Table 3 Correlation matrix.

From: Price discovery and volatility spillovers in the interest rate derivatives market

 

lnF

lnS

lnIS

lnF

1.0000

  

lnS

0.4640***

1.0000

 

lnIS

−0.9000***

−0.6110***

1.0000

  1. ∗∗∗ denotes statistical significance at the 1% level.
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