Taeyoon Kim

Pohang University of Science and Technology (POSTECH)

77 Cheongam-ro

Pohang

Korea, Republic of (South Korea)

SCHOLARLY PAPERS

4

DOWNLOADS

205

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (4)

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 129 (283,055)

Abstract:

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Realized Volatility, Forecasting, Machine Learning, Semicovariance decomposition

2.

Forecasting Realized Volatility of the Oil Future Prices Via Machine Learning

Number of pages: 30 Posted: 24 Nov 2020 Last Revised: 03 Aug 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 76 (400,184)

Abstract:

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volatility forecasting, oil future, machine learning, forecasting model

3.

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

Posted: 20 Nov 2020 Last Revised: 03 Aug 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)

Abstract:

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oil future, oil pricing, machine learning, forecasting model

4.

Ambiguity Premium and Transaction Costs

Economics Letters, Forthcoming
Posted: 10 Mar 2014 Last Revised: 20 Jul 2021
Pohang University of Science and Technology (POSTECH), Pohang University of Science and Technology (POSTECH), Pohang University of Science and Technology (POSTECH) - Department of Industrial and Management Engineering and Nottingham University Business School

Abstract:

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optimal investment, ambiguity aversion, transaction costs, ambiguity premium