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Keywords: Lead-Lag Relation
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2013) 21 (1): 97–133.
Published: 28 February 2013
... non-parametric method have information contents predicting the third-moment of KOSPI200 index return whereas skewness of options estimated from parametric method does not have any information forecasting the skewness of KOSPI200 index return. Volatility Skew Risk Neutral Distribution Lead-lag...
Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2012) 20 (1): 65–100.
Published: 29 February 2012
... as KOSPI 200 spot price leads the call-put options open interest value ratio. KOSPI 200 KOSPI 200 Options Open Interest Lead-Lag Relation VAR © 2012 Emerald Publishing Limited 2012 This article is published under the Creative Commons Attribution (CC BY 4.0) licence. Anyone may reproduce...
Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2002) 10 (2): 57–94.
Published: 30 November 2002
... and authors. The full terms of this licence may be seen at http://creativecommons.org/licences/by/4.0/legalcode KTB Futures options Lead-lag relation Arbitrage opportunities Put-call-futures parity Conversion strategy Reversal strategy ...
