文献类型：会议论文

英文题名：The Volatility Spillover effect between the T-Note Spot and Futures Markets Evidence from China, Germany and United States

作者：Yang, Zhao[1,2];Song, Fu-Tie[1,2]

机构：[1]East China Univ Sci & Technol, Sch Business, Shanghai, Peoples R China;[2]East China Univ Sci & Technol, Inst Financial Engn, Shanghai, Peoples R China

会议论文集：3rd Annual International Conference on Management Science and Engineering (MSE)

会议日期：AUG 18-20, 2017

会议地点：Guilin, PEOPLES R CHINA

语种：英文

外文关键词：treasury note; spillover effect; asymmetric DCC MGARCH; asymmetric BEKK MGARCH

摘要：This paper examines the volatility spillover effects in Treasury note markets, spot and futures markets, within and between three selected countries, China, Germany and United States. Two comprehensive explanatory methods, asymmetric BEKK MGARCH and asymmetric DCC MGARCH, are utilized to estimate interactions between markets and between countries. Compelling evidences show the presence of such volatility spillover effects between spot and futures markets for each targeted country. These spillover effects are also evident between the cross-border futures markets. However the existence of these effects are insignificant for spot markets between countries.