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Are the KOSPI 200 implied volatilities useful in value-at-risk models? · Study

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ArticleAre the KOSPI 200 implied volatilities useful in value-at-risk models?

Jun Sik Kim2014

Article2014

Are the KOSPI 200 implied volatilities useful in value-at-risk models?

Jun Sik Kim · Doojin Ryu

44 citations·0/0 files stored·Emerging Markets Review

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Market Dynamics and Volatility

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References

1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1998Evaluating Interval Forecasts 1995Techniques for Verifying the Accuracy of Risk Measurement Models 1998The relation between implied and realized volatility 2005The Model-Free Implied Volatility and Its Information Content 2005Demand-Based Option Pricing 1993The Informational Content of Implied Volatility 2001Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns

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2015Tests on the Monotonicity Properties of KOSPI 200 Options Prices 2015Effects of the US Stock Market Return and Volatility on the VKOSPI 2018The directional information content of options volumes 2019Noise traders, mispricing, and price adjustments in derivatives markets 2015Common deviation and regime-dependent dynamics in the index derivatives markets 2012

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Year2014

Typearticle

Published2014-12-06

VenueEmerging Markets Review

ISSN-L1566-0141

Languageen

Citations44

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.ememar.2014.11.001

openalex_workW2025933248

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Examining the Return–Volatility Relation for Foreign Exchange: Evidence from the Euro VIX

2015Derivative markets in emerging economies: A survey

2017The dynamic conditional relationship between stock market returns and implied volatility