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Forecasting Stock Market Volatility and Application to Volatility Timing Portfolios

Ryu, Doojin - 2022

This study predicts stock market volatility and applies them to the standard problem in finance, namely, asset allocation. Based on machine learning and model averaging approaches, we integrate the drivers’ predictive information to forecast market volatilities. Using various evaluation...

Persistent link: https://www.econbiz.de/10014238092

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

Investor sentiment or information content? : a simple test for investor sentiment proxies

Lee, Geul; Ryu, Doojin - In: The North American journal of economics and finance : a … 74 (2024), pp. 1-25

Persistent link: https://www.econbiz.de/10015134987

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

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

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

Human capital measures and stock return predictability : macroeconomic versus microeconomic approaches

Lee, Jaeram; Ihm, Jungjoon; Ryu, Doojin - In: Finance research letters 21 (2017), pp. 53-56

Persistent link: https://www.econbiz.de/10011807488

Implied pricing Kernels : an alternative approach for option valuation

Ryu, Doojin; Kang, Jangkoo; Suh, Sangwon - In: The journal of futures markets 35 (2015) 2, pp. 127-147

Persistent link: https://www.econbiz.de/10011348461

Forecasting stock market dynamics using bidirectional long short-term memory

Park, Daehyeon; Ryu, Doojin - In: Romanian journal of economic forecasting 24 (2021) 2, pp. 22-34

Persistent link: https://www.econbiz.de/10012587123