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- W2018307683 abstract "This paper examines empirically Durham's (2008) asset pricing models to the KOSPI200 index. This model Incorporates the VKOSPI index as a proxy for 1 month integrated volatility. This approach uses option prices to back out implied volatility states with an explicitly speci ed risk-neutral measure and risk premia estimated from the data. The application uses daily observations of the KOSPI200 and VKOSPI indices from January 2, 2003 to September 24, 2010. The empirical results show that non-affine model perform better than affine model." @default.
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- W2018307683 date "2011-02-28" @default.
- W2018307683 modified "2023-09-25" @default.
- W2018307683 title "Asset Pricing From Log Stochastic Volatility Model: VKOSPI Index" @default.
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- W2018307683 doi "https://doi.org/10.5351/kjas.2011.24.1.083" @default.
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