Information Role of U.S. Futures Trading
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Hung-Gay Fung; Wai K. Leung; Xiaoqing Eleanor Xu
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Article
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2001
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John Wiley and Sons
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English
โ 130 KB
## Abstract Using a bivariate, asymmetric generalized autoregressive conditional heteroskedasticity model, we examine the patterns of information flows for three financial futures contracts that are dualโlisted on U.S. and Asian markets (i.e., Nikkei 225 Index, Eurodollar, and dollarโyen currency f