Work

The dynamic conditional relationship between stock market returns and implied volatility

Year: 2017

Type: article

Source: Physica A Statistical Mechanics and its Applications

DOI: 10.1016/j.physa.2017.04.023

Authors: Sung Y. Park, Doojin Ryu, Jeongseok Song

Institutions: Chung-Ang University, Sungkyunkwan University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funder: National Research Foundation of Korea

Award: G1433602061

OpenAlex ID: W2606565133

FWCI: 5.168

Cites: 58

Cited by: 27

Related to: 10