Han, Heejoon; Kutan, Ali M.; Ryu, Doojin - In: Economics: The Open-Access, Open-Assessment E-Journal 9 (2015) 2015-35, pp. 1-34
. This paper empirically examines (a) the statistical properties of the Korea's representative implied volatility index … macroeconomic variables explain the VKOSPI. More importantly, we find that the stock market return and implied volatility index of …. When two global factors, both the US stock market return and the US implied volatility index, are incorporated into the HAR …