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The financial value of a weak information on a financial market

✍ Scribed by Fabrice Baudoin; Laurent Nguyen-Ngoc

Publisher
Springer-Verlag
Year
2004
Tongue
English
Weight
256 KB
Volume
8
Category
Article
ISSN
0949-2984

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## Abstract Using a bivariate, asymmetric generalized autoregressive conditional heteroskedasticity model, we examine the patterns of information flows for three financial futures contracts that are dual‐listed on U.S. and Asian markets (i.e., Nikkei 225 Index, Eurodollar, and dollar–yen currency f