References

This folder holds the following references to publications, sorted by year and author.

There are 31 references in this bibliography folder.

Han, Q, Guo, B, Ryu, D, and Webb, R (2012).
Asymmetric and negative return-volatility relationship: The case of the VKOSPI
Investment Analysts Journal, 76:69–78.

Kim, H and Ryu, D (2012).
Which trader’s order-splitting strategy is effective? The case of an index options market
Applied Economics Letters, 19(17):1683–1692.

Ryu, D (2012).
Implied volatility index of KOSPI200: Information contents and properties
Emerging Markets Finance and Trade, 48(S2):24–39.

Ryu, D (2011).
Intraday price formation and bid-ask spread: A new approach using a cross-market model
Journal of Futures Markets, 31(12):1142–1169.

Ahn, H, Kang, J, and Ryu, D (2010).
Information effects of trade size and trade direction: Evidence from the KOSPI 200 index options market
Asia-Pacific Journal of Financial Studies, 39(3):301–339.

Duan, J and Yeh, C (2010).
Jump and volatility risk premiums implied by VIX
Journal of Economic Dynamics and Control, 34(11):2232–2244.

Lee, B (2010).
Stock returns and inflation revisited: An evaluation of the inflation illusion hypothesis
Journal of Banking and Finance, 34(6):1257–1273.

Becker, R, Clements, A, and McClelland, A (2009).
The jump component of S&P 500 volatility and the VIX index
Journal of Banking and Finance, 33(6):1033–1038.

Ahn, H, Kang, J, and Ryu, D (2008).
Informed trading in the index option market: The case of KOSPI 200 options
Journal of Futures Markets, 28(12):1–29.

Hibbert, A, Daigler, R, and Dupoyet, B (2008).
A behavioral explanation for the negative asymmetric return-volatility relation
Journal of Banking and Finance, 32(10):2254–2266.

Banerjee, P, Doran, J, and Peterson, D (2007).
Implied volatility and future portfolio returns
Journal of Banking and Finance, 31(10):3183–3199.

Avramov, D, Chordia, T, and Goyal, A (2006).
The impact of trades on daily volatility
Review of Financial Studies, 19(4):1241–1277.

Giot, P (2005).
Relationships between implied volatility indexes and stock index returns
Journal of Portfolio Management, 31(3):92–100.

Giot, P (2005).
Implied volatility indexes and daily value at risk models
Journal of Derivatives, 12(4):54–64.

Rapach, D (2001).
Macro shocks and real stock prices
Journal of Economics and Business, 53(1):5–26.

Wu, G (2001).
The determinants of asymmetric volatility
Review of Financial Studies, 14(3):837–859.

Bekaert, G and Wu, G (2000).
Asymmetric volatility and risk in equity markets
Review of Financial Studies, 13(1):1–42.

Duffee, G (1995).
Stock returns and volatility: A firm level analysis
Journal of Financial Economics, 37(3):399–420.

Campbell, J and Hentschel, L (1992).
No news is good news: An asymmetric model of changing volatility in stock returns
Journal of Financial Economics, 31(3):281–318.

Schwert, G (1990).
Stock volatility and the crash of '87
Review of Financial Studies, 3(1):77–102.

French, K, Schwert, G, and Stambaugh, R (1987).
Expected stock returns and volatility
Journal of Financial Economics, 19(1):3–29.

Runkle, D (1987).
Vector autoregressions and reality
Journal of Business and Economic Statistics, 5(4):437–442.

Christie, A (1982).
The stochastic behavior of common stock variances: Value, leverage and interest rates effects
Journal of Financial Economics, 10(4):407–432.

Black, F (1976).
Studies of stock price volatility changes
In: Proceedings of the 1976 Meeting of the Business and Economic Statistics Section, American Statistical Association, Washington, D.C.

No names specified ().

PhD thesis.