An investigation of return-volatility relationship using high-frequency VKOSPI data
Debasis Bagchi; Changjun Lee; Doojin Ryu
| Year of publication: |
2013
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|---|---|
| Authors: | Bagchi, Debasis ; Lee, Changjun ; Ryu, Doojin |
| Published in: |
Afro-Asian Journal of Finance and Accounting : AAJFA. - Genève [u.a.] : Inderscience Enterprises, ISSN 1751-6447, ZDB-ID 2416800-2. - Vol. 3.2012/13, 3, p. 256-273
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| Subject: | asymmetric volatility | high frequency data | implied volatility | vector autoregression | VAR | VKOSPI | Volatilität | Volatility | VAR-Modell | VAR model | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Schätzung | Estimation | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010210130