Han, Heejoon; Kutan, Ali M.; Ryu, Doojin - Institut für Weltwirtschaft (IfW) - 2015
) the statistical properties of the Korea's representative implied volatility index (VKOSPI) derived from the KOSPI 200 … the VKOSPI. In addition, we find that the stock market return and implied volatility index of the US market (i.e., the S … return and US implied volatility index are incorporated into the HAR framework, the model's both in-sample fitting and out …