Comovements in volatility in the euro money market
Year of publication: |
2006
|
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Authors: | Cassola, Nuno ; Morana, Claudio |
Publisher: |
Frankfurt a. M. : European Central Bank (ECB) |
Subject: | Geldpolitik | Zentralbank | Institutionelle Infrastruktur | Zins | Liquiditätseffekt | Eurozone | EU-Staaten | fractional integration and cointegration | fractional vector error correction model | liquidity e¤ect | money market interest rates | realized volatility |
Series: | ECB Working Paper ; 703 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 521498961 [GVK] hdl:10419/153137 [Handle] RePEc:ecb:ecbwps:20060703 [RePEc] |
Classification: | C32 - Time-Series Models ; F30 - International Finance. General ; G10 - General Financial Markets. General |
Source: |
-
Comovements in Volatility in the Euro Money Market
Cassola, Nuno, (2007)
-
Comovements in Volatility in the Euro Money Market
Cassola, Nuno, (2021)
-
Comovements in Volatility in the Euro Money Market
Cassola, Nuno, (2013)
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Monetary policy and the stock market in the euro area
Cassola, Nuno, (2002)
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Volatility of interest rates in the euro area: evidence from high frequency data
Cassola, Nuno, (2003)
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Structural econometric approach to bidding in the main refinancing operations of the Eurosystem
Cassola, Nuno, (2007)
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