Common Volatility and Volatility Spillovers between US and Eurodollar Interest Rates: Evidence from the Futures Market

Yiuman Tse; G. Geoffrey Booth

doi:10.1016/0148-6195(96)00016-1

Common Volatility and Volatility Spillovers between US and Eurodollar Interest Rates: Evidence from the Futures Market

Yiuman Tse, G. Geoffrey Booth

University of Missouri-St. Louis

Research output: Contribution to journal › Article › peer-review

Original language	American English
Journal	Journal of Economics and Business
Volume	48
DOIs	https://doi.org/10.1016/0148-6195(96)00016-1
State	Published - 1996

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Business

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title = "Common Volatility and Volatility Spillovers between US and Eurodollar Interest Rates: Evidence from the Futures Market",

author = "Yiuman Tse and Booth, {G. Geoffrey}",

note = "U.S. Treasury bill and Eurodollar futures are employed to investigate volatility spillovers between U.S. and Eurodollar interest rates. The paper show...",

year = "1996",

doi = "10.1016/0148-6195(96)00016-1",

language = "American English",

volume = "48",

journal = "Journal of Economics and Business",

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T1 - Common Volatility and Volatility Spillovers between US and Eurodollar Interest Rates: Evidence from the Futures Market

AU - Tse, Yiuman

AU - Booth, G. Geoffrey

N1 - U.S. Treasury bill and Eurodollar futures are employed to investigate volatility spillovers between U.S. and Eurodollar interest rates. The paper show...

PY - 1996

Y1 - 1996

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U2 - 10.1016/0148-6195(96)00016-1

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M3 - Article

VL - 48

JO - Journal of Economics and Business

JF - Journal of Economics and Business

ER -

Common Volatility and Volatility Spillovers between US and Eurodollar Interest Rates: Evidence from the Futures Market

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