Volatility dynamics under an endogenous Markov-switching framework: a cross-market approach

DOI10.1080/14697688.2018.1444551zbMATH Open1483.91224OpenAlexW2591705695WikidataQ129934770 ScholiaQ129934770MaRDI QIDQ5026537FDOQ5026537

Authors: Wonho Song, Doojin Ryu, Robert Webb 

Publication date: 8 February 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2018.1444551

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zbMATH Keywords

VIXendogenous Markov-switchingcross-market approachimplied volatility indexVKOSPI

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial markets (91G15)

Cites Work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Estimation of Markov regime-switching regression models with endogenous switching
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• A Class of Nonlinear Arch Models
• The Variance Gamma Process and Option Pricing
• Efficient Tests for an Autoregressive Unit Root
• Markov-switching models with endogenous explanatory variables
• Markov-switching models with endogenous explanatory variables. II: A two-step MLE procedure
• A new approach to model regime switching
• The VIX, the variance premium and stock market volatility
• A regime-switching Heston model for VIX and S&P 500 implied volatilities

Cited In (5)

• Examining the interrelation dynamics between option and stock markets using the Markov-switching vector error correction model
• Structural clustering of volatility regimes for dynamic trading strategies
• Can CDS indexes signal future turmoils in the stock market? A Markov switching perspective
• Using interpolated implied volatility for analysing exogenous market changes
• Dynamic relations of uncertainty expectations: a conditional assessment of implied volatility indices

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