MODELING THE EURO OVERNIGHT RATE
Year of publication: |
2006-06
|
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Authors: | León, Ángel ; Benito, Francis ; Nave, Juan |
Institutions: | Instituto Valenciano de Investigaciones Económicas (IVIE) |
Subject: | ARCH-Poisson-Gaussian | Regime switching | mean reversion | Autoregressive conditional jump intensity | Maintenance period | Calendar day effect | ECB’s meeting |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Published by Ivie 53 pages |
Classification: | C13 - Estimation ; C22 - Time-Series Models ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; E52 - Monetary Policy (Targets, Instruments, and Effects) |
Source: |
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