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Effects of the US stock market return and volatility on the VKOSPI

Han, Heejoon; Kutan, Ali Mustafa; Ryu, Doojin - 2015

The KOSPI (Korea Composite Stock Price Index) 200 options are one of the most actively traded derivatives in the world. This paper empirically examines (a) the statistical properties of the Korea's representative implied volatility index (VKOSPI) derived from the KOSPI 200 options and (b) the...

Persistent link: https://www.econbiz.de/10011376746

The common factor in idiosyncratic volatility : quantitative asset pricing implications

Herskovic, Bernard; Kelly, Bryan T.; Lustig, Hanno; … - 2014

Persistent link: https://www.econbiz.de/10010360039

Housing, finance and the macroeconomy

Davis, Morris A.; Nieuwerburgh, Stijn van - 2014

Persistent link: https://www.econbiz.de/10010391842

Black swan events and COVID-19 outbreak : sector level evidence from the US, UK, and European stock markets

Ahmad, Wasim; Kutan, Ali Mustafa; Gupta, Smarth - In: International review of economics & finance : IREF 75 (2021), pp. 546-557

Persistent link: https://www.econbiz.de/10012692797

Firm volatility in granular networks

Herskovic, Bernard; Kelly, Bryan T.; Lustig, Hanno; … - In: Journal of political economy 128 (2020) 11, pp. 4097-4162

Persistent link: https://www.econbiz.de/10012599940

COVID-19 Pandemic and firm-level dynamics in the USA, UK, Europe, and Japan

Ahmad, Wasim; Kutan, Ali Mustafa; Chahal, Rishman Jot Kaur - In: International review of financial analysis 78 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10013255885

Is U.S. economic policy uncertainty priced in China's A-shares market? : evidence from market, industry, and individual stocks

Hu, Zhijun; Kutan, Ali Mustafa; Sun, Ping-Wen - In: International review of financial analysis 57 (2018), pp. 207-220

Persistent link: https://www.econbiz.de/10012006350

Why are REITs currently so expensive?

Nieuwerburgh, Stijn van - 2017

Persistent link: https://www.econbiz.de/10011739511

Firm volatility in granual networks

Herskovic, Bernard; Kelly, Bryan T.; Lustig, Hanno; … - 2017

Persistent link: https://www.econbiz.de/10011739882

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