Young Shin Aaron Kim
Young Shin Aaron Kim
College of business, stony brook university
Verified email at stonybrook.edu - Homepage
TitleCited byYear
Financial models with LÚvy processes and volatility clustering
ST Rachev, YS Kim, ML Bianchi, FJ Fabozzi
John Wiley & Sons, 2011
1512011
Financial market models with LÚvy processes and time-varying volatility
YS Kim, ST Rachev, ML Bianchi, FJ Fabozzi
Journal of Banking & Finance 32 (7), 1363-1378, 2008
1072008
Tempered stable and tempered infinitely divisible GARCH models
YS Kim, ST Rachev, ML Bianchi, FJ Fabozzi
Journal of Banking & Finance 34 (9), 2096-2109, 2010
902010
The modified tempered stable distribution, GARCH-models and option pricing
YS Kim, ST Rachev, DM Chung, ML Bianchi
Probability and Mathematical statistics 29 (1), 91-117, 2009
852009
Time series analysis for financial market meltdowns
YS Kim, ST Rachev, ML Bianchi, I Mitov, FJ Fabozzi
Journal of Banking & Finance 35 (8), 1879-1891, 2011
822011
Computing VaR and AVaR in infinitely divisible distributions
YS Kim, S Rachev, ML Bianchi, FJ Fabozzi
PROBABILITY AND MATHEMATICAL STATISTICS 30 (2), 223-245, 2010
772010
Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
YS Kim, R Giacometti, ST Rachev, FJ Fabozzi, D Mignacca
Annals of operations research 201 (1), 325-343, 2012
562012
Tempered infinitely divisible distributions and processes
ML Bianchi, ST Rachev, YS Kim, FJ Fabozzi
Theory of Probability & Its Applications 55 (1), 2-26, 2011
542011
Tempered stable distributions and processes in finance: numerical analysis
ML Bianchi, ST Rachev, YS Kim, FJ Fabozzi
Mathematical and statistical methods for actuarial sciences and finance, 33-42, 2010
452010
A new tempered stable distribution and its application to finance
YS Kim, ST Rachev, ML Bianchi, FJ Fabozzi
Risk Assessment, 77-109, 2009
422009
Barrier option pricing by branching processes
GK Mitov, ST Rachev, YS Kim, FJ Fabozzi
International Journal of Theoretical and Applied Finance 12 (07), 1055-1073, 2009
242009
Approximation of skewed and leptokurtic return distributions
M Scherer, ST Rachev, YS Kim, FJ Fabozzi
Applied Financial Economics 22 (16), 1305-1316, 2012
232012
The relative entropy in CGMY processes and its applications to finance
YS Kim, JH Lee
Mathematical Methods of Operations Research 66 (2), 327-338, 2007
232007
A modified tempered stable distribution with volatility clustering
YS Kim, ST Rachev, DM Chung, ML Bianchi
New Developments in Financial Modelling 344, 344-365, 2008
192008
Foster–Hart optimal portfolios
A Anand, T Li, T Kurosaki, YS Kim
Journal of Banking & Finance 68, 117-130, 2016
142016
Reward-risk momentum strategies using classical tempered stable distribution
J Choi, YS Kim, I Mitov
Journal of Banking & Finance 58, 194-213, 2015
132015
Quanto option pricing in the presence of fat tails and asymmetric dependence
YS Kim, J Lee, S Mittnik, J Park
Journal of econometrics 187 (2), 512-520, 2015
132015
The modified tempered stable processes with application to finance
YS Kim
Doctoral Thesis, 2005
122005
Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data
A Beck, YSA Kim, S Rachev, M Feindt, F Fabozzi
Studies in Nonlinear Dynamics and Econometrics 17 (2), 167-177, 2013
112013
Option pricing under stochastic volatility and tempered stable LÚvy jumps
TS Zaevski, YS Kim, FJ Fabozzi
International Review of Financial Analysis 31, 101-108, 2014
102014
The system can't perform the operation now. Try again later.
Articles 1–20