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Keywords: Under-Reaction
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2012) 20 (4): 365–390.
Published: 30 November 2012
... to the unexpected changes in instantaneous variances, which means ‘short horizon under-reaction’. Second, we find that USD/KRW OTC option market tends to slightly over-react to a long period of mostly positive (or negative) unexpected changes in instantaneous variances during the period of before global financial...
