title={Information Flows Between Eurodollar Spot and Futures Markets},
author={Yin-Wong Cheung and Hung-Gay Fung},
journal={Multinational Finance Journal},
publisher={Multinational Finance Society; Global Business Publications},
keywords={Granger causality; cointegration; Eurodollar spot and futures interest rates; information flow},
abstract={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 addition, there is evidence of volatility spillover between the two markets. Our results also indicate that information conveyed by data on futures tends to have a more persistent impact on both the mean and volatility of cash market price movements than the other way around.},