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Liquidity-adjusted value-at-risk : a comprehensive extension with microstructural liquidity components

Ryu, Doojin; Webb, Robert I.; Yu, Jinyoung - In: The European journal of finance 28 (2022) 9, pp. 871-888

Persistent link: https://www.econbiz.de/10013373347

Investors' net buying pressure and implied volatility dynamics

Ryu, Doojin; Webb, Robert I.; Yang, Heejin; Yu, Jinyoung - In: Borsa Istanbul Review 22 (2022) 4, pp. 627-640

We examine the effects of limited investor attention on stock returns by using Google search volume index to measure investor attention. We also investigate whether national culture and market development have any role in this relationship. We find that the impact of investor attention on stock...

Persistent link: https://www.econbiz.de/10013334805

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

Special issue from the 13th Annual Asia-Pacific Futures Research Symposium : [held jointly with the International Conference on Derivatives and Risk Management in Shanghai, China,...

Webb, Robert I. (contributor) - Asia Pacific Futures Research Symposium <13, 2003, … - 2003

Persistent link: https://www.econbiz.de/10001825698

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

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

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

Price disagreements and adjustments in index derivatives markets

Ryu, Doojin; Yang, Heejin - In: Economics letters 151 (2017), pp. 104-106

Persistent link: https://www.econbiz.de/10011742143

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