SZodixStudyAcademic Library
ShelvesOpen 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
16 references·16 citing·44 second hopsampled
Overseas market shocks and VKOSPI dynamics: A Markov-switching approach (2015)Overseas market shocks and VKOSPI dynamic…The Information Content of Trades: An Analysis of KOSPI 200 Index Derivatives (2013)The Information Content of Tr…Modeling and predicting the CBOE market volatility index (2013)Modeling and predicting the C…Informed trading in the index option market: The case of KOSPI 200 options (2008)Informed trading in the index…Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices (2008)Can the evolution of implied …Extracting Model-Free Volatility from Option Prices (2007)Extracting Model-Free Volatil…Option Prices, Implied Price Processes, and Stochastic Volatility (2000)Option Prices, Implied Price …Firm Size and Cyclical Variations in Stock Returns (2000)Firm Size and Cyclical Variat…7. Regime Switching with Time-Varying Transition Probabilities (1999)7. Regime Switching with Time…Modeling the conditional distribution of interest rates as a regime-switching process (1996)Modeling the conditional dist…Efficient Tests for an Autoregressive Unit Root (1996)Efficient Tests for an Autore…An Analysis of the Real Interest Rate Under Regime Shifts (1996)An Analysis of the Real Inter…Nonstationary Time Series Analysis and Cointegration (1994)Nonstationary Time Series Ana…Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth (1994)Duration-Dependent Transition…Business-Cycle Phases and Their Transitional Dynamics (1994)Business-Cycle Phases and The…Efficient Tests for an Autoregressive Unit Root (1992)Efficient Tests for an Autore…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Structural Clustering of Volatility Regimes for Dynamic Trading Strategies (2021)Structural Clustering of Vola…Informed options trading around holidays (2021)Informed options trading arou…The impact of net buying pressure on index options prices (2020)The impact of net buying pres…Economic indicators and stock market volatility in an emerging economy (2020)Economic indicators and stock…The impacts of public news announcements on intraday implied volatility dynamics (2019)The impacts of public news an…Noise traders, mispricing, and price adjustments in derivatives markets (2019)Noise traders, mispricing, an…Investor Sentiment, Market Competition, and Financial Crisis: Evidence from the Korean Stock Market (2019)Investor Sentiment, Market Co…How does FX liquidity affect the relationship between foreign ownership and stock liquidity? (2019)How does FX liquidity affect …The impacts of overseas market shocks on the CDS-option basis (2018)The impacts of overseas marke…The directional information content of options volumes (2018)The directional information c…Dynamic conditional relationships between developed and emerging markets (2018)Dynamic conditional relations…The dynamic conditional relationship between stock market returns and implied volatility (2017)The dynamic conditional relat…Information asymmetry and investor trading behavior around bond rating change announcements (2017)Information asymmetry and inv…Hedge ratio on Markov regime-switching diagonal Bekk–Garch model (2017)Hedge ratio on Markov regime-…The information content of implied volatility and jumps in forecasting volatility: Evidence from the Shanghai gold futures market (2016)The information content of im…Commodity markets volatility transmission: Roles of risk perceptions and uncertainty in financial markets (2016)Commodity markets volatility …Nobel Lecture: Inflation and Unemployment (1977)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆ (2000)Asset Pricing at the Millennium (2000)Dealing with Structural Breaks (2005)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)Forecasting Volatility in Financial Markets: A Review (2003)New Indexes of Coincident and Leading Economic Indicators (1989)The federal funds rate and the channels of monetary transmission (1989)Stock market volatility and the business cycle (1996)Vulnerable Growth (2019)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Optimal Lending Contracts and Firm Dynamics (2004)Instability of return prediction models (2006)Time-varying short-horizon predictability☆ (2010)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Model-Free Implied Volatility and Its Information Content (2005)Tails, Fears, and Risk Premia (2011)The VIX, the variance premium and stock market volatility (2014)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Time Series Regression with a Unit Root (1987)Testing for a Unit Root in Time Series Regression (1988)LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power (2001)Unit root tests for panel data (2001)A simple panel unit root test in the presence of cross‐section dependence (2007)The General Theory of Employment, Interest and Money. (1936)The General Theory of Employment, Interest and Money. (1936)Identifying Bull and Bear Markets in Stock Returns (2000)A simple framework for analysing bull and bear markets (2002)Business Cycle Turning Points, A New Coincident Index, and Tests of Duration Dependence Based on a Dynamic Factor Model With Regime Switching (1998)Regime Changes and Financial Markets (2012)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1996Efficient Tests for an Autoregressive Unit Root5,637 cited
  • 1992Efficient Tests for an Autoregressive Unit Root4,234 cited
  • 1996Modeling the conditional distribution of interest rates as a regime-switching process1,492 cited
  • 2000Option Prices, Implied Price Processes, and Stochastic Volatility937 cited
  • 1994Business-Cycle Phases and Their Transitional Dynamics883 cited
  • 1996An Analysis of the Real Interest Rate Under Regime Shifts779 cited
  • 2000Firm Size and Cyclical Variations in Stock Returns656 cited
  • 19997. Regime Switching with Time-Varying Transition Probabilities450 cited
  • 1994Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth288 cited
  • 1994Nonstationary Time Series Analysis and Cointegration284 cited
  • 2013Modeling and predicting the CBOE market volatility index278 cited
  • 2007Extracting Model-Free Volatility from Option Prices217 cited
  • 2008Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices174 cited
  • 2008Informed trading in the index option market: The case of KOSPI 200 options

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

174 cited
  • 2013The Information Content of Trades: An Analysis of KOSPI 200 Index Derivatives107 cited
  • Cited by

    • 2016Commodity markets volatility transmission: Roles of risk perceptions and uncertainty in financial markets88 cited
    • 2017Information asymmetry and investor trading behavior around bond rating change announcements49 cited
    • 2019The impacts of public news announcements on intraday implied volatility dynamics45 cited
    • 2019Investor Sentiment, Market Competition, and Financial Crisis: Evidence from the Korean Stock Market45 cited
    • 2020Economic indicators and stock market volatility in an emerging economy45 cited
    • 2018The directional information content of options volumes42 cited
    • 2019Noise traders, mispricing, and price adjustments in derivatives markets38 cited
    • 2020The impact of net buying pressure on index options prices38 cited
    • 2019How does FX liquidity affect the relationship between foreign ownership and stock liquidity?30 cited
    • 2018The impacts of overseas market shocks on the CDS-option basis28 cited
    • 2021Informed options trading around holidays28 cited
    • 2018Dynamic conditional relationships between developed and emerging markets27 cited
    • 2016The information content of implied volatility and jumps in forecasting volatility: Evidence from the Shanghai gold futures market27 cited
    • 2017The dynamic conditional relationship between stock market returns and implied volatility27 cited
    • 2017Hedge ratio on Markov regime-switching diagonal Bekk–Garch model25 cited
    • 2021Structural Clustering of Volatility Regimes for Dynamic Trading Strategies24 cited