Information Flows Between Eurodollar Spot and Futures Markets

@inproceedings{CheungInformationFB,
  title={Information Flows Between Eurodollar Spot and Futures Markets},
  author={Yin-wong Cheung}
}
The pattern of information flows between Eurodollar spot and futures markets is examined using a robust two-step procedure. This procedure allows for conditional mean and variance dynamics as well as conditional heteroskedasticity. We find spot rates affect futures data and vice versa. In addition, there is evidence of volatility spillover between the two… CONTINUE READING