Volatility prediction during prolonged crises: Evidence from Korean index options

Pacific Basin Finance Journal

Volumn 9, Issue 2, 2001, Pages 147-164

  Bhabra, Gurmeet S ^a   Gonzalez, Liliana ^a   Kim, Myeong Sup ^a,b   Powell, John G ^a  

^a UNIVERSITY OF OTAGO   (New Zealand)

^b INTERLINK   (South Korea)

Author keywords

Developing markets; Financial crises; G13; G15; Implied volatility; Index options; Volatility

Indexed keywords

EID: 0042407792     PISSN: 0927538X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-538X(01)00005-1     Document Type: Article

References (10)

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