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Volatility of interest rates in the euro area

Cassola, Nuno; Morana, Claudio - 2003

This paper estimates the factors underlying the volatility of the euro overnight interest rate and its transmission along the euro area money market yield curve. A new multivariate unobserved components model is proposed allowing for both long-memory and stationary cyclical dynamics. Using...

Persistent link: https://www.econbiz.de/10009635972

Volatility of interest rates in the euro area : evidence from high frequency data

Cassola, Nuno; Morana, Claudio - In: The European journal of finance 12 (2006) 6/7, pp. 513-528

Persistent link: https://www.econbiz.de/10003382823

Euro money market spreads during the 2007 - ? financial crisis

Cassola, Nuno; Morana, Claudio - In: Journal of empirical finance 19 (2012) 4, pp. 548-557

Persistent link: https://www.econbiz.de/10009615662

Volatility of interest rates in the Euro area : evidence from high frequency data

Cassola, Nuno - 2003

Persistent link: https://www.econbiz.de/10013434569

A small scale macroeconomics model for the Euro-12 area

Morana, Claudio - In: Economic modelling 23 (2006) 3, pp. 397-426

Persistent link: https://www.econbiz.de/10003333367

A structural common factor approach to core inflation estimation and forecasting

Morana, Claudio - In: Applied economics letters 14 (2007) 1/3, pp. 163-169

Persistent link: https://www.econbiz.de/10003448454

Structural core inflation estimation

Morana, Claudio - In: Trends in inflation research, (pp. 143-185). 2006

Persistent link: https://www.econbiz.de/10003555450

Frequency domain principal components estimation of fractionally cointegrated processes

Morana, Claudio - In: Applied economics letters 11 (2004) 13, pp. 837-842

Persistent link: https://www.econbiz.de/10002354224

Some frequency domain properties of fractionally cointegrated processes

Morana, Claudio - In: Applied economics letters 11 (2004) 14, pp. 891-894

Persistent link: https://www.econbiz.de/10002437968

An empirical investigation of long-run growth in the UK

Morana, Claudio - In: Structural change and economic dynamics : SC+ED 13 (2002) 1, pp. 49-70

Persistent link: https://www.econbiz.de/10001656181

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