Abstract:This paper seeks to investigate the time-varying conditional correlations to the futures FOREX market returns. We employ a dynamic conditional correlation (DCC) Generalized ARCH (GARCH) model to find potential contagion effects among the markets. The under investigation period is 2014-2019. We focus on four major futures FOREX markets namely JPY/USD, KRW/USD, EUR/USD and INR/USD. The empirical results show an increase in conditional correlation or contagion for all the pairsof future FOREX markets. Based on th… Show more
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.
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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