Search Results - subject:"KOSPI 200 options"

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 can predict the implied volatility process of the index, using …

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

(VKOSPI) derived from the KOSPI 200 options and (b) the macroeconomic and financial variables that can predict the implied …

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

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

Han, Heejoon; Kutan, Ali M.; Ryu, Doojin - Institut für Weltwirtschaft (IfW) - 2015

Persistent link: https://www.econbiz.de/10011170357

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

Han, Heejoon; Kutan, Ali Mustafa; Ryu, Doojin - 2015

Persistent link: https://www.econbiz.de/10010478493