Journal of Derivatives and Quantitative Studies: 선물연구: Volume 19 Issue 3 , Open Access

Volatility Spillover between the KOSPI 200 Spot and Futures Markets Using the VECM-DCC-GARCH Model

Sang Hoon Kang, Seong-Min Yoon

This paper investigates the price discovery, volatility spillover, and asymmetric volatility spillover effects between the KOSPI 200 market and its futures contracts market. The…

Do the Option Prices Forecast Spot Price? Evidence from the KOSPI 200 Index Option Market

Byungwook Choi

This study investigates a forecasting power of volatility curvatures and risk neutral densities implicit in KOSPI 200 option prices by analyzing minute by minute historical index…

A Study on the Price Discovery and Asymmetric Volatility Spillovers between Single-Stock Futures and Spot Markets: Focused on Korea‘s 4 Financial Holding Companies

Hong Chung-Hyo

This paper investigated the price discovery and asymmetric volatility spillover effects between single stock futures and spot markets. For this purpose we employ 4 largest Korean…

Estimating and Forecasting a Term Structure of Interest Rates with State-Space Nelson-Siegel Model

Joonhyuk Song

This paper estimates a Nelson-Siegel model under the state-space representation in order to circumvent the shortcomings of the conventional Nelson-Siegel model and evaluates the…