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Exchange rate fluctuations, political risk, and stock returns : some evidence from an emerging market

Bailey, Warren - In: Journal of financial and quantitative analysis : JFQA 30 (1995) 4, pp. 541-561

Persistent link: https://www.econbiz.de/10001218098

The pricing of time-varying exchange rate risk in the stock market : a nonparametric approach

Chung, Y. Peter; Zhou, Zhong-guo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 16 (2012) 1, pp. 1-31

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Asymmetric correlation as an explanation for the effect of asset skewness on equity returns

Chung, Y. Peter; Kim, Thomas S. - In: Asia-Pacific journal of financial studies 46 (2017) 5, pp. 686-699

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Extreme returns and herding of trade imbalances

Chung, Y. Peter; Kim, S. Thomas - In: Review of finance : journal of the European Finance … 21 (2017) 6, pp. 2379-2399

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Is volatility risk priced in the KOSPI 200 index options market?

Yoon, Sun-joong; Byun, Suk Joon - In: The journal of futures markets 29 (2009) 9, pp. 797-825

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ITMs versus OTMs

Yoon, Sun-joong; Kang, So Hyun - In: Asia-Pacific journal of financial studies 41 (2012) 4, pp. 517-539

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Information content of volatility spreads

Kang, Byung Jin; Kim, Tong Suk; Yoon, Sun-joong - In: The journal of futures markets 30 (2010) 6, pp. 533-558

Persistent link: https://www.econbiz.de/10003962646

Implied risk aversion and volatility risk premiums

Yoon, Sun-joong; Byun, Suk Joon - In: Applied financial economics 22 (2012) 1/3, pp. 59-70

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The role of the variance premium in Jump-GARCH option pricing models

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Information Content of Volatility Spreads

Kang, Byung Jin - 2010

This study reexamines the determinants of volatility spreads and suggests a new forecast of future volatilities. Contrary to earlier volatility forecasts, the newly introduced forecast is applicable when investors are not risk-neutral or when underlying returns do not follow a Gaussian...

Persistent link: https://www.econbiz.de/10013152308