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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
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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
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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
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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
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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
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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