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Keywords: Volatility Index
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2005) 13 (2): 87–105.
Published: 30 November 2005
...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...
