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The effectiveness of the order-splitting strategy : an analysis of unique data

Ryu, Doojin - In: Applied economics letters 19 (2012) 4/6, pp. 541-549

Persistent link: https://www.econbiz.de/10009630676

Forecasting exchange rate from combination Taylor rule fundamental

Kim, Hyeyoen; Ryu, Doojin - In: Emerging markets finance & trade : a journal of the … 49 (2013), pp. 81-92

Persistent link: https://www.econbiz.de/10010258488

An investigation of return-volatility relationship using high-frequency VKOSPI data

Bagchi, Debasis; Lee, Changjun; Ryu, Doojin - In: Afro-Asian Journal of Finance and Accounting : AAJFA 3 (2012/13) 3, pp. 256-273

Persistent link: https://www.econbiz.de/10010210130

Is the KOSPI 200 options market efficient? : parametric and nonparametric tests of the Martingale restriction

Guo, Biao; Han, Qian; Ryu, Doojin - In: The journal of futures markets 33 (2013) 7, pp. 629-652

Persistent link: https://www.econbiz.de/10009756544

ELW pricing kernel and empirical risk aversion

Kim, Jun Sik; Kim, Hyeyoen; Ryu, Doojin - In: Applied economics letters 21 (2014) 4/6, pp. 372-376

Persistent link: https://www.econbiz.de/10010413719

Investor sentiment and return predictability of disagreement

Kim, Jun Sik; Ryu, Doojin; Seo, Sung Won - In: Journal of banking & finance 42 (2014), pp. 166-178

Persistent link: https://www.econbiz.de/10010408405

Regime-dependent relationships between the implied volatility index and stock market index

Lee, Jaeram; Ryu, Doojin - In: Emerging markets finance & trade : a journal of the … 50 (2014) 5, pp. 5-17

Persistent link: https://www.econbiz.de/10010485198

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

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

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