SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Overseas market shocks and VKOSPI dynamics: A Markov-switching approach · Study

ArticleShelves

ArticleOverseas market shocks and VKOSPI dynamics: A Markov-switching approach

Wonho Song2015

Article2015

Overseas market shocks and VKOSPI dynamics: A Markov-switching approach

Wonho Song · Doojin Ryu · Robert I. Webb

49 citations·0/0 files stored·Finance research letters

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 49 citations exist upstream.

References

1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1996Efficient Tests for an Autoregressive Unit Root 1992Efficient Tests for an Autoregressive Unit Root 1996Modeling the conditional distribution of interest rates as a regime-switching process 2000Option Prices, Implied Price Processes, and Stochastic Volatility 1994Business-Cycle Phases and Their Transitional Dynamics 1996An Analysis of the Real Interest Rate Under Regime Shifts 2000Firm Size and Cyclical Variations in Stock Returns

Cited by

2016Commodity markets volatility transmission: Roles of risk perceptions and uncertainty in financial markets 2017Information asymmetry and investor trading behavior around bond rating change announcements 2019Investor Sentiment, Market Competition, and Financial Crisis: Evidence from the Korean Stock Market 2020Economic indicators and stock market volatility in an emerging economy 2019The impacts of public news announcements on intraday implied volatility dynamics

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2018Volatility dynamics under an endogenous Markov-switching framework: a cross-market approacharticle · 11 shared references 2015Effects of the US Stock Market Return and Volatility on the VKOSPIarticle · 8 shared references 2012Regime Changes and Financial Marketsreview · 7 shared references 2015Regime switching model of US crude oil and stock market prices: 1859 to 2013article · 7 shared references 2015A regime-dependent assessment of the information transmission dynamics between oil prices, precious metal prices and exchange ratesarticle · 7 shared references 2011Regime Changes and Financial Marketspreprint · 7 shared references

Details

Year2015

Typearticle

Published2015-12-29

VenueFinance research letters

ISSN-L1544-6123

Languageen

Citations49

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.frl.2015.12.007

openalex_workW2209731979

Links

Imported from OpenAlex (CC0) — nothing here is generated.

2018The directional information content of options volumes

2020The impact of net buying pressure on index options prices

2019Noise traders, mispricing, and price adjustments in derivatives markets