Regime-dependent relationships between the implied volatility index and stock market index
Year of publication: |
2014
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Authors: | Lee, Jaeram ; Ryu, Doojin |
Published in: |
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets. - Philadelphia, Pa. : Routledge Taylor & Francis Group, ISSN 1540-496X, ZDB-ID 2089472-7. - Vol. 50.2014, 5, p. 5-17
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Subject: | implied volatility | KOSPI 200 | threshold vector error correction model (TVECM) | VKOSPI | Volatilität | Volatility | Aktienindex | Stock index | Kointegration | Cointegration | Börsenkurs | Share price | Schätzung | Estimation | Optionsgeschäft | Option trading |
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