Are the KOSPI 200 implied volatilities useful in value-at-risk models?
Jun Sik Kim; Doojin Ryu
| Year of publication: |
2015
|
|---|---|
| Authors: | Kim, Jun Sik ; Ryu, Doojin |
| Published in: |
Emerging markets review. - Amsterdam [u.a.] : Elsevier, ISSN 1566-0141, ZDB-ID 2025202-X. - Vol. 22.2015, p. 43-64
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| Subject: | Value-at-risk | Implied volatility | Market risk | VKOSPI | KOSPI 200 options | Volatilität | Volatility | Risikomaß | Risk measure | Optionspreistheorie | Option pricing theory | Südkorea | South Korea | Optionsgeschäft | Option trading | ARCH-Modell | ARCH model | Marktrisiko | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011304192