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Are the KOSPI 200 implied volatilities useful in value-at-risk models?
Kim, Jun Sik
;
Ryu, Doojin
- In:
Emerging Markets Review
22
(
2015
)
C
,
pp. 43-64
volatilities extracted from the
KOSPI
200
options
and proposes a modified value-at-risk (VaR) framework utilizing the implied …
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