Browsing by Author "Gonzalez, Maria Liliana"
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Volatility prediction during prolonged crises: Evidence from Korean index options
Bhabra, Gurmeet S; Gonzalez, Maria Liliana; Kim, Myeong Sup; Powell, John GThis paper examines KOSPI200 index option prices in order to investigate whether index option implied volatilities foreshadowed the 1997 economic crisis in Korea. Results indicate the absence of strong fears of an impending ...