GARCH 및 GJR-GARCH모형을 이용한 스타지수 현선물간의 정보이전효과 = The Information Spillover Effect between STAR Index and Futures with GARCH and GJR-GARCH

참고문헌 (Reference)

1 은철수, "한국 주식시장에서의 주가지수 선물과 현물시장간의 상호작용에 관한 연구" 1-26, 1998

2 오세경, "한국 주가지수 현물시장과 주가지수 선물시장의 일중 변동성에 관한 실증분석" 163-192, 1997

3 이필상, "주가지수선물 가격변화량과 현물가격변화량간의 일중 관계에 관한 연구" 14 (14): 141-169, 1997

4 김찬웅, "우리나라 주식, 선물, 옵션시장에서의 선도/지연효과에 관한 연구" 18 (18): 129-156, 2001

5 Kawaller, I, "The Temporal Price Relationship between S&P 500 Futures and S&P 500 Index" 42 : 1309-1329, 1987

6 Stoll, H. R, "The Dynamics of Stock Index and Stock Index Futures Returns" 25 : 441-468, 1990

7 Phillips, P.C.B, "Testing for a Unit Root in Time Series Regression" 75 : 335-346, 1988

8 Glosten, L, "On the Relation between the Expected Value and the Volatility of the National Excess Return on Stocks" 48 (48): 177-9801, 1993

9 Ljung, G.M, "On a measure of lack of fit in time series models" 65 : 297-303, 1978

10 Kawaller, I, "Intraday Relationships between the Volatility in S&P 500 Futures Prices and the Volatility in S&P 500 Index" 14 : 373-379, 1987

11 Johansen, S, "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Methods" 59 : 1551-1580, 1991

12 Dicky, D. A, "Distribution of the Estimators for Autoregressive Time Series with a Unit Root" 74 : 427-431, 1979

13 Chan, K, "A Further Analysis of the Lead/Lag Relationship between the Cash Market and Stock Index Futures Market" 5 : 123-152, 1992