The lead-lag relationship between volatility index futures and spot in the Korean Stock Market
Rong-Yuan Qin, Ji-Hun Heo
| Year of publication: |
August 2017
|
|---|---|
| Authors: | Qin, Rong-Yuan ; Heo, Ji-Hun |
| Published in: |
Journal of international trade & commerce. - Seoul, South Korea : Korea International Trade Research Institute, ISSN 1738-8112, ZDB-ID 2920574-8. - Vol. 13.2017, 4, p. 139-159
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| Subject: | Granger Causality Test | Lead-Lag Relationship | Vector Auto Regressive (VAR) Model | Volatility Index | VKOSPI | Volatilität | Volatility | Südkorea | South Korea | Kausalanalyse | Causality analysis | Index-Futures | Index futures | VAR-Modell | VAR model | Aktienindex | Stock index | Lag-Modell | Lag model | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.16980/JITC.13.4.201708.139 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011799640