Stock returns and implied volatility: A new VAR approach
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More about this item
Keywords
asymmetric volatility; vector autoregression; VIX; VKOSPI;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2012-10-20 (Econometric Time Series)
- NEP-FMK-2012-10-20 (Financial Markets)
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