The Intraday Multivariate Structure of the Eurofutures Markets
The Intraday Multivariate Structure of the Eurofutures Markets
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欧洲期货市场的日内多元结构
DOI：
10.2139/ssrn.98068
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发表时间：
1998
期刊：
影响因子：
--
通讯作者：
R. Olsen
中科院分区：
文献类型：
--
作者：
Giuseppe Ballocchi;C. Hopman;M. Dacorogna;Ulrich A. Müller;R. Olsen
我们研究了利率的多变量日内结构，重点是欧洲期货合约的隐含远期利率。由于期货市场是最具流动性的利率工具，他们产生高质量的日内数据，这是在某种程度上令人惊讶的是，他们的日内行为还没有被彻底研究的文献。我们发现有趣的相似之处与外汇市场的标度律，日内模式，所有这些都指向市场参与者的异质性。其他属性，如不对称的因果信息流之间的罚款和粗挥发性相同的时间序列是目前在我们的数据。不同期限和货币之间也存在领先/滞后相关性，但随着市场成熟，它们往往会消失。对收益率曲线短端的主成分分析使我们能够确定最重要的成分，并减少描述期限结构所需的时间序列的数量。我们发现分解随着时间的推移相当稳定。描述曲线水平的第一个分量呈现HARCH效应，而其余分量则不呈现HARCH效应，而是时间序列本身具有显著的负自相关性。HARCH模型适用于第一个组成部分和不同的市场代理人的影响进行了讨论。
We investigate the multivariate intraday structure in interest rates, focusing on implied forward rates from Eurofutures contracts. Since futures markets are the most liquid for interest rate instruments and they yield high-quality intraday data, it is somehow surprising that their intraday behavior has not been thoroughly studied in the literature. We find interesting similarities with the foreign exchange market in terms of scaling law, intraday patterns, all of which point to the heterogeneity of market participants. Other properties like asymmetric causal information flow between fine and coarse volatilities for the same time series are present in our data. There are also lead/lag correlation across maturities and currencies, but they that tend to disappear as markets mature. A principal component analysis of the short end of the yield curve allows us to determine the most important components and to reduce the number of time series needed to describe the term structure. We find the decomposition rather stable over time. The first component which describes the curve level presents a HARCH effect while the remaining ones do not, having instead significant negative autocorrelations for the time series themselves. A HARCH model is applied to the first component and the impact of different market agents is discussed.