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- Soosung Hwang, Mark Salmon
- 2003

Market Stress and Herding* We propose a new approach to detecting and measuring herding which is based on the cross-sectional dispersion of the factor sensitivity of assets within a given market. This method enables us to evaluate if there is herding towards particular sectors or styles in the market including the market index itself and critically we can… (More)

- Soosung Hwang, Mark Salmon
- 2001

This study proposes a new measure and test of herding which is based on the crosssectional dispersion of factor sensitivity of assets within a given market. This new measure enables us to evaluate the directions towards which the market may be herding and separate these from movements in fundamentals. We apply the test to an analysis of the US, UK, and… (More)

The purpose of this paper is to consider how to forecast implied volatility for a selection of UK companies with traded options on their stocks. We consider a range of GARCH and logARFIMA based models as well as some simple forecasting rules. Overall, we find that a logARFIMA model forecasts best over short and long horizons. Key-words : Implied Volatility,… (More)

- Soosung Hwang, Steve. E. Satchell
- 2000

We investigates what is an appropriate level of investment management fees. We extend existing results and provide a several formula for the case of power utility and normal returns. Using the CRRA utility function with the range of the coefficient of the CRRA suggested by Mehra and Prescott (1985), we find that the value of information added by linear… (More)

- Soosung Hwang, Steve E. Satchell
- 2002

This study introduces GARCH models with cross-sectional market volatility, which we call GARCHX model. The cross-sectional market volatility is equlvalent to common heteroskedasticity in asset speci...c returns, which was suggested by Connor and Linton (2001) as an important component in individual asset volatility. Using UK and US data, we ...nd that daily… (More)

- Soosung Hwang
- 1999

This study investigates the effects of varying sampling intervals on the long memory characteristics of certain stochastic processes. We find that although different sampling intervals do not affect the decay rate of discrete time long memory autocorrelation functions in large lags, the autocorrelation functions in short lags are affected significantly. The… (More)

This paper proposes an unobserved fundamental component of volatility as a measure of risk. This concept of fundamental volatility may be more meaningful than the usual measures of volatility for market regulators. Fundamental volatility can be obtained using a stochastic volatility model, which allows us to `®lterÕ out the signal in the volatility… (More)

- Soosung Hwang, Steve E. Satchell, Pedro L. Valls Pereira
- 2004

We introduce SV models with Markov regime changing state equation (SVMRS) to investigate the important properties of volatility, high persistence and smoothness. With the quasi-ML approach proposed in our study, we showed that volatility is far less persistent and smooth than the GARCH or SV models suggest.

The low level of volatility observed in appraisal-based commercial property indices relative to other asset classes has been frequently noted and extensively commented on in the Real Estate finance literature. However, the volatility of such commercial property indices is only one source of information on the second moment of commercial property returns.… (More)

The purpose of this paper is to derive explicit formulae for the asset allocation decision for the loss aversion utility function proposed by Kahneman and Tuversky. We show that these utility functions exhibit constant absolute risk aversion. We also give analytic results which interpret the assumptions of risk-aversion with respect to gains but… (More)