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The dynamic conditional relationship between stock market returns and implied volatility · Study

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ArticleThe dynamic conditional relationship between stock market returns and implied volatility

Sung Yong Park2017

Article2017

The dynamic conditional relationship between stock market returns and implied volatility

Sung Yong Park · Doojin Ryu · Jeongseok Song

27 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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

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References

1986Generalized autoregressive conditional heteroskedasticity 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 2002Dynamic Conditional Correlation 1995Multivariate Simultaneous Generalized ARCH 1993Measuring and Testing the Impact of News on Volatility 1988A Capital Asset Pricing Model with Time-Varying Covariances n.d.Multivariate GARCH models: a survey

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2024Volatility forecasting and volatility-timing strategies: A machine learning approach

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Year2017

Typearticle

Published2017-04-19

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations27

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.physa.2017.04.023

openalex_workW2606565133

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