Implied Volatility Index of KOSPI200: Information Contents and Properties
Author:
Affiliation:
1. a Chung-Ang University, Seoul, Korea
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.2753/REE1540-496X48S202
Reference27 articles.
1. Informed Trading in the Index Option Market: The Case of KOSPI 200 Options;H. Ahn;Journal of Futures Markets,2008
2. Information Effects of Trade Size and Trade Direction: Evidence from the KOSPI 200 Index Options Market;H. Ahn;Asia-Pacific Journal of Financial Studies,2010
3. Modeling Time-Varying Volatility and Expected Returns: Evidence from the GCC and MENA Regions;M. Al Janabi;Emerging Markets Finance & Trade,2010
4. Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High Frequency Index Returns;B. Blair;Journal of Econometrics,2001
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