... non-parametric method have information contents predicting the third-moment of KOSPI200 index return whereas skewness of options estimated from parametric method does not have any information forecasting the skewness of KOSPI200 index return. Volatility Skew Risk Neutral Distribution Lead-lag...

...Sol Kim; Geul Lee This article examines the information contents in the implied volatility spread between the KOSPI200 at-the-money puts and calls with the same strike price and maturity. Using 1-minute KOSPI200 index and options data, our study shows that the volatility spread leads KOSPI200 index...

... works of this article (for both commercial and non-commercial purposes), subject to full attribution to the original publication and authors. The full terms of this licence may be seen at http://creativecommons.org/licences/by/4.0/legalcode Information Contents Options Market Lead-Lag...