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Keywords: Factor Model
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2016) 24 (1): 65–96.
Published: 29 February 2016
...Byung Jin Kang This study examines the effects of crisis-related factors on the returns of KOSPI200 index options using a factor model, which was introduced by Constantinides, Jackwerth and Savov (2013). Three factors incorporating price jumps, changes in volatility, and volatility jumps...
