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~person:"Engle, Robert F."
~person:"Ryu, Doojin"
~subject:"ARCH model"
~subject:"Asymmetric information"
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ARCH model
Asymmetric information
Option trading
32
Optionsgeschäft
32
Volatility
17
Volatilität
17
Börsenkurs
13
Share price
13
Option pricing theory
10
Optionspreistheorie
10
Theorie
10
Theory
10
Market microstructure
9
Marktmikrostruktur
9
Index futures
8
Index-Futures
8
Asymmetrische Information
7
Bid-ask spread
7
Geld-Brief-Spanne
7
ARCH-Modell
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4
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Forecasting model
4
Hedging
4
KOSPI200 options
4
Prognoseverfahren
4
Securities trading
4
VKOSPI
4
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Engle, Robert F.
Ryu, Doojin
Rahbek, Anders
8
Funke, Michael
6
Gronwald, Marc
6
Herwartz, Helmut
6
Busetti, Giorgio
5
Fokianos, Konstantinos
5
Hafner, Christian M.
5
Manera, Matteo
5
Bernales, Alejandro
4
Fernandes, Marcelo
4
Grammig, Joachim
4
Jondeau, Eric
4
Rockinger, Michael
4
Wang, Xingchun
4
Watanabe, Toshiaki
4
Barbaglia, Luca
3
Croux, Christophe
3
Frijns, Bart
3
Huang, Zhuo
3
Kang, Jangkoo
3
Kristensen, Dennis
3
Lehnert, Thorsten
3
Maré, E.
3
Tjøstheim, Dag
3
Ubukata, Masato
3
Wang, Tianyi
3
Wang, Yaw-Huei
3
Wilms, Ines
3
Yang, Heejin
3
Agosto, Arianna
2
Alexander, Carol
2
Antoniou, Antonios
2
Bams, Dennis
2
Biais, Bruno
2
Blanchard, Gildas
2
Bollerslev, Tim
2
Burlacu, Radu
2
Cai, Charlie X.
2
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The journal of futures markets
3
Discussion paper / Department of Economics, University of California San Diego
2
International review of economics & finance : IREF
2
Advanced texts in econometrics
1
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
1
Emerging markets review
1
Finance research letters
1
Journal of empirical finance
1
Journal of international financial markets, institutions & money
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ECONIS (ZBW)
13
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1
Volatility and time series econometrics : essays in honor of Robert Engle
Bollerslev, Tim
(
ed.
);
Engle, Robert F.
(
honouree
); …
-
2010
-
1. publ.
Persistent link: https://www.econbiz.de/10003861657
Saved in:
2
Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model
Engle, Robert F.
;
Russell, Jeffrey R.
-
1995
Persistent link: https://www.econbiz.de/10000929607
Saved in:
3
Discovering the drivers of stock market volatility in a data-rich world
Chun, Dohyun
;
Cho, Hoon
;
Ryu, Doojin
- In:
Journal of international financial markets, …
82
(
2023
),
pp. 1-24
Persistent link: https://www.econbiz.de/10014245870
Saved in:
4
Informed trading in the index option market : the case of KOSPI 200 options
Ahn, Hee-joon
;
Kang, Jangkoo
;
Ryu, Doojin
- In:
The journal of futures markets
28
(
2008
)
12
,
pp. 1118-1146
Persistent link: https://www.econbiz.de/10003773141
Saved in:
5
Are the KOSPI 200 implied volatilities useful in value-at-risk models?
Kim, Jun Sik
;
Ryu, Doojin
- In:
Emerging markets review
22
(
2015
),
pp. 43-64
Persistent link: https://www.econbiz.de/10011304192
Saved in:
6
The information content of trades : an analysis of KOSPI 200 index derivatives
Ryu, Doojin
- In:
The journal of futures markets
35
(
2015
)
3
,
pp. 201-221
Persistent link: https://www.econbiz.de/10011348449
Saved in:
7
Implied pricing Kernels : an alternative approach for option valuation
Ryu, Doojin
;
Kang, Jangkoo
;
Suh, Sangwon
- In:
The journal of futures markets
35
(
2015
)
2
,
pp. 127-147
Persistent link: https://www.econbiz.de/10011348461
Saved in:
8
Implied volatility index of KOSPI200 : information contents and properties
Ryu, Doojin
- In:
Emerging markets finance & trade : a journal of the …
48
(
2012
),
pp. 24-39
Persistent link: https://www.econbiz.de/10009682531
Saved in:
9
Modelling the impacts of market activity on bid-ask spreads in the option market
Young-Hye, Cho
;
Engle, Robert F.
-
1998
Persistent link: https://www.econbiz.de/10001366194
Saved in:
10
Does vega-neutral options trading contain information?
Lee, Jaeram
;
Ryu, Doojin
;
Yang, Heejin
- In:
Journal of empirical finance
62
(
2021
),
pp. 294-314
Persistent link: https://www.econbiz.de/10012693436
Saved in:
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