Narrow search
Showing 1 - 9 of 9
Cover Image
Modeling and predicting the market volatility index: The case of VKOSPI
Han, Heejoon; Kutan, Ali M.; Ryu, Doojin - Institut für Weltwirtschaft (IfW) - 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/10011170357
Cover Image
Effects of the US stock market return and volatility on the VKOSPI
Han, Heejoon; Kutan, Ali M.; Ryu, Doojin - In: Economics: The Open-Access, Open-Assessment E-Journal 9 (2015) 2015-35, pp. 1-34
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/10011379844
Cover Image
Modeling and predicting the market volatility index: The case of VKOSPI
Han, Heejoon; Kutan, Ali M.; 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/10010478805
Cover Image
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
Cover Image
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
Cover Image
Option moneyness and price disagreements
Yang, Heejin; Kutan, Ali Mustafa; Ryu, Doojin - In: Applied economics letters 25 (2018) 3, pp. 192-196
Persistent link: https://www.econbiz.de/10011853836
Cover Image
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
Cover Image
Volatility information trading in the index options market : an intraday analysis
Yang, Heejin; Kutan, Ali Mustafa; Ryu, Doojin - In: International review of economics & finance : IREF 64 (2019), pp. 412-426
Persistent link: https://www.econbiz.de/10012372813
Cover Image
Monetary policy announcements, communication, and stock market liquidity
Lee, Jieun; Ryu, Doojin; Kutan, Ali Mustafa - In: Australian economic papers 55 (2016) 3, pp. 227-250
Persistent link: https://www.econbiz.de/10011574573