Search Results - subject:"VKOSPI"

In-Sample and Out-of-Sample Predictability of Cryptocurrency Returns

Park, Kyungjin; Lee, Hojin - In: East Asian Economic Review (EAER) 27 (2023) 3, pp. 213-242

This paper investigates whether the price of cryptocurrency is determined by the US dollar index, the price of investment assets such gold and oil, and the implied volatility of the KOSPI. Overall, the returns on cryptocurrencies are best predicted by the trading volume of the cryptocurrency...

Persistent link: https://www.econbiz.de/10015397912

In-sample and out-of-sample predictability of cryptocurrency returns

Park, Kyungjin; Lee, Ho Jin - In: East Asian economic review 27 (2023) 3, pp. 213-242

Persistent link: https://www.econbiz.de/10015182930

The necessity to activate long-term ETD in Korea

Lee, Hyoseob - In: Journal of derivatives and quantitative studies : … 28 (2020) 3, pp. 149-171

This paper aims to provide the necessity to activate long-term exchange-traded derivatives (ETD) in Korea. In the era of aging, low interest rates and low economic growth, the investment demand for long-term financial products, and its hedging demand have steadily increased. Unfortunately,...

Persistent link: https://www.econbiz.de/10012592672

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

Han, Heejoon; Kutan, Ali M.; Ryu, Doojin - 2015

) the statistical properties of the Korea's representative implied volatility index (VKOSPI) derived from the KOSPI 200 … VKOSPI is well described by the elaborate HAR framework and that some Korea's macroeconomic variables significantly explain … the VKOSPI. In addition, we find that the stock market return and implied volatility index of the US market (i.e., the S …

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 … suggest that the elaborate HAR framework is proficient at describing the dynamics of the VKOSPI and that some domestic … macroeconomic variables explain the VKOSPI. More importantly, we find that the stock market return and implied volatility index of …

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

Stock returns and implied volatility: A new VAR approach

Lee, Bong Soo; Ryu, Doojin - In: Economics: The Open-Access, Open-Assessment E-Journal 7 (2013) 2013-3, pp. 1-20

the recently published VKOSPI (in Korea) - and their stock market indices, the authors find an asymmetric volatility … phenomenon in both the developed and emerging markets. However, the VKOSPI shows impulse response dynamics that are quite …, which determine the dynamics of the VKOSPI. …

Persistent link: https://www.econbiz.de/10010311635

Stock returns and implied volatility: A new VAR approach

Lee, Bong Soo; Ryu, Doojin - 2012

model-free implied volatility indices - VIX (the U.S.) and VKOSPI (Korea) - and their corresponding stock market indices, we … found an asymmetric volatility phenomenon in both developed and emerging markets. However, the VKOSPI, a recently published …

Persistent link: https://www.econbiz.de/10010310497

Stock returns and implied volatility: A new VAR approach

Lee, Bong Soo; Ryu, Doojin - Institut für Weltwirtschaft (IfW) - 2012

Persistent link: https://www.econbiz.de/10010956047