The authors re-examine the return-volatility relationship and its dynamics under a new vector autoregression (VAR … the recently published VKOSPI (in Korea) – and their stock market indices, the authors find an asymmetric volatility …, which determine the dynamics of the VKOSPI. -- asymmetric volatility ; vector autoregression ; VIX ; VKOSPI …

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 developed and emerging markets. However, the VKOSPI, a recently published …

financial assets with fat tails, asymmetry, periodic behaviors in the conditional variances, and volatility clustering. The gold …

We propose a comprehensive treatment of the leverage effect, i.e. the relationship between returns and volatility of a … estimating the volatility process without assuming any specific form of its behavior, we find the volatility to be long … returns and volatility is detected as the long-term cross-correlated one. These findings can be further utilized to enhance …

the performance of hedge funds both in the cross-section and over time. We measure uncertainty via volatility of aggregate … volatility (VOV) and construct an investable version of this measure by computing monthly returns on lookback straddles written …