search query: @indexterm INFORMATION TRANSFER / total: 148
reference: 46 / 148
| Author: | Tse, Y. |
| Title: | International transmission of information: evidence from the Euroyen and Eurodollar futures markets. |
| Journal: | Journal of International Money and Finance
1998 : DEC, VOL 17:6, p. 909-929 |
| Index terms: | Interest rates Currency markets Forecasting techniques Information transfer |
| Language: | eng |
| Abstract: | The author examines the information transmission between Japan and the US by using the Tokyo Euroyen and Chicago Eurodollar futures. These interest futures markets provide a better understanding of international information transmission than stock markets, which have been shown to exhibit nonsynchronous trading and market segmentation. the results show that traders in Tokyo use information that is revealed overnight in Chicago. The bivariate EGARCH-t model provides no evidence of volatility spillovers in either direction. |
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