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Volatility Spillover and Contagion Effects Between Eurodollar Future and Zero Coupons Markets: Evidence From Italy

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  • Konstantionos Tsiaras

Abstract

This paper examines the time-varying conditional correlations between the Eurodollar futures market and the zero coupons of Banca Fideuram. We apply a bivariate dynamic conditional correlation (DCC) GARCH model in order to capture potential contagion effects between the markets for the period 2005-2017. Empirical results reveal contagion during the under-investigation period regarding the twenty-one bivariate models, showing that the Eurodollar futures market has a major impact on the zero coupons of Banca Fideuram. Findings have crucial implications for policymakers who provide regulations for the above-mentioned derivative markets.

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Handle: RePEc:sng:ejae01:132
DOI: 10.5937/EJAE17-26893
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File URL: https://journal.singidunum.ac.rs/files/2020-17-2/volatility-spillover-and-contagion-effects-between-eurodollar-future-and-zero-coupons-markets-evidence-from-italy.pdf
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