Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/64823 
Full metadata record
DC FieldValueLanguage
dc.contributor.authorLee, Bong Sooen
dc.contributor.authorRyu, Doojinen
dc.date.accessioned2012-10-11-
dc.date.accessioned2012-10-11T13:39:53Z-
dc.date.available2012-10-11T13:39:53Z-
dc.date.issued2012-
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
dc.language.isoengen
dc.publisher|aKiel Institute for the World Economy (IfW) |cKielen
dc.relation.ispartofseries|aEconomics Discussion Papers |x2012-51en
dc.subject.jelG10en
dc.subject.jelG15en
dc.subject.ddc330en
dc.subject.keywordasymmetric volatilityen
dc.subject.keywordvector autoregressionen
dc.subject.keywordVIXen
dc.subject.keywordVKOSPIen
dc.titleStock returns and implied volatility: A new VAR approach-
dc.typeWorking Paperen
dc.identifier.ppn727375512en
dc.rights.licensehttp://creativecommons.org/licenses/by-nc/2.0/de/deed.enen
dc.identifier.repecRePEc:zbw:ifwedp:201251en

Files in This Item:
File
Size
133.19 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.