13 other countries. First, by looking at the magnitude and the volatility of the changes in the money market rates we …

turmoil in financial markets. We use nonparametric estimates of realized volatility to test for volatility spillovers between … results of the semiparametric tests of Cappiello, Gerard and Manganelli (2005) report evidence of an increase in volatility …

This paper assesses the sources of volatility persistence in Euro Area money market interest rates and the existence of … linkages relating volatility dynamics. The main findings of the study are as follows. Firstly, there is evidence of stationary … relating all series, except the overnight rate. The common long memory factor analysis points to a two-factor volatility curve …