Interest rate dynamics and volatility transmission in the European short term interest rate market
Year of publication: |
October 2016
|
---|---|
Authors: | Shaw, Frances ; Murphy, Finbarr ; O'Brien, Fergal |
Published in: |
Journal of economics and finance. - New York, NY : Springer, ISSN 1055-0925, ZDB-ID 1163091-7. - Vol. 40.2016, 4, p. 754-772
|
Subject: | EURIBOR | GARCH | Structural break | Price discovery | Volatility | Volatilität | EU-Staaten | EU countries | Zins | Interest rate | ARCH-Modell | ARCH model | Strukturbruch | Zinsstruktur | Yield curve | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Kointegration | Cointegration |
-
Avouyi-Dovi, Sanvi, (2015)
-
Avouyi-Dovi, Sanvi, (2017)
-
Hasan, Md. Abu, (2017)
- More ...
-
The forecasting efficiency of the dynamic Nelson Siegel model on credit default swaps
Shaw, Frances, (2014)
-
The forecasting efficiency of the dynamic Nelson Siegel model on credit default swaps
Shaw, Frances, (2014)
-
Advancements in stress-testing methodologies for financial stability applications
Budnik, Katarzyna, (2024)
- More ...