Heat waves, meteor showers, and trading volume
Subtitle: an analysis of volatility spillovers in the U.S. treasury market
By: Michael J. Fleming and Jose A. Lopez.
Contributors: Lopez, Jose A.; Federal Reserve Bank of New York.
Series: Staff reports ;; no. 82; Staff reports (Federal Reserve Bank of New York : Online) ;; no. 82.
Publisher: Federal Reserve Bank of New York
Published: 1999
Place of publication: [New York, N.Y.]
Language: eng
Format: Electronic resource
Subjects: Government securities -- United States -- Econometric models.
Description: "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.
Notes: Includes bibliographical references.
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Also available in print.
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Mode of access: World Wide Web.