Kim, Jun Sik; Ryu, Doojin - In: Physica A: Statistical Mechanics and its Applications 394 (2014) C, pp. 247-253
This study examines intraday relationships among the spot index, index futures, and the implied volatility index based on the VAR(1)-asymmetric BEKK-MGARCH model. Analysis of a high-frequency dataset from the Korean financial market confirms that there is a strong intraday market linkage between...