Open AccessAsset Pricing From Log Stochastic Volatility Model: VKOSPI Index
Author(s) -
Yu-Jin Oh
Publication year - 2011
Publication title -
eung'yong tong'gye yeon'gu/the korean journal of applied statistics
Language(s) - Uncategorized
Resource type - Journals
eISSN - 2383-5818
pISSN - 1225-066X
DOI - 10.5351/kjas.2011.24.1.083
Subject(s) - econometrics , stochastic volatility , volatility (finance) , index (typography) , implied volatility , economics , volatility smile , forward volatility , autoregressive conditional heteroskedasticity , proxy (statistics) , capital asset pricing model , volatility risk premium , affine transformation , financial economics , mathematics , computer science , statistics , world wide web , pure mathematics