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Implied volatility index of KOSPI200 : information contents and properties

Ryu, Doojin - In: Emerging markets finance & trade : a journal of the … 48 (2012), pp. 24-39

Persistent link: https://www.econbiz.de/10009682531

Is the KOSPI 200 Options Market Efficient? A Nonparametric Tests of the Martingale Restriction

Han, Qian - 2012

A number of studies on the S&P 500 index options market claim that the no arbitrage assumption cannot be rejected for this market because either the martingale restriction defined in Longstaff (1995) cannot be rejected by the data, or, even when it is rejected, a large proportion of the...

Persistent link: https://www.econbiz.de/10013108919

Informativeness of truncation in the options market

Lee, Geul; Ryu, Doojin; Yang, Li - In: Finance research letters 72 (2025), pp. 1-6

Persistent link: https://www.econbiz.de/10015176872

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

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

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

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

Price disagreements and adjustments in index derivatives markets

Ryu, Doojin; Yang, Heejin - In: Economics letters 151 (2017), pp. 104-106

Persistent link: https://www.econbiz.de/10011742143

Tests on the monotonicity properties of KOSPI 200 options prices

Sim, Myounghwa; Ryu, Doojin; Yang, Heejin - In: The journal of futures markets 36 (2016) 7, pp. 625-646

Persistent link: https://www.econbiz.de/10011568523