Are the KOSPI 200 implied volatilities useful in value-at-risk models?
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DOI: 10.1016/j.ememar.2014.11.001
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More about this item
Keywords
Value-at-risk; Implied volatility; Market risk; VKOSPI; KOSPI 200 options;All these keywords.
JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- G19 - Financial Economics - - General Financial Markets - - - Other
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