투자 유형별 선물 거래 활동이 현물 시장 변동성에 미치는 비선형적 영향 연구: STR접근
활용도 Analysis
논문 Analysis
연구자 Analysis
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투자 유형별 선물 거래 활동이 현물 시장 변동성에 미치는 비선형적 영향 연구: STR접근' 의 참고문헌
코스피 200 선물시장의 수익률, 변동성, 거래량 및 미결제약정간의 관련성
문규현
재무관리연구 24 4 107-134
[2007]
주가지수 선물거래 도입이 주식시장 분산성에 미치는 영향: 한국에서의 실증분석
선물거래가 현물시장의 유동성에 미치는 영향에 관한 연구
옥기율
선물연구 13 1 25-43
[2005]
What Does Futures Market Interest Tell Us Macroeconomy and Asset Price
Hong, H.
Journal of Financial Economics -
[2012]
Transactions Costs and Nonlinear Adjustment in real Exchange Rates: An Empirical Investigation
Michael, P.
Journal of Futures Markets 105 862-879
[1997]
Time-Varying Excess Return on UK Government Bonds: A non-linear approach
Lekkos, I.
Journal of Banking and Finance 28 45-62
[2004]
The extreme value method for estimating the variance of the rate of return
The Role of Futures Trading Activity in Exchange Rate Volatility
Chatrath, A
Journal of Futures Markets 16 5 561-584
[1996]
The Relation Between Price Changes and Trading Volume: A Survey
Karpoff, J. M
Journal of Financial and Quantitative Analysis 22 109-126
[1987]
The Price Variability-Volume Relationship in Speculative Markets
The Effect of Futures Trading on Spot Price Volatility: Evidence for Brent Crude Oil using GARCH
Antoniou, A
Journal of Business Finance and Accounting 19 4 473-484
[1992]
Testing the Adequacy of Smooth Transition Autoregressive Models
Stock Price Volatility: some evidence from an ARCH model
Bauldauf, B
Journal of Futures Markets 11 191-200
[1991]
Stock Index Futures Trading and Volatility of Program Trading and Dynamic Hedging Strategies
Gulen, H
Journal of Business 61 275-298
[2000]
Stock Index Futures Listing and Structural Change in Time-Varying Volatility
Lee, S. B
Journal of Futures Markets 12 5 493-509
[1992]
Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models
Teräsvirta, T.
Journal of the American Statistical Association 89 208-218
[1994]
Smooth Transition Autoregressive Models-A survey of recent developments
van Dijk
Econometric Reviews 21 1-47
[2002]
Nonlinear Dynamic Relations Between Equity Return and Equity Fund Flow:Korean Market Empirical Evidence
김세완
Asia-Pacific Journal of Financial Studies 39 2 139-170
[2010]
Non-linear Time Series: A Dynamical System Approach
Modelling Nonlinear Economic Relationships
KOSPI200 선물과 옵션거래가 주식시장의 변동성에 미친 영향에 대한 실증분석
권택호
재무연구 13 2 103-133
[2000]
Information and Volatility: The no-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy
Information Externalities and Welfare-Reducing Speculation
Stein, J. C
Journal of Political Economy 95 1123-1145
[1987]
Has Futures Trading Activity Caused Stock Price Volatility
Futures Trading, Rational Expectations, and the Efficient Markets Hypothesis
Bray, M
Econometrica 49 3 575-596
[1981]
Futures Trading and Volatility in the GNMA Market
Futures Trading and Market Information
Cox, C. C
Journal of Political Economy 84 487-498
[1976]
Futures Trading and Cash Market Volatility
Futures Trading Activity and Stock Price Volatility
Dynamic Equilibrium and the Real Exchange Rate in a Spatially Sepa rated World
Dumas, B.
Review of Financial Studies 5 2 153-180
[1992]
Differences of Opinion make a Horse Race
Harris, M
Review of Financial Studies 6 473-506
[1993]
Detecting Time-Variation in Corporate Bond Index returns: A Smooth Transition Regression Model
Chen, X. H
Journal of Banking and Finance 35 95-103
[2011]
Commercial Use and Speculative Measures of the Livestock Commodity Futures Markets
Characterizing Nonlinearities in Business Cycles using Smooth Transition Autoregressive Models
An empirical examination of the relation between futures spreads volatility, volume, and open interest
Girma, P. B
The Journal of Futures Markets 22 22 11 1083-1102
[2002]
A Theory of Trading in Stock Index Futures
A Model of Returns and Trading in Futures Markets
Hong, H
Journal of Finance 55 2 959-988
[2000]
A GARCH Examination of the Relationship between Volume and Price Variability in Futures Markets
Najand, M
Journal of Futures Markets 11 5 613-621
[1991]
A Bivariate Generalized Autoregressive Conditional Heteroscedasticity-in-mean Study of the Relationship between Return Variability and Trading Volume in International Futures Markets
Jacobs, M
The Journal of Futures Markets 18 379-397
[1998]
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투자 유형별 선물 거래 활동이 현물 시장 변동성에 미치는 비선형적 영향 연구: STR접근'
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