Heat waves, meteor showers, and trading volume

an analysis of volatility spillovers in the U.S. treasury market

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Heat waves, meteor showers, and trading volum ...
Michael J. Fleming
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December 13, 2020 | History

Heat waves, meteor showers, and trading volume

an analysis of volatility spillovers in the U.S. treasury market

  • 0 Ratings
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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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Language
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.

Published in
[New York, N.Y.]
Series
Staff reports ;, no. 82, Staff reports (Federal Reserve Bank of New York : Online) ;, no. 82.

Classifications

Library of Congress
HB1

The Physical Object

Format
Electronic resource

ID Numbers

Open Library
OL3476939M
LCCN
2005616512

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December 13, 2020 Edited by MARC Bot import existing book
December 5, 2010 Edited by Open Library Bot Added subjects from MARC records.
December 10, 2009 Created by WorkBot add works page