Journal of Derivatives and Quantitative Studies: 선물연구: Volume 18 Issue 1 , Open Access
Table of contents
The Information Content of Open Limit order Book in Price Discovery of KOSPI200 index Futures Market
Woo Baik Lee, Jong Oh Kim, Min Cheol WooThis paper assesses the informational contents of open electronic limit order book in KOSPI 200 index futures market spanning sample period from December 2004 to November 2005…
Covered Interest Rate Arbitrage Trading and Negative Spreads of Interest rate Swap in Korea
Seungyeon WonThis paper empirically shows that the long-term persistence of negative swap spreads, which was unique phenomenon only in Korean interest rate swap market, could be caused by the…
The Term Structure Model under the α-Stable Levy Process
Joon Hee Rhee, Soo Chun ParkThis paper derives the analytic solutions of the pure discount bond price under the various types of -stable Levy process. It is well-known that only a few cases in-stable Levy…
An Examination of International Portfolio Diversification Benefits for Korean Investors
Byoung-Kyu Min, Tong Suk KimWe employ mean‐variance spanning and intersection tests in the stochastic discount factor approach to examine the potential diversification benefits of international investments…
