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Korean Journal of Financial Studies 2007;36(2):163-187.
Published online April 30, 2007.
The KOSPI200 Implied Volatility Index: Evidence of Regime Switches in Volatility Expectations
Nabil Maghrebi, Moo Sung Kim, Kazuhiko Nishina
The KOSPI200 Implied Volatility Index: Evidence of Regime Switches in Volatility Expectations
Nabil Maghrebi, Moo Sung Kim, Kazuhiko Nishina
Key Words: Asymmetric effects,KOSPI200 Implied volatility index,Markov regime-switching model,Nonlinear dynamics,Stock market volatility
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