@techreport{Lee2012Stock,
abstract = {This study re-examines the return-volatility relationship and dynamics under a new VAR framework. By analyzing two model-free implied volatility indices - VIX (the U.S.) and VKOSPI (Korea) - and their corresponding stock market indices, we found an asymmetric volatility phenomenon in both developed and emerging markets. However, the VKOSPI, a recently published implied volatility index, shows impulse response dynamics that are clearly distinct from those for the VIX, an implied volatility index for the developed market.},
address = {Kiel},
author = {Bong Soo Lee and Doojin Ryu},
copyright = {http://creativecommons.org/licenses/by-nc/2.0/de/deed.en},
keywords = {G10; G15; 330; asymmetric volatility; vector autoregression; VIX; VKOSPI},
language = {eng},
number = {2012-51},
publisher = {Kiel Institute for the World Economy (IfW)},
title = {Stock returns and implied volatility: A new VAR approach},
type = {Economics Discussion Papers},
url = {http://hdl.handle.net/10419/64823},
year = {2012}
}
