The lead-lag relationship between stock index options and the stock index market: Model, moneyness, and news
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- Suk Joon Byun & Dong Woo Rhee & Sol Kim, 2011. "Intraday volatility forecasting from implied volatility," International Journal of Managerial Finance, Emerald Group Publishing, vol. 7(1), pages 83-100, February.
- repec:wsi:rpbfmp:v:20:y:2017:i:03:n:s0219091517500175 is not listed on IDEAS
- Kim, Jun Sik & Ryu, Doojin, 2015. "Are the KOSPI 200 implied volatilities useful in value-at-risk models?," Emerging Markets Review, Elsevier, vol. 22(C), pages 43-64.
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KeywordsStochastic processes; Stock markets; Options markets; Stock prices;
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