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Jung-Suk Yu

Personal Details

First Name:Jung-Suk
Middle Name:
Last Name:Yu
Suffix:
RePEc Short-ID:pyu42
http://www.jung-suk.com

Affiliation

(in no particular order)

Department of Economics and Finance
College of Business and Administration
University of New Orleans

New Orleans, Louisiana (United States)
http://www.uno.edu/coba/EconomicsFinance/

(504) 280-6485

New Orleans, Louisiana 70148
RePEc:edi:deunous (more details at EDIRC)

Samsung Economic Research Institute (SERI)

Seoul, South Korea
http://www.seriworld.org/

(822)3780-8000

28-31 Fls., Samsung Life Seocho Tower, 1321-15 Seocho 2-Dong, Seocho-Gu, Seoul
RePEc:edi:seriikr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Daal, Elton & Naka, Atsuyuki & Yu, Jung-Suk, 2006. "Volatility Clustering, Leverage Effects, and Jump Dynamics in the US and Emerging Asian Equity Markets," Working Papers 2005-03, University of New Orleans, Department of Economics and Finance.
  2. Daal, Elton & Naka, Atsuyuki & Yu, Jung-Suk, 2004. "Volatility clustering, leverage effects, and jumps dynamics in emerging Asian equity markets," Working Papers 2004-05, University of New Orleans, Department of Economics and Finance.

Articles

  1. Charles Rayhorn & M. Kabir Hassan & Jung-Suk Yu & Kenneth R. Janson, 2007. "Emerging Market Efficiencies: New Zealand's Maturation Experience in the Presence of Non-Linearity, Thin Trading and Asymmetric Information," International Review of Finance, International Review of Finance Ltd., vol. 7(1-2), pages 21-34.
  2. Daal, Elton & Naka, Atsuyuki & Yu, Jung-Suk, 2007. "Volatility clustering, leverage effects, and jump dynamics in the US and emerging Asian equity markets," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2751-2769, September.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Daal, Elton & Naka, Atsuyuki & Yu, Jung-Suk, 2006. "Volatility Clustering, Leverage Effects, and Jump Dynamics in the US and Emerging Asian Equity Markets," Working Papers 2005-03, University of New Orleans, Department of Economics and Finance.

    Cited by:

    1. Liu, Yuna, 2016. "Essays on Stock Market Integration - On Stock Market Efficiency, Price Jumps and Stock Market Correlations," Umeå Economic Studies 926, Umeå University, Department of Economics.
    2. Chang, Kuang-Liang, 2012. "The time-varying and asymmetric dependence between crude oil spot and futures markets: Evidence from the Mixture copula-based ARJI–GARCH model," Economic Modelling, Elsevier, vol. 29(6), pages 2298-2309.
    3. Guo, Yanfeng & Wen, Xiaoqian & Wu, Yanrui & Guo, Xiumei, 2016. "How is China's coke price related with the world oil price? The role of extreme movements," Economic Modelling, Elsevier, vol. 58(C), pages 22-33.
    4. Cordis, Adriana S. & Kirby, Chris, 2014. "Discrete stochastic autoregressive volatility," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 160-178.
    5. Shu-Mei Chiang & Chin-Piao Yeh & Chien-Liang Chiu, 2009. "Permanent and Transitory Components in the Chinese Stock Market: The ARJI-Trend Model," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 45(3), pages 35-55, May.
    6. Shu-Mei Chiang & Chin-Piao Yeh & Chien-Liang Chiu, 2009. "Permanent and Transitory Components in the Chinese Stock Market: The ARJI-Trend Model," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 45(3), pages 35-55, May.
    7. Azimi, Mohammad Naim, 2015. "Modelling the Clustering Volatility of India's Wholesales Price Index and the Factors Affecting it," MPRA Paper 70267, University Library of Munich, Germany.
    8. Liu, Yuna, 2016. "Stock exchange integration and price jump risks - The case of the OMX Nordic exchange mergers," Umeå Economic Studies 925, Umeå University, Department of Economics.
    9. Jan Novotn?? & Jan Hanousek & Ev??en Ko??enda, 2013. "Price Jump Indicators: Stock Market Empirics During the Crisis," William Davidson Institute Working Papers Series wp1050, William Davidson Institute at the University of Michigan.
    10. Henry, Ólan T., 2009. "Regime switching in the relationship between equity returns and short-term interest rates in the UK," Journal of Banking & Finance, Elsevier, vol. 33(2), pages 405-414, February.
    11. Krzysztof DRACHAL, 2017. "Volatility Clustering, Leverage Effects and Risk-Return Tradeoff in the Selected Stock Markets in the CEE Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 37-53, September.
    12. Lai, Jing-yi, 2012. "Shock-dependent conditional skewness in international aggregate stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(1), pages 72-83.

Articles

  1. Charles Rayhorn & M. Kabir Hassan & Jung-Suk Yu & Kenneth R. Janson, 2007. "Emerging Market Efficiencies: New Zealand's Maturation Experience in the Presence of Non-Linearity, Thin Trading and Asymmetric Information," International Review of Finance, International Review of Finance Ltd., vol. 7(1-2), pages 21-34.

    Cited by:

    1. Kuttu, Saint, 2017. "Time-varying conditional discrete jumps in emerging African equity markets," Global Finance Journal, Elsevier, vol. 32(C), pages 35-54.
    2. Humphery-Jenner, M., 2011. "Internal and External Discipline Following Securities Class Actions," Discussion Paper 2011-044, Tilburg University, Center for Economic Research.
    3. Kuttu, Saint, 2014. "Return and volatility dynamics among four African equity markets: A multivariate VAR-EGARCH analysis," Global Finance Journal, Elsevier, vol. 25(1), pages 56-69.
    4. Humphery-Jenner, Mark L., 2012. "Internal and external discipline following securities class actions," Journal of Financial Intermediation, Elsevier, vol. 21(1), pages 151-179.
    5. Goohoon Kwon & Raphael A Espinoza, 2009. "Regional Financial Integration in the Caribbean; Evidence From Financial and Macroeconomic Data," IMF Working Papers 09/139, International Monetary Fund.
    6. Bai, Man-Ying & Zhu, Hai-Bo, 2010. "Power law and multiscaling properties of the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(9), pages 1883-1890.

  2. Daal, Elton & Naka, Atsuyuki & Yu, Jung-Suk, 2007. "Volatility clustering, leverage effects, and jump dynamics in the US and emerging Asian equity markets," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2751-2769, September.
    See citations under working paper version above.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

Featured entries

This author is featured on the following reading lists, publication compilations or Wikipedia entries:
  1. Korean Economists

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ETS: Econometric Time Series (2) 2005-04-03 2006-05-06
  2. NEP-FIN: Finance (2) 2005-04-03 2006-05-06
  3. NEP-FMK: Financial Markets (2) 2005-04-03 2006-05-06
  4. NEP-SEA: South East Asia (2) 2005-04-03 2006-05-06
  5. NEP-ECM: Econometrics (1) 2006-05-06
  6. NEP-IFN: International Finance (1) 2006-05-06
  7. NEP-RMG: Risk Management (1) 2006-05-06

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