Common volatility and volatility spillovers between U.S. and eurodollar interest rates: Evidence from the futures market

Journal of Economics and Business

Volumn 48, Issue 3, 1996, Pages 299-312

  Tse, Yiuman ^a   Geoffrey Booth, G ^b  

^a UNIVERSITY OF MEMPHIS   (United States)

^b LOUISIANA STATE UNIVERSITY   (United States)

Author keywords

Eurodollars; Futures markets; Volatility

Indexed keywords

EID: 0000810507     PISSN: 00129933     EISSN: None     Source Type: Journal    
DOI: 10.1016/0148-6195(96)00016-1     Document Type: Article

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