Ryu, Doojin - In: Emerging Markets Finance and Trade 48 (2012) 7, pp. 24-39
This paper investigates the properties and information contents of an implied volatility index based on Korea's index options contract, which is the most liquid options product in the world. Analyzing the recent 100-month-long volatility index series (VKOSPI; Volatility Index of KOSPI200)...