In this paper, we develop a theoretical (arbitrage) pricing model for a Eurocurrency interest rate futures contract and measure its hedging effectiveness. This synthetic Eurocurrency interest rate futures contract is obtained by combining exisiting Eurodollar interest rate futures contracts with...

Over the last three decades, differential national regulation in conjunction with increasing capital mobility has given rise to tremendous growth in the Eurocurrency markets. In this paper, we analyze whether the announced plans of the European Commuission to remove barriers to capital flows (in...

This paper analyzes the sovereign risk contagion using credit default swaps (CDS) and bond premiums for the major eurozone countries. By emphasizing several econometric approaches (nonlinear regression, quantile regression and Bayesian quantile regression with heteroskedasticity) we show that...