S. Choi

发表

Equity-linked annuities with multiscale hybrid stochastic and local volatility

J. H. Kim, S. Choi, 2016 .

On the stochastic elasticity of variance diffusions

Jeong-Hoon Kim, Jung-Woo Lee, S. Choi, 2015 .

The Heston model with stochastic elasticity of variance

Jeong-Hoon Kim, S. Choi, Ji‐Hun Yoon, 2016 .

Modeling and Risk Analysis Using Parametric Distributions with an Application in Equity-Linked Securities

S. Choi, Ji‐Hun Yoon, 2020 .

A Mellin Transform Approach to the Pricing of Options with Default Risk

Jeong-Hoon Kim, S. Choi, Ji‐Hun Yoon, 2021, Computational economics.

Economic Policy Uncertainty and Sectoral Trading Volume in the U.S. Stock Market: Evidence from the COVID-19 Crisis

S. Choi, Dohyun Pak, 2022, Complex..

Evidence from a multiple and partial wavelet analysis on the impact of geopolitical concerns on stock markets in North-East Asian countries

S. Choi, 2021, Finance Research Letters.

The influence of shock signals on the change in volatility term structure

S. Choi, 2019, Economics Letters.

Does geopolitical risk matter for global asset returns? Evidence from quantile-on-quantile regression

S. Choi, Zaghum Umar, A. Bossman, 2022, Finance Research Letters.

Credit risk interdependence in global financial markets: Evidence from three regions using multiple and partial wavelet approaches

S. Choi, 2022, Journal of International Financial Markets, Institutions and Money.

Effects of Organizational Culture on Employer Attractiveness of Hotel Firms: Topic Modeling Approach

Kyoung-Joo Lee, S. Choi, 2022, Complex..

Dynamic connectedness between non-fungible tokens, decentralized finance, and conventional financial assets in a time-frequency framework

O. Polat, S. Choi, Zaghum Umar, 2022, Pacific-Basin Finance Journal.

The relationship between global risk aversion and returns from safe-haven assets

S. Choi, Zaghum Umar, A. Bossman, 2022, Finance Research Letters.

Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model

Jeong-Hoon Kim, S. Choi, Ji‐Hun Yoon, 2017 .

Relationship between uncertainty in the oil and stock markets before and after the shale gas revolution: Evidence from the OVX, VIX, and VKOSPI volatility indices

S. Choi, Changsoo Hong, 2020, PloS one.

Option pricing under hybrid stochastic and local volatility

J. Fouque, S. Choi, Jeong‐Hoon Kim, 2013 .

The impact of the Russia-Ukraine conflict on the connectedness of financial markets

O. Polat, S. Choi, Zaghum Umar, 2022, Finance Research Letters.

Industry volatility and economic uncertainty due to the COVID-19 pandemic: Evidence from wavelet coherence analysis

S. Choi, 2020, Finance Research Letters.

Analysis of stock market efficiency during crisis periods in the US stock market: Differences between the global financial crisis and COVID-19 pandemic

S. Choi, 2021, Physica A: Statistical Mechanics and its Applications.

Forecasting CDS Term Structure Based on Nelson-Siegel Model and Machine Learning

Gunho Jung, Won Joong Kim, Sun-Yong Choi, 2020, Complex..

Uncovering the Impact of Local and Global Interests in Artists on Stock Prices of K-Pop Entertainment Companies: A SHAP-XGBoost Analysis

S. Choi, Daeun Yu, 2023, Axioms.

Foreign exchange rate volatility smiles and smirks

S. Choi, Ji‐Hun Yoon, Jeong‐Hoon Kim, 2021 .

Resourceful and demanding attributes of organisational culture, employee satisfaction, and organisational performance of large R&D intensive firms in the US

Kyoung-Joo Lee, S. Choi, 2023, Technology Analysis & Strategic Management.

Evaluating VaR for Equity-Linked Annuities by Forecasting Volatility of S&P 500 Index Return

S. Choi, Kim kwang Ik, 2017 .

Are short stocks susceptible to geopolitical shocks? Time-Frequency evidence from the Russian-Ukrainian conflict

X. Vo, S. Choi, Zaghum Umar, 2022, Finance Research Letters.

Forecasting Foreign Exchange Volatility Using Deep Learning Autoencoder-LSTM Techniques

Gunho Jung, Sun-Yong Choi, S. Choi, 2021, Complex..

Analysis of the Term Structure of Major Currencies Using Principal Component Analysis and Autoencoders

S. Choi, Soo Chang Chae, 2022, Axioms.

Information flow dynamics between geopolitical risk and major asset returns

X. Vo, S. Choi, Zaghum Umar, 2023, PloS one.

Diversification benefits of NFTs for conventional asset investors: Evidence from CoVaR with higher moments and optimal hedge ratios

S. Choi, Zaghum Umar, M. Usman, 2023, Research in International Business and Finance.

Value-at-risk estimation with the Carr–Geman–Madan–Yor process: an empirical study on foreign exchange rates

S. Choi, 2016 .

Dynamic spillovers and portfolio implication between green cryptocurrencies and fossil fuels

S. Choi, Zaghum Umar, T. Teplova, 2023, PloS one.

Pricing of vulnerable options under hybrid stochastic and local volatility

S. Choi, Ji‐Hun Yoon, Donghyun Kim, 2021 .

Matching asymptotics in path-dependent option pricing

S. Choi, Sang Hyeon Park, Jeong‐Hoon Kim, 2010 .