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Price formation on the EuroMTS platform
Caporale, Guglielmo Maria; Girardi, Alessandro - 2010
This paper examines the process of price discovery in the MTS system, which builds on the parallel quoting of euro-denominated government securities on a number of (relatively large) domestic markets and on a (relatively small) European marketplace (EuroMTS). Using twenty-seven months of daily...
Persistent link: https://www.econbiz.de/10003937257
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Price formation on the EuroMTS platform
Caporale, Guglielmo Maria; Girardi, Alessandro - 2009
Persistent link: https://www.econbiz.de/10003942331
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What do we really know about fiscal sustainability in the EU? : a panel data diagnostic
Afonso, António; Rault, Christophe - In: Review of world economics 145 (2010) 4, pp. 731-755
Persistent link: https://www.econbiz.de/10003944213
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EU banks rating assignments : is there heterogeneity between new and old member countries?
Caporale, Guglielmo Maria; Matousek, Roman; Stewart, Chris - 2009
Persistent link: https://www.econbiz.de/10003898750
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EU banks rating assignments : is there heterogeneity between new and old member countries?
Caporale, Guglielmo Maria; Matousek, Roman; Stewart, Chris - 2010
We model EU countries' bank ratings using financial variables and allowing for intercept and slope heterogeneity. Our … aim is to assess whether "old" and "new" EU countries are rated differently and to determine whether "new" ones are … intercepts) are a crucial determinant of ratings. Whilst "new" EU countries typically have lower ratings than "old" ones, after …
Persistent link: https://www.econbiz.de/10003974520
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Liquidity risk, credit risk and the overnight interest rate spread : a stochastic volatility modelling approach
Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010
Persistent link: https://www.econbiz.de/10003979875
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Liquidity risk, credit risk and the overnight interest rate spread : a stochastic volatility modelling approach
Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010
In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy rate (the policy spread) for the euro area and the UK during the two main phases of the financial crisis that began in late 2007. During the crisis, the policy spread exhibited...
Persistent link: https://www.econbiz.de/10003983199
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Long memory and volatility dynamics in the US dollar exchange rate
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010
Persistent link: https://www.econbiz.de/10003963286
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Long memory and volatility dynamics in the US dollar exchange rate
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010
This paper focuses on nominal exchange rates, specifically the US dollar rate vis-à-vis the Euro and the Japanese Yen at a daily frequency. We model both absolute values of returns and squared returns using long-memory techniques, being particularly interested in volatility modelling and...
Persistent link: https://www.econbiz.de/10003931070
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Price formation on the EuroMTS platform
Caporale, Guglielmo Maria; Girardi, Alessandro - 2010
This paper examines the process of price discovery in the MTS system, which builds on the parallel quoting of euro-denominated government securities on a number of (relatively large) domestic markets and on a (relatively small) European marketplace (EuroMTS). Using twenty-seven months of daily...
Persistent link: https://www.econbiz.de/10003934756