Information Transmission Across Eurodollar Futures Markets

DOI10.1142/S0219024998000138MaRDI QIDQ4216111zbMATHOpenAlexFDO

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

zbMATH Keywords

round-the-clock trading

Mathematics Subject Classification ID

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

Cites work

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

Cited in

(4)

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

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