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dc.contributor.authorLee, Bong Sooen_US
dc.contributor.authorRyu, Doojinen_US
dc.date.accessioned2012-10-11en_US
dc.date.accessioned2012-10-11T13:39:53Z-
dc.date.available2012-10-11T13:39:53Z-
dc.date.issued2012en_US
dc.identifier.urihttp://hdl.handle.net/10419/64823-
dc.description.abstractThis 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.en_US
dc.language.isoengen_US
dc.publisherKiel Institute for the World Economy (IfW) Kielen_US
dc.relation.ispartofseriesEconomics Discussion Papers 2012-51en_US
dc.subject.jelG10en_US
dc.subject.jelG15en_US
dc.subject.ddc330en_US
dc.subject.keywordasymmetric volatilityen_US
dc.subject.keywordvector autoregressionen_US
dc.subject.keywordVIXen_US
dc.subject.keywordVKOSPIen_US
dc.titleStock returns and implied volatility: A new VAR approachen_US
dc.typeWorking Paperen_US
dc.identifier.ppn727375512en_US
dc.rights.licensehttp://creativecommons.org/licenses/by-nc/2.0/de/deed.enen_US
dc.identifier.repecRePEc:zbw:ifwedp:201251-
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