Journal of Derivatives and Quantitative Studies: 선물연구: Volume 18 Issue 3 , Open Access

Forecasting the Currency Spot with the Trading Volume and the Trading Volume Volatility of Currency Futures in Won/Dollar FX Market

Kook-Hyun Chang, Byung-Jo Yoon

This paper tries to empirically investigate whether the information contained in trading volume, volume volatility of Won/Dollar currency futures may be statistically useful in…

A Structural Model with Counterparty Risks

Hwa-Sung Kim

The recent financial crisis has triggered more studies on counterparty risks. The theoretical research on credit risk with counterparty risks has been built based upon the…