Byung-June Kim

Pohang University of Science and Technology (POSTECH)

Pohang University of Science and Technology (POSTECH)

77 Cheongam-ro

Pohang

Korea, Republic of (South Korea)

SCHOLARLY PAPERS

5

DOWNLOADS

219

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Ideas:
“  Research Interest: Investment Strategy, Statistical Learning, Market Microstructure  ”

Scholarly Papers (5)

1.

Semicovariances and Machine Learning Methods in Oil and Gold Futures Markets

Number of pages: 28 Posted: 24 Mar 2021
Pohang University of Science and Technology (POSTECH), Pohang University of Science and Technology (POSTECH), Pohang University of Science and Technology (POSTECH) and POSTECH
Downloads 76 (368,814)

Abstract:

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Realized Volatility, Forecasting, Machine Learning, Semicovariance decomposition

2.

Convertible Bond Valuation with Regime Switching

Number of pages: 24 Posted: 12 Jun 2020 Last Revised: 12 Apr 2021
Byung-June Kim and Bong-Gyu Jang
Pohang University of Science and Technology (POSTECH) and Pohang University of Science and Technology (POSTECH)
Downloads 65 (401,569)

Abstract:

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Option pricing, Convertible bond, Regime switching, Exchange option

3.

Forecasting Realized Volatility of the Oil Future Prices Via Machine Learning

Number of pages: 29 Posted: 24 Nov 2020 Last Revised: 11 Mar 2021
Byung-June Kim, Taeyoon Kim and Bong-Gyu Jang
Pohang University of Science and Technology (POSTECH), Pohang University of Science and Technology (POSTECH) and Pohang University of Science and Technology (POSTECH)
Downloads 37 (510,459)

Abstract:

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volatility forecasting, oil future, machine learning, forecasting model

4.

Old-Age Inequality with Longevity Extension from Preventive Healthcare

Number of pages: 59 Posted: 23 Jul 2020 Last Revised: 16 Oct 2020
Byung-June Kim and Bong-Gyu Jang
Pohang University of Science and Technology (POSTECH) and Pohang University of Science and Technology (POSTECH)
Downloads 27 (563,499)

Abstract:

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Inequality, Preventive healthcare, Portfolio selection, Longevity, Elasticity of intertemporal substitution

5.

Internet Appendix to `Forecasting Realized Volatility of the Oil Future Prices via Machine Learning'

Number of pages: 15 Posted: 20 Nov 2020 Last Revised: 11 Mar 2021
Byung-June Kim, Taeyoon Kim and Bong-Gyu Jang
Pohang University of Science and Technology (POSTECH), Pohang University of Science and Technology (POSTECH) and Pohang University of Science and Technology (POSTECH)
Downloads 14 (650,216)

Abstract:

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oil future, oil pricing, machine learning, forecasting model