Yoontae Jeon
Yoontae Jeon
Assistant Professor of Finance, McMaster University
Verified email at
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News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies
Y Jeon, TH McCurdy, X Zhao
Journal of Financial Economics 145 (2), 1-17, 2022
Option valuation with observable volatility and jump dynamics
P Christoffersen, B Feunou, Y Jeon
Journal of Banking & Finance 61, S101-S120, 2015
Macroeconomic uncertainty shocks and households’ consumption choice
EY Nam, K Lee, Y Jeon
Journal of Macroeconomics 68, 103306, 2021
Time-varying crash risk embedded in index options: The role of stock market liquidity
P Christoffersen, B Feunou, Y Jeon, C Ornthanalai
Review of Finance 25 (4), 1261-1298, 2021
Chinese economic policy uncertainty and US households' portfolio decisions
K Lee, Y Jeon, C Jo
Pacific-Basin Finance Journal 64, 101452, 2020
Chinese economic policy uncertainty and US corporate investment
K Lee, Y Jeon, L Samarbakhsh, I Kim
International Review of Finance 21 (4), 1519-1528, 2021
Chinese economic policy uncertainty and the cross-section of US asset returns
K Lee, Y Jeon, EY Nam
International Review of Economics & Finance 76, 1063-1077, 2021
Fragmentation in the Bitcoin market: Evidence from multiple coexisting order books
Y Jeon, L Samarbakhsh, K Hewitt
Finance Research Letters 39, 101654, 2021
Which economic uncertainty measure matters for households' portfolio decision?
K Lee, Y Jeon, I Kim
Journal of Financial Research 44 (2), 343-369, 2021
Which uncertainty measures matter for the cross-section of stock returns?
K Lee, Y Jeon, M Kim
Finance Research Letters 46, 102390, 2022
Time-varying window length for correlation forecasts
Y Jeon, TH McCurdy
Econometrics 5 (4), 54, 2017
Stock return autocorrelations and expected option returns
Y Jeon, R Kan, G Li
Management Science (Forthcoming), 2019
The Impact of Public Information on Housing Market Decisions: Evidence from Third-Party AVMs
Y Jeon, MJ Seiler, Y Seo
Journal of Real Estate Research 45 (1), 83-110, 2023
Measuring Chinese consumers’ perceived uncertainty
K Lee, Y Jeon
International Review of Economics & Finance 66, 51-70, 2020
Does News, Order Flow, or Illiquidity drive jumps in stock returns? In the day or in the night?
Y Jeon, TH McCurdy, S Szaura
the day or in the night, 2023
The Value of Economic Regularization for Stock Return Predictability
Y Jeon, L Samarbakhsh, E Wilson
Available at SSRN 4723220, 2024
Weather Variance Risk Premia
JW Bae, Y Jeon, S Szaura, V Zurita
Available at SSRN 4572123, 2023
Comprehensive Reassessment of Economic Uncertainty and Corporate Investment
K Lee, Y Jeon
Available at SSRN 4215987, 2022
Three Essays on Observable Covariates in Option Pricing
Y Jeon
University of Toronto (Canada), 2017
Supplementary Internet Appendix to:“Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity”
P Christoffersen, B Feunou, Y Jeon, C Ornthanalai
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