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Downside uncertainty shocks in the oil and gold markets

Roh, Tai-Yong; Byun, Suk Joon; Xu, Yahua - In: International review of economics & finance : IREF 66 (2020), pp. 291-307

Persistent link: https://www.econbiz.de/10012391717

Downside Uncertainty Shocks in the Oil and Gold Markets

Roh, Tai-Yong - 2020

We construct downside variance risk premiums from the crude oil and gold option data and use them as proxies for market downside uncertainty risks. We find that these downside variance risk premiums contain commodity market specifc pricing information. Further- more, the gold market's exposure...

Persistent link: https://www.econbiz.de/10012839629

Investor sentiment and the MAX effect : evidence from Korea

Byun, Suk Joon; Jeon, Byounghyun; Kim, Donghoon - In: Applied economics 55 (2023) 3, pp. 319-331

Persistent link: https://www.econbiz.de/10013494426

Is volatility risk priced in the KOSPI 200 index options market?

Yoon, Sun-joong; Byun, Suk Joon - In: The journal of futures markets 29 (2009) 9, pp. 797-825

Persistent link: https://www.econbiz.de/10003900683

Intraday volatility forecasting from implied volatility

Byun, Suk Joon; Rhee, Dong Woo; Kim, Sol - In: International journal of managerial finance : IJMF 7 (2011) 1, pp. 83-100

Persistent link: https://www.econbiz.de/10008992000

The information content of risk-neutral skewness for volatility forecasting

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Conditional volatility and the GARCH option pricing model with non-normal innovations

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Persistent link: https://www.econbiz.de/10009697540

Forecasting carbon futures volatility using GARCH models with energy volatilities

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Empirical comparison of alternative implied volatility measures of the forecasting performance of future volatility

Rhee, Dong Woo; Byun, Suk Joon; Kim, Sol - In: Asia-Pacific journal of financial studies 41 (2012) 1, pp. 103-124

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Implied risk aversion and volatility risk premiums

Yoon, Sun-joong; Byun, Suk Joon - In: Applied financial economics 22 (2012) 1/3, pp. 59-70

Persistent link: https://www.econbiz.de/10009419575