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Quantitative Finance Volume 18, 2018 - Issue 9: Chinese Derivatives Markets
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Special Issue Papers

Volatility dynamics under an endogenous Markov-switching framework: a cross-market approach

Wonho SongSchool of Economics, Chung-Ang University, 84 Heukseok-ro, Dongjak-gu, Seoul06974, Republic of KoreaORCID Iconhttp://orcid.org/0000-0003-3307-5802View further author information
ORCID Icon,
Doojin RyuDepartment of Economics, Sungkyunkwan University, 25-2, Sungkyunkwan-ro, Jongno-gu, Seoul03063, Republic of KoreaCorrespondence[email protected]
ORCID Iconhttp://orcid.org/0000-0002-0059-4887View further author information
ORCID Icon &
Robert I. WebbMcIntire School of Commerce, University of Virginia, 125 Ruppel Drive, Charlottesville, VA22903, USAView further author information
Pages 1559-1571 | Received 16 Jan 2017, Accepted 13 Nov 2017, Published online: 23 Apr 2018

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Heejin Yang. (2021) Investor sentiment and market dynamics: Evidence from index futures markets. Investment Analysts Journal 50:4, pages 258-272.
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Arjun Prakash, Nick James, Max Menzies & Gilad Francis. (2021) Structural Clustering of Volatility Regimes for Dynamic Trading Strategies. Applied Mathematical Finance 28:3, pages 236-274.
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Doowon Ryu, Doojin Ryu & Heejin Yang. (2020) Investor Sentiment, Market Competition, and Financial Crisis: Evidence from the Korean Stock Market. Emerging Markets Finance and Trade 56:8, pages 1804-1816.
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Doojin Ryu & Heejin Yang. (2020) Noise traders, mispricing, and price adjustments in derivatives markets. The European Journal of Finance 26:6, pages 480-499.
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Doowon Ryu, Maria H. Kim & Doojin Ryu. (2019) The Effect of International Strategic Alliances on Firm Performance before and after the Global Financial Crisis. Emerging Markets Finance and Trade 55:15, pages 3539-3552.
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Jilong Chen, Christian Ewald & Ali M. Kutan. (2019) Time-dependent volatility in futures contract options. Investment Analysts Journal 48:1, pages 30-41.
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Heejin Yang, Doojin Ryu & Doowon Ryu. (2018) Market Reform and Efficiency: The Case of KOSPI200 Options. Emerging Markets Finance and Trade 54:12, pages 2687-2697.
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Articles from other publishers (1)

Wonho Song, Sung Y. Park & Doojin Ryu. (2018) Dynamic conditional relationships between developed and emerging markets. Physica A: Statistical Mechanics and its Applications 507, pages 534-543.
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