The Long-lived Volatility of Korean Stock Market and Its Relation to Macroeconomic Conditions
This study aims to understand the long-run movement of volatility in Korean stock market by decomposing stock volatility into the long-lived and the short-lived components. In addition, I analyze how the low-frequency movement of stock market volatility is related to changes in macroeconomic conditi...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Korea Development Institute
2013-12-01
|
| Series: | KDI Journal of Economic Policy |
| Subjects: | |
| Online Access: | https://doi.org/10.23895/kdijep.2013.35.4.63 |