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코스닥50주가지수 현·선물시장간의 가격발견(Price Discovery)기능 연구 (A Study on Price Discovery in KOSDAQ50 Index Spot and Futures Markets)

https://doi.org/10.2139/ssrn.3019850
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Temporal relationships and dynamic interactions between spot and futures stock markets
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Trading costs and the relative rates of price discovery in stock, futures, and option markets
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Price discovery in the German equity index derivatives markets
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inferredcites →https://doi.org/10.1002/fut.3990150403openalex-extracted
Intraday volatility in interest rate and foreign exchange spot and futures markets
inferredcites →https://doi.org/10.1016/0261-5606(94)90021-3openalex-extracted
Hourly volatility spillovers between international equity markets
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Asymmetric volatility transmission in international stock markets
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Stock return variances
inferredcites →https://doi.org/10.1016/0304-405x(87)90026-2openalex-extracted
Expected stock returns and volatility
inferredcites →https://doi.org/10.1016/0304-4076(74)90034-7openalex-extracted
Spurious regressions in econometrics
inferredcites →https://doi.org/10.1016/0304-4076(86)90063-1openalex-extracted
Generalized autoregressive conditional heteroskedasticity
inferredcites →https://doi.org/10.1016/0378-4266(90)90055-7openalex-extracted
Intraday relationships between volatility in S&P 500 futures prices and volatility in the S&P 500 index
inferredcites →https://doi.org/10.1016/s0378-4266(99)00127-2openalex-extracted
Relative informational efficiency of cash, futures, and options markets: The case of an emerging market
inferredcites →https://doi.org/10.1080/07350015.1995.10524575openalex-extracted
A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada
inferredcites →https://doi.org/10.1080/096031001300313947openalex-extracted
The lead-lag relationship between the FTSE100 stock index and its derivative contracts
inferredcites →https://doi.org/10.1093/rfs/3.2.281openalex-extracted
Correlations in Price Changes and Volatility across International Stock Markets
inferredcites →https://doi.org/10.1093/rfs/4.4.657openalex-extracted
Intraday Volatility in the Stock Index and Stock Index Futures Markets
inferredcites →https://doi.org/10.1093/rfs/5.1.123openalex-extracted
A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market
inferredcites →https://doi.org/10.1093/rfs/7.3.507openalex-extracted
Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility
inferredcites →https://doi.org/10.1111/j.1540-6261.1987.tb04368.xopenalex-extracted
The Temporal Price Relationship Between S&P 500 Futures and the S&P 500 Index
inferredcites →https://doi.org/10.1111/j.1540-6261.1989.tb02401.xopenalex-extracted
Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy
inferredcites →https://doi.org/10.1111/j.1540-6261.1995.tb04054.xopenalex-extracted
One Security, Many Markets: Determining the Contributions to Price Discovery
inferredcites →https://doi.org/10.2307/1392517openalex-extracted
A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada
inferredcites →https://doi.org/10.2307/1912773openalex-extracted
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
inferredcites →https://doi.org/10.2307/1913236openalex-extracted
Co-Integration and Error Correction: Representation, Estimation, and Testing
inferredcites →https://doi.org/10.2307/1925546openalex-extracted
A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return
inferredcites →https://doi.org/10.2307/2286348openalex-extracted
Distribution of the Estimators for Autoregressive Time Series With a Unit Root
inferredcites →https://doi.org/10.2307/2328272openalex-extracted
inferredcites →https://doi.org/10.2307/2329066openalex-extracted
Measuring and Testing the Impact of News on Volatility
inferredcites →https://doi.org/10.2307/2329348openalex-extracted
inferredcites →https://doi.org/10.2307/2330774openalex-extracted
International Transmission of Stock Market Movements
inferredcites →https://doi.org/10.2307/2331010openalex-extracted
The Dynamics of Stock Index and Stock Index Futures Returns
inferredcites →https://doi.org/10.2307/2331277openalex-extracted
Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets
inferredcites →https://doi.org/10.2307/2336182openalex-extracted
inferredcites →https://doi.org/10.1093/biomet/75.2.335openalex-snapshot
Testing for a Unit Root in Time Series Regression
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