KOSPI200 옵션시장에서의 변동성지수 산출 및 분석

참고문헌 (Reference)

1 "한국주식시장에서 포트폴리오 수익률의 양의 1차 자기상관 : 비동시성 거래효과 vs. 부분가격조정가설" 34 (34): 33-77, 2005

2 "한국 옵션시장의 변동성 예측과 예측성과 비교에 관한 연구" 9 (9): 51-79, 2001

3 "주식시장의 변동성 예측 : KOSPI 변동성지수(KoVIX)의 도입가능성을 중심으로" 25 : 229-264, 1999

4 "금융시계열분석" 경문사 2003

5 Lee, J, "Time-varying forecast performance of new and original volatility indexes for the 1990-2004 period" SKK Graduate School of Business, Sungkyunkwan University 2005

6 Fleming, J, "The quality of market volatility forecasts implied by S&P 100 index option prices" 5 : 317-345, 1998

7 "The pricing of options and corporate liabilities" 81 : 637-659, 1973

8 Whaley, R, "The investor fear gauge" 26 : 12-17, 2000

9 "The informational content of implied volatility" 6 : 659-681, 1993

10 Dowling, S, "The implied volatility of australian index options" 2004

11 "The forecast quality of CBOE implied volatility indexes" 25 : 339-373, 2005

12 French, "Stock return variances: The arrival of information and the reaction of traders" 17 : 5-26, 1986

13 Day, "Stock market volatility and the information content of stock index options" 52 : 267-287, 1992

14 Jorion, "Predicting volatility in the foreign exchange market" 2 : 507-528, 1995

15 Fleming, "Predicting stock market volatility: A new measure" 15 : 265-302, 1995

16 Cox, "Option pricing: A simplified approach" 7 : 229-264, 1979

17 Demeterfi, K, "More than you ever wanted to know about volatility swaps" Goldman Sachs 1-50, 1999

18 "KOSPI200 옵션 내재변동성의 예측력" 9 (9): 25-50, 2001

19 Fama, "Forward and spot exchange rates" 14 : 319-338, 1984

20 Owain, G, "Forecasting volatility for options pricing for the U.K stock market" 14 (14): 55-62, 2001

21 "Derivatives on market volatility: Hedging tools long overdue" 1 : 71-84, 1993

22 Newey, "A simple positive semi-definite heteroskedasticity and autocorrelation consistent covariance matrix" 55 : 703-708, 1987b