Cheung, Yin-Wong; Fung, Hung-Gay - In: Multinational Finance Journal 1 (1997) 4, pp. 255-271
The pattern of information flows between Eurodollar spot and futures markets is examined using a robust two-step procedure. This procedure allows for conditional mean and variance dynamics as well as conditional heteroskedasticity. We find spot rates affect futures data and vice versa. In...
