Similar Search Results

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

Asymmetric mispricing and regime-dependent dynamics in index futures and options markets

Lee, Jaeram; Ryu, Doojin - In: Asian economic journal : journal of the East Asian … 30 (2016) 1, pp. 47-65

Persistent link: https://www.econbiz.de/10011525887

Common deviation and regime-dependent dynamics in the index derivatives markets

Lee, Jaeram; Kang, Jangkoo; Ryu, Doojin - In: Pacific-Basin finance journal 33 (2015), pp. 1-22

Persistent link: https://www.econbiz.de/10011474037

The impacts of overseas market shocks on the CDS-option basis

Park, Yuen Jung; Kutan, Ali Mustafa; Ryu, Doojin - In: The North American journal of economics and finance : a … 47 (2019), pp. 622-636

Persistent link: https://www.econbiz.de/10012120141

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

Vega-informed trading and options market reform

Ryu, Doojin; Ryu, Doowon; Yang, Heejin - In: Applied economics letters 27 (2020) 1, pp. 19-24

Persistent link: https://www.econbiz.de/10012205363

Option market characteristics and price monotonicity violations

Yang, Heejin; Choi, Hyung-Suk; Ryu, Doojin - In: The journal of futures markets 37 (2017) 5, pp. 473-498

Persistent link: https://www.econbiz.de/10011950721

Regime-dependent relationships between the implied volatility index and stock market index

Lee, Jaeram; Ryu, Doojin - In: Emerging markets finance & trade : a journal of the … 50 (2014) 5, pp. 5-17

Persistent link: https://www.econbiz.de/10010485198

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

Modeling and predicting the market volatility index : the case of VKOSPI

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

The KOSPI 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) macroeconomic and financial variables that...

Persistent link: https://www.econbiz.de/10010478493