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Economics: The Open-Access, Open-Assessment E-Journal - Discussion Papers >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/64823
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Lee, Bong Soo | | en_US |
| dc.contributor.author | | Ryu, Doojin | | en_US |
| dc.date.accessioned | | 2012-10-11 | | en_US |
| dc.date.accessioned | | 2012-10-11T13:39:53Z | | - |
| dc.date.available | | 2012-10-11T13:39:53Z | | - |
| dc.date.issued | | 2012 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/64823 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Kiel Institute for the World Economy (IfW) Kiel | | en_US |
| dc.relation.ispartofseries | | Economics Discussion Papers 2012-51 | | en_US |
| dc.subject.jel | | G10 | | en_US |
| dc.subject.jel | | G15 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | asymmetric volatility | | en_US |
| dc.subject.keyword | | vector autoregression | | en_US |
| dc.subject.keyword | | VIX | | en_US |
| dc.subject.keyword | | VKOSPI | | en_US |
| dc.title | | Stock returns and implied volatility: A new VAR approach | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 727375512 | | en_US |
| dc.rights.license | | http://creativecommons.org/licenses/by-nc/2.0/de/deed.en | | en_US |
| dc.identifier.repec | | RePEc:zbw:ifwedp:201251 | | - |
| Appears in Collections: | | Economics: The Open-Access, Open-Assessment E-Journal - Discussion Papers
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