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A Study on the Empirical Performance of the Volatility Estimation Models

Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2015) 23 (1): 73–97.

https://doi.org/10.1108/JDQS-01-2015-B0004

Published: 28 February 2015

... purposes), subject to full attribution to the original publication and authors. The full terms of this licence may be seen at http://creativecommons.org/licences/by/4.0/legalcode KOSPI200 Realized Volatility VKOSPI200 Jump-Diffusion GARCH EGARCH ...

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Journal Articles

A Study on the Price Discovery and Asymmetric Volatility Spillovers between Single-Stock Futures and Spot Markets: Focused on Korea‘s 4 Financial Holding Companies

Hong Chung-Hyo

Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2011) 19 (3): 281–308.

https://doi.org/10.1108/JDQS-03-2011-B0003

Published: 31 August 2011

....(1991), Lien and Tse (2000), Yang et al.(2001) and from these results we infer that 4 single stock futures market are more efficient than those of there spot markets. Single-Stock Futures Price Discovery VECM Granger Causality EGARCH © 2011 Emerald Publishing Limited 2011 This article...