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"The market for U.S. Treasury securities operates around-the-clock from the three main trading centers of Tokyo, London, and New York. We examine this market for volatility spillovers using the methodology employed by Engle, Ito, and Lin (1990) for the foreign exchange market. We find meteor showers in Tokyo and London but not New York; i.e., volatility spills over into Tokyo and London from the other trading centers, but not into New York. We also find that lagged trading volume significantly impacts U.S. Treasury yield volatility for the overseas trading centers, although it does not change the basic meteor shower findings"--Federal Reserve Bank of New York web site.
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Subjects
Econometric models, Government securitiesPlaces
United StatesShowing 1 featured edition. View all 1 editions?
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Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. treasury market
1999, Federal Reserve Bank of New York
Electronic resource
in English
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Book Details
Edition Notes
Includes bibliographical references.
Title from PDF file as viewed on 2/14/2005.
Also available in print.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.
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