상세 보기
A Long Memory of Financial Information in Korean Stock and Futures Markets
A Long Memory of Financial Information in Korean Stock and Futures Markets
- 이현철;
- 김진수
Citations
WEB OF SCIENCE
0Citations
SCOPUS
0초록
This paper aims to examine the long memory behavior of financial information (i.e., returns and volatilities) of the spot and futures contracts of the KOSPI 200 index. To this end, we use the novel technique of the wavelet OLS estimation devised by Jensen (1999). For the financial information of return series, we show no significant long memory pattern. Meanwhile, for the information of the volatility series, we find a clear pattern of a long memory regardless of applied wavelet filters.
키워드
Financial information; Long memory; Return; Volatility; KOSPI200
- 제목
- A Long Memory of Financial Information in Korean Stock and Futures Markets
- 제목 (타언어)
- A Long Memory of Financial Information in Korean Stock and Futures Markets
- 저자
- 이현철; 김진수
- 발행일
- 2022-12
- 저널명
- 인터넷전자상거래연구
- 권
- 22
- 호
- 6
- 페이지
- 313 ~ 320