Gunky Kim

Monash Business School

Monash University

Caulfield East, Victoria 3145

Australia

SCHOLARLY PAPERS

2

DOWNLOADS

452

SSRN CITATIONS

3

CROSSREF CITATIONS

2

Scholarly Papers (2)

1.

A Longer Look at the Asymmetric Dependence between Hedge Funds and the Equity Market

Journal of Financial and Quantitative Analysis, Vol. 45, No. 3, June 2010, pp. 763-789
Number of pages: 43 Posted: 01 Feb 2008 Last Revised: 03 Nov 2012
The Hong Kong Polytechnic University - School of Accounting and Finance, Monash University - Department of Accounting, Monash Business School and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 389 (95,027)
Citation 3

Abstract:

Loading...

Hedge Funds, Investment Horizon Effect, Nonlinear Dependence, Tail Dependence, Copulas, Filtered Historical Simulation

2.

Asymmetric Dependence, Tail Dependence, and the Time Interval over Which the Variables Are Measured

Number of pages: 29 Posted: 20 May 2014 Last Revised: 21 May 2014
Byoung Uk Kang and Gunky Kim
The Hong Kong Polytechnic University - School of Accounting and Finance and Monash Business School
Downloads 63 (426,134)

Abstract:

Loading...

Additive variables, Multiplicative variables, Copulas