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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

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

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

The KOSPI (Korea Composite Stock Price Index) 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) the...

Persistent link: https://www.econbiz.de/10011376746

Monetary policy announcements, communication, and stock market liquidity

Lee, Jieun; Ryu, Doojin; Kutan, Ali Mustafa - In: Australian economic papers 55 (2016) 3, pp. 227-250

Persistent link: https://www.econbiz.de/10011574573

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

Volatility information trading in the index options market : an intraday analysis

Yang, Heejin; Kutan, Ali Mustafa; Ryu, Doojin - In: International review of economics & finance : IREF 64 (2019), pp. 412-426

Persistent link: https://www.econbiz.de/10012372813

Dynamics of parallel and official exchange rates : the experience of Hungary

Kutan, Ali Mustafa - In: Atlantic economic journal : AEJ 26 (1998) 1, pp. 54-65

Persistent link: https://www.econbiz.de/10001238074

[Rezension von: The economy of Turkey since liberalization, S. Togan ... (ed.)]

Kutan, Ali Mustafa - In: Journal of comparative economics : the journal of the … 26 (1998) 3, pp. 583-586

Persistent link: https://www.econbiz.de/10001350036

Fractional cointegration, conditional heteroskedasticity and exchange rate dynamics : evidence from reforming Eastern European exchange rates

Kutan, Ali Mustafa - In: Economic systems 19 (1995) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10001184192

Exchange rate systems and currency preferences : evidence from the European Monetary System

Kutan, Ali Mustafa - In: Journal of international and comparative economics : JOICE 4 (1995) 2, pp. 121-135

Persistent link: https://www.econbiz.de/10001186275

Public information arrival and the Fisher effect in emerging markets : evidence from stock and bond markets in Turkey

Kutan, Ali Mustafa; Aksoy, Tansu - In: Journal of financial services research : JFSR 23 (2003) 3, pp. 225-239

Persistent link: https://www.econbiz.de/10001788880