Implied Volatility Transmissions Between Thai and Selected Advanced Stock Markets
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DOI: 10.1177/2158244016659318
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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.
References listed on IDEAS
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Cited by:
- 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.
- Fassas, Athanasios P. & Siriopoulos, Costas, 2021. "Implied volatility indices – A review," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 303-329.
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More about this item
Keywords
stock index option prices; implied volatility; causality; impulse response functions; variance decompositions;All these keywords.
JEL classification:
- 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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