Journal of Derivatives and Quantitative Studies: 선물연구: Volume 21 Issue 2 , Open Access
Table of contents
Value-at-Risk Forecasting using Realized Volatility Models and GARCH-type Models
Chan-Soo JeonThe aim of this paper is to compare the performance of VaR (value-at-risk) using Realized Volatility Models (which use intraday returns) with VaR the performance of GARCH-type…
Efficiency of Price Discovery during Nighttime Trading Session : Evidence from KOSPI200 Global Futures
Woo-Baik Lee, Min-Cheol WooTrading of KOSPI 200 futures on CME Globex platform, which was launched in November 2009, starts at 18:00 and closes at 05:00 in the next morning. This paper examines how price of…
Does CDS Slope Predict Future Stock Returns? Evidence from the Korean Market
Jungmu Kim, Yuen Jung ParkWe provide evidence that current CDS slope negatively predicts future stock returns over several months in the Korean market. The entire sample period covers January 2003 through…
Foreign Currency Derivatives and Foreign Exchange Rate Exposure Management of KOSDAQ Firms
Taek Ho KwonThis study examines the foreign currency derivatives trading of KOSDAQ firms and analyses the relations of derivatives trading and foreign exchange rate exposure in the period…
