The Present of Futures: Valuing Eurodollar-Futures Convexity Adjustments in a Multi-Curve World

2017 ◽  
Author(s):  
Fabio Mercurio
Keyword(s):  
Eurodollar Futures

Risk premia in Eurodollar futures prices

1996 ◽  
Vol 6 (1) ◽  
pp. 49-57
Author(s):  
Beni Lauterbach ◽  
Margaret Monroe Smoller
Keyword(s):  
Risk Premia ◽  
Futures Prices ◽  
Eurodollar Futures

Around-the-Clock Price Discovery in Eurodollar Futures

2012 ◽  
Author(s):  
Manjeet S. Dhatt ◽  
Chan-Wung Kim ◽  
Timothy T. Perry
Keyword(s):  
Price Discovery ◽  
Eurodollar Futures

Information Transmission Across Eurodollar Futures Markets

1998 ◽  
Vol 01 (02) ◽  
pp. 235-245 ◽  
Author(s):  
Kian-Guan Lim ◽  
Eric Terry ◽  
Desmond How
Keyword(s):  
Correlation Function ◽  
Interest Rate ◽  
Information Transmission ◽  
Strong Evidence ◽  
Futures Markets ◽  
Cross Correlation ◽  
Cross Correlation Function ◽  
Variance Test ◽  
Eurodollar Futures ◽  
Time Zones

Identical contracts traded at two distinct time zones but linked with a mutual offset system allow for round-the-clock trading. It is interesting to investigate the characteristics of information transmission in such a market. In this paper we employ GARCH specifications to model Eurodollar futures interest rate changes in IMM and in SIMEX. We employ the Causality-in-Variance test based on cross-correlation function to test hypotheses on the lead-lag relationships of volatilities between IMM and SIMEX. There is strong evidence of information transmission from IMM to SIMEX, and not vice-versa. However, during the 86 December till 88 September period, including contracts during the October 87 crash, there is evidence of causality also running from SIMEX to IMM.

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