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Keywords: Currency Spot
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2010) 18 (3): 1–23.
Published: 31 August 2010
...Kook-Hyun Chang; Byung-Jo Yoon This paper tries to empirically investigate whether the information contained in trading volume, volume volatility of Won/Dollar currency futures may be statistically useful in forecasting currency spot return. This paper uses both the jump-diffusion GARCH model...
