Information Transmission Across Eurodollar Futures Markets

DOI10.1142/S0219024998000138zbMATH Open0909.90027OpenAlexW1971825345MaRDI QIDQ4216111FDOQ4216111

Authors: Kian Guan Lim, Eric Terry, Desmond How 

Publication date: 28 December 1998

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024998000138

Recommendations

• Information transmission between futures and spot markets of the stock index in the abnormal market
• Information flow dependence in financial markets
• Public news announcements and quoting activity in the Euro/Dollar foreign exchange market
• Information effects of euro area monetary policy
• Central bank communication and financial market comovements in the euro area
• INFORMATION DYNAMICS IN FINANCIAL MARKETS
• On Gaussian HJM framework for Eurodollar futures
• The information content of 3-month sterling futures

zbMATH Keywords

round-the-clock trading

Mathematics Subject Classification ID

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A causality-in-variance test and its application to financial market prices

Cited In (4)

• Information dissemination in currency crises
• Public news announcements and quoting activity in the Euro/Dollar foreign exchange market
• Financial markets trends and studies of Singapore futures markets
• Time-to-Expiry Seasonalities in Eurofutures

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