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Keywords: Volatility spill-over
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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
...Chang Hyeon Yun; Tae Geun Jo; Sang Il Han We analyze the dynamic behavior of the volatility of KTB futures price through GARCH models. In conducting this analysis we use two type data. Using dailly data we analyze the return and volatility spill-over effect between KTB spot and futures. Through 15...
