원/달러 통화선물과 통화현물의 이변량 변동성모형 추정과 시간가변 상관관계에 관한 연구

• 영문명: Time-Varying Correlation and the Volatility in Foreign Exchange Spot and Futures Markets
• 발행기관: 건국대학교 경제경영연구소
• 저자명: Kook Hyun Chang(張國賢) Byung Jo Yoon(尹炳朝)
• 간행물 정보: 『상경연구』제29권 제1호, 1~20쪽, 전체 20쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2004.05.30

영문 초록

This paper uses the bivariate GARCH type BEKK error correction model to estimate the volatility, time-varying correlation and hedge ratio for the foreign exchange spot and futures indexes, sampled daily over 1/2/2001-6/30/2003, 613 observations. The results of this paper support the importance of the bivariate model in stead of univariate model between the foreign exchange spot and futures markets, which may consider not only individual variance process but also covariance process at the same time.

목차

I. 서론

II. 통화선물

III. BEKK 모형

IV. 실증분석

V. 요약 및 결론

참고문헌

Abstract

키워드

Volatility Time-Varying Correlation Bivariate GARCH BEKK