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Keywords: BEKK
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2010) 18 (3): 1–23.
Published: 31 August 2010
... and the bivariate GARCH type BEKK model to estimate the trading volume volatility of currency futures and the volatility of currency spot, sampled daily during 1/4/2000~12/30/2009 period. According to the findings of this study, previous information contained in both trading volume and the volume volatility of Won...
