A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2018; you can also visit the original URL.
The file type is
Proceedings of the 3rd Annual 2017 International Conference on Management Science and Engineering (MSE 2017)
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. Thesedoi:10.2991/mse-17.2017.45 fatcat:yozron7dpna6tbbmx6iexy5h3m