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Forecasting the KOSPI200 spot volatility using various volatility measures · Study

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ArticleForecasting the KOSPI200 spot volatility using various volatility measures

Dohyun Chun2018

Article2018

Forecasting the KOSPI200 spot volatility using various volatility measures

Dohyun Chun · Hoon Cho · Doojin Ryu

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

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

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References

1973The Pricing of Options and Corporate Liabilities 1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1993Measuring and Testing the Impact of News on Volatility 1988A Capital Asset Pricing Model with Time-Varying Covariances 1995Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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Year2018

Typearticle

Published2018-09-11

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations18

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.physa.2018.09.027

openalex_workW2889970948

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