Han, Heejoon; Kutan, Ali M.; Ryu, Doojin - Institut für Weltwirtschaft (IfW) - 2015
The KOSPI 200 options are one of the most actively traded derivatives in the world. This paper empirically examines (a … options and (b) macroeconomic and financial variables that can predict the implied volatility process of the index, using …&P 500 spot return and the VIX from S&P 500 options) play a key role in predicting the level of VKOSPI and explaining its …