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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

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

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

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

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

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

Intraday option price changes and net buying pressure

Ryu, Doojin; Yang, Heejin - In: Applied economics letters 29 (2022) 4, pp. 292-297

Persistent link: https://www.econbiz.de/10012803523

Information contents of intraday SSE 50 ETF options trades

Luo, Xingguo; Cai, Wenye; Ryu, Doojin - In: The journal of futures markets 42 (2022) 4, pp. 580-604

Persistent link: https://www.econbiz.de/10013187563

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

Contract size changes in the options market : effects on market efficiency and investor behaviour

Park, Seongkyu; Ryu, Doojin - In: Applied economics 53 (2021) 57, pp. 6670-6682

Persistent link: https://www.econbiz.de/10012697955