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Keywords: Common Factor
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2016) 24 (2): 339–363.
Published: 31 May 2016
... Information Share Common Factor Spot Foreign Exchange Forward Foreign Exchange Off-Shore NDF Market © 2016 Emerald Publishing Limited 2016 This article is published under the Creative Commons Attribution (CC BY 4.0) licence. Anyone may reproduce, distribute, translate and create derivative works...
Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2012) 20 (2): 133–164.
Published: 31 May 2012
...Sun-Joong Yoon; So Hyun Kang This paper conducts a factor analysis using the implied variances of S&P 500 index options and KOSPI 200 index options. After estimating the factors that influence variance risks, we rotate the factors to decompose them into a common factor and local factors...
