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https://hdl.handle.net/10419/64823
Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Lee, Bong Soo | en |
dc.contributor.author | Ryu, Doojin | en |
dc.date.accessioned | 2012-10-11 | - |
dc.date.accessioned | 2012-10-11T13:39:53Z | - |
dc.date.available | 2012-10-11T13:39:53Z | - |
dc.date.issued | 2012 | - |
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 |
dc.language.iso | eng | en |
dc.publisher | |aKiel Institute for the World Economy (IfW) |cKiel | en |
dc.relation.ispartofseries | |aEconomics Discussion Papers |x2012-51 | en |
dc.subject.jel | G10 | en |
dc.subject.jel | G15 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | asymmetric volatility | en |
dc.subject.keyword | vector autoregression | en |
dc.subject.keyword | VIX | en |
dc.subject.keyword | VKOSPI | en |
dc.title | Stock returns and implied volatility: A new VAR approach | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 727375512 | en |
dc.rights.license | http://creativecommons.org/licenses/by-nc/2.0/de/deed.en | en |
dc.identifier.repec | RePEc:zbw:ifwedp:201251 | en |
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