Arbeitspapier
Stock returns and implied volatility: A new VAR approach
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Economics Discussion Papers ; No. 2012-51
- Klassifikation
-
Wirtschaft
General Financial Markets: General (includes Measurement and Data)
International Financial Markets
- Thema
-
asymmetric volatility
vector autoregression
VIX
VKOSPI
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Lee, Bong Soo
Ryu, Doojin
- Ereignis
-
Veröffentlichung
- (wer)
-
Kiel Institute for the World Economy (IfW)
- (wo)
-
Kiel
- (wann)
-
2012
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Lee, Bong Soo
- Ryu, Doojin
- Kiel Institute for the World Economy (IfW)
Entstanden
- 2012
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