Implied Volatility Transmissions Between Thai and Selected Advanced Stock Markets
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- Thakolsri, Supachok & Sethapramote, Yuthana & Jiranyakul, Komain, 2015. "Implied volatility transmissions between Thai and selected advanced stock markets," MPRA Paper 65901, University Library of Munich, Germany.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Supachok Thakolsri & Yuthana Sethapramote & Komain Jiranyakul, 2016.
"Relationship of the Change in Implied Volatility with the Underlying Equity Index Return in Thailand,"
Economic Research Guardian, Weissberg Publishing, vol. 6(2), pages 74-86, December.
- Thakolsri, Supachock & Sethapramote, Yuthana & Jiranyakul, Komain, 2015. "Relationship of the change in implied volatility with the underlying equity index return in Thailand," MPRA Paper 67986, University Library of Munich, Germany.
More about this item
Keywordsstock index option prices; implied volatility; causality; impulse response functions; variance decompositions;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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