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

โœ Scribed by Yiuman Tse; G.Geoffrey Booth

Book ID
116096272
Publisher
Elsevier Science
Year
1996
Tongue
English
Weight
785 KB
Volume
48
Category
Article
ISSN
0148-6195

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๐Ÿ“œ SIMILAR VOLUMES

Modeling discontinuous periodic conditio
Modeling discontinuous periodic conditional volatility: Evidence from the commodity futures market
โœ Nicholas Taylor ๐Ÿ“‚ Article ๐Ÿ“… 2004 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 321 KB

## Abstract This paper examines a wide variety of models that allow for complex and discontinuous periodic variation in conditional volatility. The value of these models (including augmented versions of existing models) is demonstrated with an application to high frequency commodity futures return