Search Results - "Sun-Yong Choi"

Forecasting Foreign Exchange Volatility Using Deep Learning Autoencoder-LSTM Techniques by Jung, Gunho, Choi, Sun-Yong

“…Since the breakdown of the Bretton Woods system in the early 1970s, the foreign exchange (FX) market has become an important focus of both academic and…”
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Dynamic spillovers and portfolio implication between green cryptocurrencies and fossil fuels by Umar, Zaghum, Choi, Sun-Yong, Teplova, Tamara, Sokolova, Tatiana

“…Are green investments decoupled from the dirty investment such as the fossil fuel markets? We address this issue by extending the literature on environmental,…”
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Dynamic connectedness between non-fungible tokens, decentralized finance, and conventional financial assets in a time-frequency framework by Umar, Zaghum, Polat, Onur, Choi, Sun-Yong, Teplova, Tamara

“…This study examines how the COVID-19 pandemic has affected the connectedness between non-fungible tokens, decentralized finance coins, traditional financial…”
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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 by Choi, Sun-Yong, Hong, Changsoo

“…We investigate the relationship between crude oil prices and stock markets. Unlike prior studies, we use implied volatility indices and evaluate the change in…”
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Information flow dynamics between geopolitical risk and major asset returns by Umar, Zaghum, Bossman, Ahmed, Choi, Sun-Yong, Vo, Xuan Vinh

“…We quantify information flows between geopolitical risk (GPR) and global financial assets such as equity, bonds, and commodities, with a focus on the…”
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Examining the hedge performance of US dollar, VIX, and gold during the coronavirus pandemic: Is US dollar a better hedge asset? by Yun, Seok-Jun, Choi, Sun-Yong, Kim, Young Sung

“…This study utilizes the hedging potential of the U.S. Dollar Index (USDX) during the COVID-19 period, specifically comparing its positive effects on optimal…”
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Resourceful and demanding attributes of organisational culture, employee satisfaction, and organisational performance of large R&D intensive firms in the US by Lee, Kyoung-Joo, Choi, Sun-Yong

“…Despite a long research tradition of investigating the relationship between organisational culture and performance, the findings remain inconclusive. To bridge…”
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Impact of liquidity spillovers among industrial sectors on stock markets during crisis periods: Evidence from the S&P 500 index by Lim, Seo-Yeon, Choi, Sun-Yong

“…We investigate liquidity spillovers among industry sectors in the S&P 500 index to explain the interconnection dynamics in the US stock market. To do so, we…”
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Economic Policy Uncertainty and Sectoral Trading Volume in the U.S. Stock Market: Evidence from the COVID-19 Crisis by Pak, Dohyun, Choi, Sun-Yong

“…We empirically analyze the impact of economic uncertainty due to the COVID-19 pandemic on the trading volume of each sector in the S&P 500 index. Wavelet…”
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Diversification benefits of NFTs for conventional asset investors: Evidence from CoVaR with higher moments and optimal hedge ratios by Umar, Zaghum, Usman, Muhammad, Choi, Sun-Yong, Rice, John

“…This study investigates the risk and returns on one of the newest digital asset classes instruments, non-fungible tokens (NFTs), by accounting for tail…”
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Moderation Effect of Organizational Culture on the Relationship Between R&D Investments and Performance of Leading R&D-Intensive Firms in the US by Lee, Kyoung-Joo, Choi, Sun-Yong

“…Although R&D investments are an important precursor of firm performance, substantial variations exist among firms in achieving the desired performance. To…”
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The dynamic network of industries in US stock market: Evidence of GFC, COVID-19 pandemic and Russia-Ukraine war by Choi, Sun-Yong

“…We investigate the topology of sectoral returns in the US stock market using minimum spanning tree (MST) analysis. We examine four distinct time periods: the…”
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Pricing of vulnerable options under hybrid stochastic and local volatility by Kim, Donghyun, Choi, Sun-Yong, Yoon, Ji-Hun

“…In this study, considering the paradoxical stochastic characteristics of over-the-counter markets during a financial crisis, we examine the price of vulnerable…”
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Uncovering the Impact of Local and Global Interests in Artists on Stock Prices of K-Pop Entertainment Companies: A SHAP-XGBoost Analysis by Yu, Daeun, Choi, Sun-Yong

“…Stock price prediction is a significant area of research in finance that has been ongoing for a long time. Several mathematical models have been utilized in…”
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Investigating the Impact of Agricultural, Financial, Economic, and Political Factors on Oil Forward Prices and Volatility: A SHAP Analysis by Kim, Hyeon-Seok, Kim, Hui-Sang, Choi, Sun-Yong

“…Accurately forecasting crude oil prices is crucial due to its vital role in the industrial economy. In this study, we explored the multifaceted impact of…”
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A comparative wavelet analysis of the differential sensitivities of leisure and business travel to geopolitical risks and economic policy uncertainty: A study of inbound travel to South Korea by Lee, Kyoung-Joo, Choi, Sun-Yong

“…Accurately forecasting travel demand can help policymakers and business enterprises significantly improve tourism promotion and marketing strategies, optimize…”
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Forecasting CDS Term Structure Based on Nelson–Siegel Model and Machine Learning by Kim, Won Joong, Choi, Sun-Yong, Jung, Gunho

“…In this study, we analyze the term structure of credit default swaps (CDSs) and predict future term structures using the Nelson–Siegel model, recurrent neural…”
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Comparing Market Efficiency in Developed, Emerging, and Frontier Equity Markets: A Multifractal Detrended Fluctuation Analysis by Lee, Min-Jae, Choi, Sun-Yong

“…In this article, we investigate the market efficiency of global stock markets using the multifractal detrended fluctuation analysis methodology and analyze the…”
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Analysis of stock market efficiency during crisis periods in the US stock market: Differences between the global financial crisis and COVID-19 pandemic by Choi, Sun-Yong

“…In this study, we test the efficient market hypothesis for a number of sectors in the US stock market during the COVID-19 pandemic to identify its effects on…”
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Forecasting the S&P 500 Index Using Mathematical-Based Sentiment Analysis and Deep Learning Models: A FinBERT Transformer Model and LSTM by Kim, Jihwan, Kim, Hui-Sang, Choi, Sun-Yong

“…Stock price prediction has been a subject of significant interest in the financial mathematics field. Recently, interest in natural language processing models…”
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