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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

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

Is the KOSPI 200 options market efficient? : parametric and nonparametric tests of the Martingale restriction

Guo, Biao; Han, Qian; Ryu, Doojin - In: The journal of futures markets 33 (2013) 7, pp. 629-652

Persistent link: https://www.econbiz.de/10009756544

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

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

ELW pricing kernel and empirical risk aversion

Kim, Jun Sik; Kim, Hyeyoen; Ryu, Doojin - In: Applied economics letters 21 (2014) 4/6, pp. 372-376

Persistent link: https://www.econbiz.de/10010413719

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

Tests on the monotonicity properties of KOSPI 200 options prices

Sim, Myounghwa; Ryu, Doojin; Yang, Heejin - In: The journal of futures markets 36 (2016) 7, pp. 625-646

Persistent link: https://www.econbiz.de/10011568523

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

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