The KOSPI200 implied volatility index: Evidence of regime switches in volatility expectations

Asia-Pacific Journal of Financial Studies

Volumn 36, Issue 2, 2007, Pages 163-187

  Maghrebi, Nabil ^a   Kim, Moo Sung ^b   Nishina, Kazuhiko ^c  

^a WAKAYAMA UNIVERSITY   (Japan)

^b Pusan National University   (South Korea)

^c OSAKA UNIVERSITY   (Japan)

Author keywords

Asymmetric effects; KOSPI200 implied volatility index; Markov regime switching model; Nonlinear dynamics; Stock market volatility

Indexed keywords

EID: 84863032409     PISSN: 12261165     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

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