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Weather and stock market volatility : the case of a leading emerging market

Shim, Hyein; Kim, Hyeyoen; Kim, Junyeup; Ryu, Doojin - In: Applied economics letters 22 (2015) 10/12, pp. 987-992

Persistent link: https://www.econbiz.de/10011286532

Effects of intraday weather changes on asset returns and volatilities

Shim, Hyein; Kim, Maria H.; Ryu, Doojin - In: Zbornik radova Ekonomskog Fakulteta u Rijeci : časopis … 35 (2017) 2, pp. 301-330

Persistent link: https://www.econbiz.de/10012211753

Effects of the US stock market return and volatility on the VKOSPI

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

. This paper empirically examines (a) the statistical properties of the Korea's representative implied volatility index … volatility process of the index, using augmented heterogeneous autoregressive (HAR) models with exogenous covariates. The results … 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/10011376746

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

The difference in the intraday return-volume relationships of spot and futures : a quantile regression approach

Lee, Jaeram; Lee, Geul; Ryu, Doojin - 2019

This study illuminates the difference in the intraday return-volume relationships of spot and index futures. The quantile regression analyses show that the widening effect of the spot trading volume on the distribution of spot returns disappears within a short period of time, whereas that of the...

Persistent link: https://www.econbiz.de/10011986884

Return and volatility spillovers and cojump behavior between the U.S. and Korean stock markets

Kim, Jun Sik; Ryu, Doojin - In: Emerging markets finance & trade : a journal of the … 51 (2015), pp. 3-17

Persistent link: https://www.econbiz.de/10011603316

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

Volatility dynamics under an endogenous Markov-switching framework : a cross-market approach

Song, Wonho; Ryu, Doojin; Webb, Robert I. - In: Quantitative finance 18 (2018) 9, pp. 1559-1571

Persistent link: https://www.econbiz.de/10011913204

Option market characteristics and price monotonicity violations

Yang, Heejin; Choi, Hyung-Suk; Ryu, Doojin - In: The journal of futures markets 37 (2017) 5, pp. 473-498

Persistent link: https://www.econbiz.de/10011950721