Search Results - subject:"KOSPI200 options"

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

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 can predict the implied volatility process of the index, using …

Persistent link: https://www.econbiz.de/10010478805

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

(VKOSPI) derived from the KOSPI 200 options and (b) the macroeconomic and financial variables that can predict the implied …

Persistent link: https://www.econbiz.de/10011379844

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

Han, Heejoon; Kutan, Ali M.; Ryu, Doojin - Institut für Weltwirtschaft (IfW) - 2015

Persistent link: https://www.econbiz.de/10011170357

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

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

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

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

Who has volatility information in the index options market?

Ryu, Doojin; Yang, Heejin - In: Finance research letters 30 (2019), pp. 266-270

Persistent link: https://www.econbiz.de/10012420810

Market depth, domestic investors and price monotonicity violations

Yang, Heejin; Lee, Jaeram; Ryu, Doojin - In: Applied economics letters 25 (2018) 10, pp. 688-692

Persistent link: https://www.econbiz.de/10012129795

Market reform and efficiency : the case of KOSPI200 options

Yang, Heejin; Ryu, Doojin; Ryu, Doowon - In: Emerging markets finance & trade : a journal of the … 54 (2018) 10/11/12, pp. 2687-2697

Persistent link: https://www.econbiz.de/10012125065

Are the KOSPI 200 implied volatilities useful in value-at-risk models?

Kim, Jun Sik; Ryu, Doojin - In: Emerging Markets Review 22 (2015) C, pp. 43-64

volatilities extracted from the KOSPI 200 options and proposes a modified value-at-risk (VaR) framework utilizing the implied …

Persistent link: https://www.econbiz.de/10011264516