Interdependence between foreign exchange rate and international reserves: Fresh evidence from China
   Research in International Business and Finance, 2024, 69, (C)
5. Macroeconomic determinants of the long-term correlation between stock and exchange rate markets in China: A DCC-MIDAS-X approach considering structural breaks
   Finance Research Letters, 2024, 61, (C) View citations (2)
6. Switching spillovers and connectedness between Sukuk and international Islamic stock markets
   Pacific-Basin Finance Journal, 2024, 84, (C)

2023

7. Can bonds hedge stock market risks? Green bonds vs conventional bonds
   Finance Research Letters, 2023, 52, (C) View citations (28)
8. Effect of weather and environmental attentions on financial system risks: Evidence from Chinese high- and low-carbon assets
   Energy Economics, 2023, 121, (C) View citations (6)
9. Risks in Major Cryptocurrency Markets: Modeling the Dual Long Memory Property and Structural Breaks
   Sustainability, 2023, 15, (3), 1-15 View citations (1)
10. Spillovers and hedging between US equity sectors and gold, oil, islamic stocks and implied volatilities
    Resources Policy, 2023, 81, (C) View citations (23)
11. Upside/Downside spillovers between oil and Chinese stock sectors: From the global financial crisis to global pandemic
    The North American Journal of Economics and Finance, 2023, 67, (C) View citations (2)

2022

12. Dependence Structure between Bitcoin and Economic Policy Uncertainty: Evidence from Time–Frequency Quantile-Dependence Methods
    IJFS, 2022, 10, (3), 1-14
13. Dynamic risk spillovers from oil to stock markets: Fresh evidence from GARCH copula quantile regression-based CoVaR model
    Energy Economics, 2022, 115, (C) View citations (16)
14. Effect of Increasing Import Competition from China on the Local Labor Market: Evidence from Sweden
    Sustainability, 2022, 14, (5), 1-18 View citations (1)
15. Herding behaviour in Korea’s cryptocurrency market
    Applied Economics, 2022, 54, (24), 2795-2809
16. Interdependence and portfolio optimisation of bank equity returns from developed and emerging Europe
    International Journal of Finance & Economics, 2022, 27, (1), 678-696 View citations (1)
17. Nonlinear dependence and spillovers between cryptocurrency and global/regional equity markets
    Pacific-Basin Finance Journal, 2022, 74, (C) View citations (4)
18. Nonlinear spillover and portfolio allocation characteristics of energy equity sectors: Evidence from the United States and Canada
    Review of International Economics, 2022, 30, (1), 1-33
19. On the interdependence between biofuel, fossil fuel and agricultural food prices: Evidence from quantile tests
    Renewable Energy, 2022, 199, (C), 536-545 View citations (11)
20. Spillovers and portfolio optimization of precious metals and global/regional equity markets
    Applied Economics, 2022, 54, (20), 2320-2342 View citations (1)
21. The influence of oil, gold and stock market index on US equity sectors
    Applied Economics, 2022, 54, (6), 719-732 View citations (4)

2021

22. Does oil price variability affect the long memory and weak form efficiency of stock markets in top oil producers and oil Consumers? Evidence from an asymmetric MF-DFA approach
    The North American Journal of Economics and Finance, 2021, 57, (C) View citations (14)
23. Dynamic Connectedness and Portfolio Diversification during the Coronavirus Disease 2019 Pandemic: Evidence from the Cryptocurrency Market
    Sustainability, 2021, 13, (14), 1-14 View citations (4)
24. Financial instability and environmental degradation: a panel data investigation
    Applied Economics, 2021, 53, (54), 6319-6331 View citations (2)
25. How can investors build a better portfolio in small open economies? Evidence from Asia’s Four Little Dragons
    The North American Journal of Economics and Finance, 2021, 58, (C) View citations (8)
26. How have the dependence structures between stock markets and economic factors changed during the COVID-19 pandemic?
    The North American Journal of Economics and Finance, 2021, 58, (C) View citations (9)
27. Is there a systemic risk between Sharia, Sukuk, and GCC stock markets? A ΔCoVaR risk metric‐based copula approach
    International Journal of Finance & Economics, 2021, 26, (2), 2904-2926 View citations (2)
28. Measuring Energy Poverty and Its Impact on Economic Growth in Pakistan
    Sustainability, 2021, 13, (19), 1-19 View citations (7)
29. Network Interdependence and Optimization of Bank Portfolios from Developed and Emerging Asia Pacific Countries
    Asia-Pacific Financial Markets, 2021, 28, (4), 613-647
30. Nonlinear dependence and connectedness between clean/renewable energy sector equity and European emission allowance prices
    Energy Economics, 2021, 101, (C) View citations (56)
31. OPEC news and jumps in the oil market
    Energy Economics, 2021, 96, (C) View citations (10)
    See also Working Paper OPEC News and Jumps in the Oil Market, Working Papers (2020) (2020)
32. Quantile connectedness among gold, gold mining, silver, oil and energy sector uncertainty indexes
    Resources Policy, 2021, 74, (C) View citations (9)
33. Spillovers and connectedness between major precious metals and major currency markets: The role of frequency factor
    International Review of Financial Analysis, 2021, 74, (C) View citations (41)
34. Spillovers and portfolio optimization of agricultural commodity and global equity markets
    Applied Economics, 2021, 53, (12), 1326-1341 View citations (6)
35. Tail dependence risk and spillovers between oil and food prices
    The Quarterly Review of Economics and Finance, 2021, 80, (C), 195-209 View citations (18)
36. The Effect of Air Quality and Weather on the Chinese Stock: Evidence from Shenzhen Stock Exchange
    Sustainability, 2021, 13, (5), 1-20 View citations (1)

2020

37. Analysis of the Informational Efficiency of the EU Carbon Emission Trading Market: Asymmetric MF-DFA Approach
    Energies, 2020, 13, (9), 1-14 View citations (10)
38. Are the interdependence characteristics of the US and Canadian energy equity sectors nonlinear and asymmetric?
    The North American Journal of Economics and Finance, 2020, 51, (C) View citations (5)
    See also Working Paper Are the interdependence characteristics of the US and Canadian energy equity sectors nonlinear and asymmetric?, Post-Print (2020) View citations (5) (2020)
39. Asymmetric Dependence between Oil Prices and Maritime Freight Rates: A Time-Varying Copula Approach
    Sustainability, 2020, 12, (24), 1-16 View citations (6)
40. Asymmetric dependence structures for regional stock markets: An unconditional quantile regression approach
    The North American Journal of Economics and Finance, 2020, 52, (C) View citations (8)
41. Bitcoin as Hedge or Safe Haven: Evidence from Stock, Currency, Bond and Derivatives Markets
    Computational Economics, 2020, 56, (2), 529-545 View citations (13)
42. Dynamic Spillover and Hedging among Carbon, Biofuel and Oil
    Energies, 2020, 13, (17), 1-19 View citations (13)
43. Dynamic co-movement between oil and stock markets in oil-importing and oil-exporting countries: Two types of wavelet analysis
    Energy Economics, 2020, 90, (C) View citations (82)
44. Dynamic correlation and volatility spillovers across Chinese stock and commodity futures markets
    International Journal of Finance & Economics, 2020, 25, (2), 261-273 View citations (13)
45. Exogenous shocks, dynamic correlations, and portfolio risk management for the Asian emerging and other global developed and emerging stock markets
    Applied Economics, 2020, 52, (43), 4745-4764 View citations (2)
46. Impact of food price volatility on the US restaurant sector
    Applied Economics, 2020, 52, (39), 4250-4262 View citations (1)
47. Inflation cycle synchronization in ASEAN countries
    Physica A: Statistical Mechanics and its Applications, 2020, 545, (C) View citations (1)
    See also Working Paper Inflation cycle synchronization in ASEAN countries, Post-Print (2020) View citations (1) (2020)
48. Investor Sentiment and Herding Behavior in the Korean Stock Market
    IJFS, 2020, 8, (2), 1-14 View citations (10)
49. Regional and copula estimation effects on EU and US energy equity portfolios
    Applied Economics, 2020, 52, (49), 5311-5342 View citations (4)
50. Relationship between International Reserves and FX Rate Movements
    Sustainability, 2020, 12, (17), 1-24 View citations (1)
51. Spillovers and diversification potential of bank equity returns from developed and emerging America
    The North American Journal of Economics and Finance, 2020, 54, (C) View citations (15)
    See also Working Paper Spillovers and diversification potential of bank equity returns from developed and emerging America, Post-Print (2020) View citations (15) (2020)
52. Why cryptocurrency markets are inefficient: The impact of liquidity and volatility
    The North American Journal of Economics and Finance, 2020, 52, (C) View citations (47)

2019

53. Directional spillover effects between ASEAN and world stock markets
    Journal of Multinational Financial Management, 2019, 52-53 View citations (25)
54. Do low gasoline prices cause more traffic fatalities in the 50 states of the USA? The importance of other factors
    Journal of Economic Studies, 2019, 46, (3), 777-795
55. Dynamic connectedness network in economic policy uncertainties
    Applied Economics Letters, 2019, 26, (1), 74-78 View citations (19)
56. Exploring the time-frequency connectedness and network among crude oil and agriculture commodities V1
    Energy Economics, 2019, 84, (C) View citations (69)
57. FDI, income, and environmental pollution in Latin America: Replication and extension using panel quantiles regression analysis
    Energy Economics, 2019, 84, (C) View citations (33)
58. Financial crises and dynamic spillovers among Chinese stock and commodity futures markets
    Physica A: Statistical Mechanics and its Applications, 2019, 531, (C) View citations (37)
59. Impact of oil price change on airline's stock price and volatility: Evidence from China and South Korea
    Energy Economics, 2019, 78, (C), 668-679 View citations (47)
60. Intraday downward/upward multifractality and long memory in Bitcoin and Ethereum markets: An asymmetric multifractal detrended fluctuation analysis
    Finance Research Letters, 2019, 31, (C), 19-25 View citations (60)
61. Network connectedness and net spillover between financial and commodity markets
    The North American Journal of Economics and Finance, 2019, 48, (C), 801-818 View citations (83)
62. OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration
    Advances in Decision Sciences, 2019, 23, (4), 1-23 View citations (3)
    See also Working Paper OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration, Working Papers (2017) (2017)
63. The Effects of Extreme Weather Conditions on Hong Kong and Shenzhen Stock Market Returns
    IJFS, 2019, 7, (4), 1-14 View citations (2)
64. The impact of financial and economic factors on Islamic mutual fund performance: Evidence from multiple fund categories
    Journal of Multinational Financial Management, 2019, 52-53 View citations (4)
    See also Working Paper The impact of financial and economic factors on Islamic mutual fund performance: Evidence from multiple fund categories, Post-Print (2019) View citations (4) (2019)
65. Time-frequency co-movements between the largest nonferrous metal futures markets
    Resources Policy, 2019, 61, (C), 393-398 View citations (10)
66. What global economic factors drive emerging Asian stock market returns? Evidence from a dynamic model averaging approach
    Economic Modelling, 2019, 77, (C), 204-215 View citations (15)
67. Who leads the inflation cycle in Europe? Inflation cycle and spillover influence among Eurozone and non-Eurozone economies
    International Economics, 2019, 160, (C), 56-71 View citations (1)
    Also in International Economics, 2019, (160), 56-71 (2019) View citations (1)
    See also Working Paper Who leads the inflation cycle in Europe? Inflation cycle and spillover influence among Eurozone and non-Eurozone economies, Post-Print (2019) View citations (1) (2019)

2018

68. A wavelet analysis of co-movements in Asian gold markets
    Physica A: Statistical Mechanics and its Applications, 2018, 492, (C), 192-206 View citations (12)
69. Efficiency, multifractality, and the long-memory property of the Bitcoin market: A comparative analysis with stock, currency, and gold markets
    Finance Research Letters, 2018, 27, (C), 228-234 View citations (129)
70. Impact of oil price risk on sectoral equity markets: Implications on portfolio management
    Energy Economics, 2018, 72, (C), 120-134 View citations (52)
71. Modelling multifractality and efficiency of GCC stock markets using the MF-DFA approach: A comparative analysis of global, regional and Islamic markets
    Physica A: Statistical Mechanics and its Applications, 2018, 503, (C), 1107-1116 View citations (12)
72. Multi-scale causality and extreme tail inter-dependence among housing prices
    Economic Modelling, 2018, 70, (C), 301-309 View citations (3)
73. OPEC news and predictability of oil futures returns and volatility: Evidence from a nonparametric causality-in-quantiles approach
    The North American Journal of Economics and Finance, 2018, 45, (C), 206-214 View citations (21)
    See also Working Paper OPEC News and Predictability of Oil Futures Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantiles Approach, Working Papers (2017) View citations (1) (2017)
74. Structural breaks, dynamic correlations, and hedge and safe havens for stock and foreign exchange markets in Greater China
    The World Economy, 2018, 41, (10), 2783-2803 View citations (9)
75. Time-varying evidence of efficiency, decoupling, and diversification of conventional and Islamic stocks
    International Review of Financial Analysis, 2018, 56, (C), 167-180 View citations (13)
    See also Working Paper Time-varying evidence of efficiency, decoupling, and diversification of conventional and Islamic stocks, Post-Print (2018) View citations (13) (2018)

2017

76. A multifractal detrended fluctuation analysis of financial market efficiency: Comparison using Dow Jones sector ETF indices
    Physica A: Statistical Mechanics and its Applications, 2017, 483, (C), 182-192 View citations (31)
77. Analysing dynamic linkages and hedging strategies between Islamic and conventional sector equity indexes
    Applied Economics, 2017, 49, (25), 2456-2479 View citations (15)
78. Are exchange rates interdependent? Evidence using wavelet analysis
    Applied Economics, 2017, 49, (33), 3231-3245 View citations (10)
79. Cross-country determinants of economic policy uncertainty spillovers
    Economics Letters, 2017, 156, (C), 179-183 View citations (74)
80. Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets
    Energy Economics, 2017, 62, (C), 19-32 View citations (326)
81. Global financial crisis and weak-form efficiency of Islamic sectoral stock markets: An MF-DFA analysis
    Physica A: Statistical Mechanics and its Applications, 2017, 471, (C), 135-146 View citations (38)
82. Impact of macroeconomic factors and country risk ratings on GCC stock markets: evidence from a dynamic panel threshold model with regime switching
    Applied Economics, 2017, 49, (13), 1255-1272 View citations (18)

2016

83. Asymmetric Linkages between BRICS Stock Returns and Country Risk Ratings: Evidence from Dynamic Panel Threshold Models
    Review of International Economics, 2016, 24, (1), 1-19 View citations (40)
84. Dynamic spillovers between Shanghai and London nonferrous metal futures markets
    Finance Research Letters, 2016, 19, (C), 181-188 View citations (18)
85. Modeling Time-Varying Correlations in Volatility Between BRICS and Commodity Markets
    Emerging Markets Finance and Trade, 2016, 52, (7), 1698-1723 View citations (37)

2015

86. Structural breaks, dynamic correlations, asymmetric volatility transmission, and hedging strategies for petroleum prices and USD exchange rate
    Energy Economics, 2015, 48, (C), 46-60 View citations (57)

2014

87. Dynamic spillovers among major energy and cereal commodity prices
    Energy Economics, 2014, 43, (C), 225-243 View citations (162)
    See also Working Paper Dynamic spillovers among major energy and cereal commodity prices, Working Papers (2014) View citations (170) (2014)
88. How do OPEC news and structural breaks impact returns and volatility in crude oil markets? Further evidence from a long memory process
    Energy Economics, 2014, 42, (C), 343-354 View citations (74)
89. Structural breaks and long memory in modeling and forecasting volatility of foreign exchange markets of oil exporters: The importance of scheduled and unscheduled news announcements
    International Review of Economics & Finance, 2014, 30, (C), 101-119 View citations (32)

2013

90. Intraday volatility spillovers between spot and futures indices: Evidence from the Korean stock market
    Physica A: Statistical Mechanics and its Applications, 2013, 392, (8), 1795-1802 View citations (23)
91. Modeling and forecasting the volatility of petroleum futures prices
    Energy Economics, 2013, 36, (C), 354-362 View citations (70)
    See also Working Paper Modelling and forecasting the volatility of petroleum futures prices, EcoMod2012 (2012) View citations (6) (2012)

2012

92. Can We Predict Exchange Rate Movements at Short Horizons?
    Journal of Forecasting, 2012, 31, (7), 565-579 View citations (2)

2011

93. Changes of firm size distribution: The case of Korea
    Physica A: Statistical Mechanics and its Applications, 2011, 390, (2), 319-327 View citations (7)
94. Monotone strong increases in risk and their comparative statics
    International Journal of Economic Theory, 2011, 7, (3), 269-281 View citations (1)
95. Structural changes and volatility transmission in crude oil markets
    Physica A: Statistical Mechanics and its Applications, 2011, 390, (23), 4317-4324 View citations (48)
96. The Global Financial Crisis and the Integration of Emerging Stock Markets in Asia
    East Asian Economic Review, 2011, 15, (4), 49-72 View citations (5)

2010

97. Contemporaneous aggregation and long-memory property of returns and volatility in the Korean stock market
    Physica A: Statistical Mechanics and its Applications, 2010, 389, (21), 4844-4854 View citations (5)
98. Long memory volatility in Chinese stock markets
    Physica A: Statistical Mechanics and its Applications, 2010, 389, (7), 1425-1433 View citations (35)
99. Sudden Changes and Persistence in Volatility of Korean Equity Sector Returns
    Korean Economic Review, 2010, 26, 431-451
100. Weather effects on the returns and volatility of the Shanghai stock market
     Physica A: Statistical Mechanics and its Applications, 2010, 389, (1), 91-99 View citations (23)

2009

101. FORECASTING LONG-MEMORY VOLATILITY OF THE AUSTRALIAN FUTURES MARKET
     Theoretical and Applied Economics, 2009, 12(541)(supplement), (12(541)(supplement)), 763-770
102. Forecasting volatility of crude oil markets
     Energy Economics, 2009, 31, (1), 119-125 View citations (215)
103. Modeling and Forecasting the Volatility of Eastern European Emerging Markets
     East Asian Economic Review, 2009, 13, (1), 113-132
104. Modeling sudden volatility changes: Evidence from Japanese and Korean stock markets
     Physica A: Statistical Mechanics and its Applications, 2009, 388, (17), 3543-3550 View citations (26)
105. VALUE-AT-RISK ANALYSIS OF KOSPI 200 SECTOR INDICES
     Theoretical and Applied Economics, 2009, 12(541)(supplement), (12(541)(supplement)), 771-777
106. VOLATILITY DYNAMICS OF EURO–DOLLAR FOREIGN EXCHANGE MARKET
     Theoretical and Applied Economics, 2009, 12(541)(supplement), (12(541)(supplement)), 756-762
107. Value-at-Risk Analysis for Asian Emerging Markets: Asymmetry and Fat Tails in Returns Innovation
     Korean Economic Review, 2009, 25, 387-411 View citations (2)
108. Weather effects on returns: Evidence from the Korean stock market
     Physica A: Statistical Mechanics and its Applications, 2009, 388, (5), 682-690 View citations (32)

2008

109. Asymmetry and Long Memory Features in Volatility: Evidence From Korean Stock Market
     Korean Economic Review, 2008, 24, 383-412 View citations (4)
110. Long memory features in the high frequency data of the Korean stock market
     Physica A: Statistical Mechanics and its Applications, 2008, 387, (21), 5189-5196 View citations (26)

2007

111. A Skewed Student-t Value-at-Risk Approach for Long Memory Volatility Processes in Japanese Financial Markets
     East Asian Economic Review, 2007, 11, (1), 211-240 View citations (2)
112. Dynamical stochastic processes of returns in financial markets
     Physica A: Statistical Mechanics and its Applications, 2007, 376, (C), 517-524
     See also Working Paper Dynamical Stochastic Processes of Returns in Financial Markets, Papers (2005) (2005)
113. Dynamical structures of high-frequency financial data
     Physica A: Statistical Mechanics and its Applications, 2007, 376, (C), 525-531 View citations (1)
     See also Working Paper Dynamical Structures of High-Frequency Financial Data, Papers (2005) (2005)
114. Long memory properties in return and volatility: Evidence from the Korean stock market
     Physica A: Statistical Mechanics and its Applications, 2007, 385, (2), 591-600 View citations (44)

2006

115. Dynamical volatilities for yen–dollar exchange rates
     Physica A: Statistical Mechanics and its Applications, 2006, 359, (C), 569-575 View citations (6)
     See also Working Paper Dynamical Volatilities for Yen-Dollar Exchange Rates, Papers (2004) (2004)
116. Phase transition of dynamical herd behaviors for Yen–Dollar exchange rates
     Physica A: Statistical Mechanics and its Applications, 2006, 359, (C), 563-568 View citations (1)

2004

117. Dynamics of the minority game for patients
     Physica A: Statistical Mechanics and its Applications, 2004, 344, (1), 30-35
118. Herd behaviors in the stock and foreign exchange markets
     Physica A: Statistical Mechanics and its Applications, 2004, 341, (C), 526-532 View citations (7)
     See also Working Paper Herd Behaviors in the Stock and Foreign Exchange Markets, Papers (2003) (2003)
119. Multifractal features of financial markets
     Physica A: Statistical Mechanics and its Applications, 2004, 344, (1), 272-278 View citations (28)