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Results 1-1 of 1 (Search time: 0.005 seconds).
The dynamic conditional relationship between stock market returns and implied volatility
Park, Sung Y.
; Ryu, Doojin;
Song, Jeongseok
Article
Issue Date
2017
Citation
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v.482, pp 638 - 648
Publisher
ELSEVIER SCIENCE BV
1
Discover
Author
Song, Jeong Seok
1
Ryu, Doojin
1
Subject
Dynamic correlation
1
HETEROSKEDASTICITY
1
Implied volatility
1
INDEX DERIVATIVES
1
KOSPI200
1
Macroeconomic variables
1
MODELS
1
NONLINEAR GRANGER CAUSALITY
1
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Date Issued
2017
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