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Keywords: Dollar Futures
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2018) 26 (3): 345–369.
Published: 31 August 2018
... Market Efficiency KRX Gold Market Gold Futures Dollar Futures Information Share ...
Journal Articles
Intraday Volatility and Volatility spill-over Effects in KTB and Won/Dollar Futures Markets
Open Access
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2002) 10 (2): 115–144.
Published: 30 November 2002
...-minute and 5-minute data we analyze return and volatility spill-over effect between KTB futures and won/dollar futures. We find that ARCH and GARCH effect exists in the volatility of KTB futures, but leverage effect does not exist in this data. Volatility spill-over effect was found only in 15-minute...
