This study aims to achieve a two-fold research objective: first, to econometrically investigate hypothesized linkages between real estate and stock markets by fitting different classes of time-varying volatility model; second, to perform VaR-type stress testing by using the fitted asset price...

The authors re-examine the return-volatility relationship and its dynamics under a new vector autoregression (VAR) identification framework. By analyzing two model-free impliedvolatility indices – the well-established VIX (in the United States) and the recently published VKOSPI (in Korea) –...

This study re-examines the return-volatility relationship and dynamics under a new VAR framework. By analyzing two model-free implied volatility indices - VIX (the U.S.) and VKOSPI (Korea) - and their corresponding stock market indices, we found an asymmetric volatility phenomenon in both...