Hung‐Gay Fung; Leung, Wai K.; Xu, Xiaoqing Eleanor - In: Journal of Futures Markets 21 (2001) 11, pp. 1071-1090
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...