short-term rate with stochastic volatility. Our estimation strategy is based both on moment conditions needed to guarantee … which standard ARCH models approximate only specific diffusion models (those in which the variance of volatility is … proportional to the square of volatility), our estimation strategy relies on ARCH models that approximate any CEV-diffusion model …

-making approach, in the communication strategy and in the operational framework of a central bank. Through a GARCH specification we … show that the US and the euro area displayed a limited but significant spillover of volatility from money market to longer … empirical evidence to show that the transmission of overnight volatility along the yield curve had entirely vanished. …

¿½on tap� from central banks. This paper disentangles the two components of the three-month Euribor-Eonia swap spread, credit …

This paper analyzes the determinants of credit default swap spread changes for a large sample of US non … spreads have become much more sensitive to the level of leverage while volatility has lost its importance. Using a principal …