Comparison of the Korean and US Stock Markets Using Continuous-time Stochastic Volatility Models†
We estimate three continuous-time stochastic volatility models following the approach by Aït-Sahalia and Kimmel (2007) to compare the Korean and US stock markets. To do this, the Heston, GARCH, and CEV models are applied to the KOSPI 200 and S&P 500 Index. For the latent volatility variable, we...
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| Format: | Article |
| Language: | English |
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Korea Development Institute
2018-11-01
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| Series: | KDI Journal of Economic Policy |
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| Online Access: | https://doi.org/10.23895/kdijep.2018.40.4.1 |