...Changsoo Hong; Yuen Jung Park This study examines whether changes in the implied volatility of stock options have cross-sectional predictability for future changes in credit default swap (CDS) spreads in the Korean market. The major findings are as follows. First, in the CDS portfolio analysis...

...Dam Cho This paper analyzes implied volatilities (IVs), which are computed from trading records of the KOSPI 200 index option market from January 2005 to December 2014, to examine major characteristics of the market pricing behavior. The data includes only daily closing prices of option...

...Dong-Hoon Shin; Seonhyeon Kim; Hojoon Kim; Daehwi Jung In this paper, we examine the existence of the psychological barriers in three foreign exchange rate, won/dollar, euro/dollar, yen/dollar, and test that the psychological barriers effect to the implied volatilities of the FX options. For each...

... Over-Reaction Under-Reaction Stochastic Volatility Instantaneous Variance Implied Volatility © 2012 Emerald Publishing Limited 2012 This article is published under the Creative Commons Attribution (CC BY 4.0) licence. Anyone may reproduce, distribute, translate and create derivative works...

... Realized Volatility Implied Volatility Historical Volatility VIX ...

... to estimate the parameters of option pricing kernel. The SNP distribution of the implied volatility contains AR (2) and ARCH effects, and the skewness of the distribution is much higher than normal distribution. The distribution has thinner left tail and fatter right tail than normal distribution, which...

...Jae Ha Lee; Je Ryun Chung This study examines the lead-lag relationship between KOSPI200 and the volatility index based on the implied volatility from the KOSPI200 options. The sample period covers from January 2, 2003 to June 30, 2004. Both daily and minute-by-minute data were used for the lead...

...Gi Yull Og This paper examines implied volatility asymmetries in KOSPI200 option markets. The empirical results show that the unexpected negative return has a more remarkable effect on implied volatility than the unexpected positive one in the early stages of markets. In the recent stages, markets...