Search Results - subject:"HAR(∞) model"

Forecasting the Chinese stock market volatility with international market volatilities : the role of regime switching

Zhang, Yaojie; Lei, Likun; Wei, Yu - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-21

Persistent link: https://www.econbiz.de/10012654704

Forecasting energy futures volatility with threshold augmented heterogeneous autoregressive jump models

Jawadi, Fredj; Ftiti, Zied; Louhichi, Waël - In: Econometric reviews 39 (2020) 1, pp. 54-70

Persistent link: https://www.econbiz.de/10012181540

Modeling and predicting the market volatility index: The case of VKOSPI

Han, Heejoon; Kutan, Ali M.; Ryu, Doojin - 2015

The KOSPI 200 options are one of the most actively traded derivatives in the world. This paper empirically examines (a) the statistical properties of the Korea's representative implied volatility index (VKOSPI) derived from the KOSPI 200 options and (b) macroeconomic and financial variables that...

Persistent link: https://www.econbiz.de/10010478805

Effects of the US stock market return and volatility on the VKOSPI

Han, Heejoon; Kutan, Ali M.; Ryu, Doojin - In: Economics: The Open-Access, Open-Assessment E-Journal 9 (2015) 2015-35, pp. 1-34

The KOSPI (Korea Composite Stock Price Index) 200 options are one of the most actively traded derivatives in the world. This paper empirically examines (a) the statistical properties of the Korea's representative implied volatility index (VKOSPI) derived from the KOSPI 200 options and (b) the...

Persistent link: https://www.econbiz.de/10011379844