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

Konstantionos Tsiaras

The European Journal of Applied Economics, 2020, vol. 17, issue 2, 67-88

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.

Keywords: DCC-GARCH model; EURODOLLAR future market; zero coupons; financial contagion; dynamic conditional correlations. (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:sng:ejae01:132

DOI: 10.5937/EJAE17-26893

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