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Details about Seong-Min Yoon

E-mail:
Workplace:Department of Economics, Pusan National University, (more information at EDIRC)
Institut de Préparation à l'Administration et à la Gestion (IPAG) (IPAG Business School), (more information at EDIRC)

Access statistics for papers by Seong-Min Yoon.

Last updated 2019-03-26. Update your information in the RePEc Author Service.

Short-id: pyo53


Jump to Journal Articles

Working Papers

2018

  1. Swing in the Fed’s balance sheet policy and spillover effects on emerging Asian countries
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Time-varying evidence of efficiency, decoupling, and diversification of conventional and Islamic stocks
    Post-Print, HAL View citations (2)
    See also Journal Article in International Review of Financial Analysis (2018)

2017

  1. OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration
    Working Papers, University of Pretoria, Department of Economics Downloads
  2. 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
    See also Journal Article in The North American Journal of Economics and Finance (2018)

2014

  1. Dynamic spillovers among major energy and cereal commodity prices
    Working Papers, Department of Research, Ipag Business School Downloads View citations (68)
    See also Journal Article in Energy Economics (2014)
  2. Structural Breaks, Dynamic Correlations, Volatility Transmission, and Hedging Strategies for International Petroleum Prices and U.S. Dollar Exchange Rate
    Working Papers, Economic Research Forum Downloads

2012

  1. Modelling and forecasting the volatility of petroleum futures prices
    EcoMod2012, EcoMod Downloads View citations (2)
    See also Journal Article in Energy Economics (2013)

2005

  1. Dynamical Minority Games in Futures Exchange Markets
    Papers, arXiv.org Downloads
  2. Dynamical Stochastic Processes of Returns in Financial Markets
    Papers, arXiv.org Downloads
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2007)
  3. Dynamical Structures of High-Frequency Financial Data
    Papers, arXiv.org Downloads
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2007)

2004

  1. Dynamical Volatilities for Yen-Dollar Exchange Rates
    Papers, arXiv.org Downloads
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2006)
  2. Herd Behaviors in Financial Markets
    Papers, arXiv.org Downloads View citations (2)
  3. Multifractal Measures for the Yen-Dollar Exchange Rate
    Papers, arXiv.org Downloads
  4. Phase Transition of Dynamical Herd Behaviors in Financial Markets
    Papers, arXiv.org Downloads View citations (1)
  5. Power Law Distributions for Stock Prices in Financial Markets
    Papers, arXiv.org Downloads
  6. Power Law Distributions in Korean Household Incomes
    Papers, arXiv.org Downloads View citations (3)
  7. Zipf's Law Distributions for Korean Stock Prices
    Papers, arXiv.org Downloads

2003

  1. Herd Behavior of Returns in the Futures Exchange Market
    Papers, arXiv.org Downloads
  2. Herd Behaviors in the Stock and Foreign Exchange Markets
    Papers, arXiv.org Downloads
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2004)
  3. Multifractal Features in the Foreign Exchange and Stock Markets
    Papers, arXiv.org Downloads
  4. Volatility and Returns in Korean Futures Exchange Markets
    Papers, arXiv.org Downloads

2002

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

Journal Articles

2019

  1. Dynamic connectedness network in economic policy uncertainties
    Applied Economics Letters, 2019, 26, (1), 74-78 Downloads

2018

  1. A wavelet analysis of co-movements in Asian gold markets
    Physica A: Statistical Mechanics and its Applications, 2018, 492, (C), 192-206 Downloads View citations (3)
  2. 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 Downloads View citations (3)
  3. Impact of oil price risk on sectoral equity markets: Implications on portfolio management
    Energy Economics, 2018, 72, (C), 120-134 Downloads View citations (3)
  4. 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 Downloads
  5. Multi-scale causality and extreme tail inter-dependence among housing prices
    Economic Modelling, 2018, 70, (C), 301-309 Downloads
  6. 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 Downloads View citations (4)
    See also Working Paper (2017)
  7. 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 Downloads
  8. Time-varying evidence of efficiency, decoupling, and diversification of conventional and Islamic stocks
    International Review of Financial Analysis, 2018, 56, (C), 167-180 Downloads View citations (2)
    See also Working Paper (2018)

2017

  1. 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 Downloads View citations (9)
  2. Analysing dynamic linkages and hedging strategies between Islamic and conventional sector equity indexes
    Applied Economics, 2017, 49, (25), 2456-2479 Downloads
  3. Are exchange rates interdependent? Evidence using wavelet analysis
    Applied Economics, 2017, 49, (33), 3231-3245 Downloads
  4. Cross-country determinants of economic policy uncertainty spillovers
    Economics Letters, 2017, 156, (C), 179-183 Downloads View citations (8)
  5. Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets
    Energy Economics, 2017, 62, (C), 19-32 Downloads View citations (19)
  6. 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 Downloads View citations (13)
  7. 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 Downloads View citations (1)

2016

  1. 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 Downloads View citations (13)
  2. Dynamic spillovers between Shanghai and London nonferrous metal futures markets
    Finance Research Letters, 2016, 19, (C), 181-188 Downloads View citations (3)
  3. Modeling Time-Varying Correlations in Volatility Between BRICS and Commodity Markets
    Emerging Markets Finance and Trade, 2016, 52, (7), 1698-1723 Downloads View citations (8)

2015

  1. Structural breaks, dynamic correlations, asymmetric volatility transmission, and hedging strategies for petroleum prices and USD exchange rate
    Energy Economics, 2015, 48, (C), 46-60 Downloads View citations (17)

2014

  1. Dynamic spillovers among major energy and cereal commodity prices
    Energy Economics, 2014, 43, (C), 225-243 Downloads View citations (75)
    See also Working Paper (2014)
  2. 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 Downloads View citations (32)
  3. 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 Downloads View citations (17)

2013

  1. 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 Downloads View citations (8)
  2. Modeling and forecasting the volatility of petroleum futures prices
    Energy Economics, 2013, 36, (C), 354-362 Downloads View citations (35)
    See also Working Paper (2012)

2012

  1. Can We Predict Exchange Rate Movements at Short Horizons?
    Journal of Forecasting, 2012, 31, (7), 565-579 View citations (1)

2011

  1. Changes of firm size distribution: The case of Korea
    Physica A: Statistical Mechanics and its Applications, 2011, 390, (2), 319-327 Downloads View citations (3)
  2. Monotone strong increases in risk and their comparative statics
    International Journal of Economic Theory, 2011, 7, (3), 269-281 Downloads View citations (1)
  3. Structural changes and volatility transmission in crude oil markets
    Physica A: Statistical Mechanics and its Applications, 2011, 390, (23), 4317-4324 Downloads View citations (33)
  4. The Global Financial Crisis and the Integration of Emerging Stock Markets in Asia
    East Asian Economic Review, 2011, 15, (4), 49-72 Downloads View citations (1)

2010

  1. 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 Downloads View citations (2)
  2. Long memory volatility in Chinese stock markets
    Physica A: Statistical Mechanics and its Applications, 2010, 389, (7), 1425-1433 Downloads View citations (22)
  3. Sudden Changes and Persistence in Volatility of Korean Equity Sector Returns
    Korean Economic Review, 2010, 26, 431-451 Downloads
  4. Weather effects on the returns and volatility of the Shanghai stock market
    Physica A: Statistical Mechanics and its Applications, 2010, 389, (1), 91-99 Downloads View citations (9)

2009

  1. FORECASTING LONG-MEMORY VOLATILITY OF THE AUSTRALIAN FUTURES MARKET
    Theoretical and Applied Economics, 2009, 12(541)(supplement), (12(541)(supplement)), 763-770 Downloads
  2. Forecasting volatility of crude oil markets
    Energy Economics, 2009, 31, (1), 119-125 Downloads View citations (127)
  3. Modeling and Forecasting the Volatility of Eastern European Emerging Markets
    East Asian Economic Review, 2009, 13, (1), 113-132 Downloads
  4. Modeling sudden volatility changes: Evidence from Japanese and Korean stock markets
    Physica A: Statistical Mechanics and its Applications, 2009, 388, (17), 3543-3550 Downloads View citations (14)
  5. VALUE-AT-RISK ANALYSIS OF KOSPI 200 SECTOR INDICES
    Theoretical and Applied Economics, 2009, 12(541)(supplement), (12(541)(supplement)), 771-777 Downloads
  6. VOLATILITY DYNAMICS OF EURO–DOLLAR FOREIGN EXCHANGE MARKET
    Theoretical and Applied Economics, 2009, 12(541)(supplement), (12(541)(supplement)), 756-762 Downloads
  7. Value-at-Risk Analysis for Asian Emerging Markets: Asymmetry and Fat Tails in Returns Innovation
    Korean Economic Review, 2009, 25, 387-411 Downloads
  8. Weather effects on returns: Evidence from the Korean stock market
    Physica A: Statistical Mechanics and its Applications, 2009, 388, (5), 682-690 Downloads View citations (10)

2008

  1. Asymmetry and Long Memory Features in Volatility: Evidence From Korean Stock Market
    Korean Economic Review, 2008, 24, 383-412 Downloads View citations (3)
  2. 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 Downloads View citations (19)

2007

  1. 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 Downloads
  2. Dynamical stochastic processes of returns in financial markets
    Physica A: Statistical Mechanics and its Applications, 2007, 376, (C), 517-524 Downloads
    See also Working Paper (2005)
  3. Dynamical structures of high-frequency financial data
    Physica A: Statistical Mechanics and its Applications, 2007, 376, (C), 525-531 Downloads View citations (1)
    See also Working Paper (2005)
  4. 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 Downloads View citations (23)

2006

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

2004

  1. Dynamics of the minority game for patients
    Physica A: Statistical Mechanics and its Applications, 2004, 344, (1), 30-35 Downloads
  2. Herd behaviors in the stock and foreign exchange markets
    Physica A: Statistical Mechanics and its Applications, 2004, 341, (C), 526-532 Downloads View citations (2)
    See also Working Paper (2003)
  3. Multifractal features of financial markets
    Physica A: Statistical Mechanics and its Applications, 2004, 344, (1), 272-278 Downloads View citations (21)
 
Page updated 2019-05-17