Proceedings of the 3rd Annual 2017 International Conference on Management Science and Engineering (MSE 2017)

The Volatility Spillover effect between the T-Note Spot and Futures Markets: Evidence from China, Germany and United States

Authors
Zhao Yang, Fu-Tie Song
Corresponding Author
Zhao Yang
Available Online October 2017.
DOI
10.2991/mse-17.2017.45How to use a DOI?
Keywords
treasury note; spillover effect; asymmetric DCC MGARCH; asymmetric BEKK MGARCH
Abstract

This paper examines the volatility spillover effects in Treasury note markets, spot and futures markets, within and between three selected countries, China, Germany and United States. Two comprehensive explanatory methods, asymmetric BEKK MGARCH and asymmetric DCC MGARCH, are utilized to estimate interactions between markets and between countries. Compelling evidences show the presence of such volatility spillover effects between spot and futures markets for each targeted country. These spillover effects are also evident between the cross-border futures markets. However the existence of these effects are insignificant for spot markets between countries.

Copyright
© 2017, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 3rd Annual 2017 International Conference on Management Science and Engineering (MSE 2017)
Series
Advances in Economics, Business and Management Research
Publication Date
October 2017
ISBN
978-94-6252-394-4
ISSN
2352-5428
DOI
10.2991/mse-17.2017.45How to use a DOI?
Copyright
© 2017, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Zhao Yang
AU  - Fu-Tie Song
PY  - 2017/10
DA  - 2017/10
TI  - The Volatility Spillover effect between the T-Note Spot and Futures Markets: Evidence from China, Germany and United States
BT  - Proceedings of the 3rd Annual 2017 International Conference on Management Science and Engineering (MSE 2017)
PB  - Atlantis Press
SP  - 186
EP  - 190
SN  - 2352-5428
UR  - https://doi.org/10.2991/mse-17.2017.45
DO  - 10.2991/mse-17.2017.45
ID  - Yang2017/10
ER  -