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Keywords: VIX
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2017) 25 (1): 139–167.
Published: 28 February 2017
... problem of VKOSPI futures. More specifically, we execute a VAR analysis of VKOSPI, VKOSPI futures, VIX and VIX futures to find out their lead-lag relations. In addition, we further conduct a Granger causality test, impulse response analysis and variance decomposition to examine their dynamic relations...
Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2009) 17 (1): 21–49.
Published: 28 February 2009
... Realized Volatility Implied Volatility Historical Volatility VIX ...
