Are the KOSPI 200 implied volatilities useful in value-at-risk models?
Author:
Funder
IREC, The Institute of Finance and Banking, Seoul National University
Publisher
Elsevier BV
Subject
Economics and Econometrics,Business and International Management
Reference72 articles.
1. Informed trading in the index option market: the case of KOSPI 200 options;Ahn;J. Futur. Mark.,2008
2. Information effects of trade size and trade direction: evidence from the KOSPI 200 index options market;Ahn;Asia Pac. J. Financ. Stud.,2010
3. The importance of the macroeconomic variables in forecasting stock return variance: a GARCH–MIDAS approach;Asgharian;J. Forecast.,2013
4. Volatility arbitrage around earnings announcements: evidence from Korean equity linked warrants market;Baik;Pac. Basin Financ. J.,2013
5. Implied volatility and future portfolio returns;Banerjee;J. Bank. Financ.,2007
Cited by 40 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Forecasting day-ahead expected shortfall on the EUR/USD exchange rate: The (I)relevance of implied volatility;International Journal of Forecasting;2024-10
2. Forecasting the Worst: Is Implied Volatility Forward-Looking Enough?;2024
3. Linear extrapolation and model-free option implied moments;Borsa Istanbul Review;2024-01
4. Does the world smile together? A network analysis of global index option implied volatilities;Journal of International Financial Markets, Institutions and Money;2022-03
5. Quadrinomial trees with stochastic volatility to value real options;Journal of Economics, Finance and Administrative Science;2021-09-07
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3