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Showing results 1 to 8 of 8

1
Empirical Comparison of Alternative Implied Volatility Measures of the Forecasting Performance of Future Volatility

Rhee, Dong Woo; Byun, Suk Joon; Kim, Sol, ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, v.41, no.1, pp.103 - 124, 2012-02

2
Forecasting the KOSPI200 spot volatility using various volatility measures

Chun, Dohyun; Cho, Hoon; Ryu, Doojin, PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v.514, pp.156 - 166, 2019-01

3
Intraday price dynamics in spot and derivatives markets

Kim, Jun Sik; Ryu, Doojin, PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v.394, pp.247 - 253, 2014-01

4
KOSPI200 분산스왑의 공정분산가 산출방법론의 성과분석과 내재변동성 효과에 대한 실증분석 = An Empirical Analysis of the KOSPI200 Variance Swap: Pricing and Implied Volatility Effectlink

조용재; Cho, Yong-Jae; et al, 한국과학기술원, 2010

5
KOSPI200 주가지수 옵션의 모델-프리 내재변동성의 미래예측력 실증연구 = The predictability of model-free implied volatility in the KOSPI200 index option marketlink

김수경; Kim, Su-Kyung; et al, 한국과학기술원, 2010

6
Mixture Multiplicative Error Model을 이용한 VKOSPI 예측 모델에 관한 연구 = A study on Developing a VKOSPI Forecasting Model via Mixture Error Multiplicative Modellink

이성광; Lee, Sung-Kwang; et al, 한국과학기술원, 2012

7
Regime-Dependent Relationships Between the Implied Volatility Index and Stock Market Index

Lee, Jae Ram; Ryu, Doojin, EMERGING MARKETS FINANCE AND TRADE, v.50, no.5, pp.5 - 17, 2014-09

8
VKOSPI를 이용한 추계적 변동성과 수익률 점프에 관한 연구 = A study on stochastic volatility and return jumps using VKOSPI indexlink

김선희; Kim, Sun-Hee; et al, 한국과학기술원, 2012

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