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381
New insights on the US OIS spreads term structure during the recent financial turmoil
Morana, Claudio
- In:
Applied Financial Economics
24
(
2014
)
5
,
pp. 291-317
The article investigates the statistical features of the US OIS spreads term structure during the recent financial turmoil, originating from the subprime crisis and the ensuing euro area sovereign debt crisis. By means of a comprehensive econometric modelling strategy, new insights on US money...
Persistent link: https://www.econbiz.de/10010760605
Saved in:
382
Euro money market spreads during the 2007–? financial crisis
Cassola, Nuno
;
Morana, Claudio
- In:
Journal of empirical finance
19
(
2012
)
4
,
pp. 548-558
Persistent link: https://www.econbiz.de/10009996255
Saved in:
383
A structural common factor approach to core inflation estimation and forecasting
Morana, Claudio
-
European Central Bank
-
2004
In the paper we propose a new methodological approach to core inflation estimation, based on a frequency domain principal components estimator, suited to estimate systems of fractionally cointegrated processes. The proposed core inflation measure is the scaled common persistent factor in...
Persistent link: https://www.econbiz.de/10005816199
Saved in:
384
Monetary policy and the stock market in the euro area
Cassola, Nuno
;
Morana, Claudio
-
European Central Bank
-
2002
In this paper we study the role of the stock market in the transmission mechanism in the euro area and evaluate whether price stability and financial stability are mutually consistent and complementary objectives. Four major conclusions can be drawn from our work. First, stock prices and more...
Persistent link: https://www.econbiz.de/10005816237
Saved in:
385
Volatility of interest rates in the euro area: evidence from high frequency data
Cassola, Nuno
;
Morana, Claudio
-
European Central Bank
-
2003
This paper estimate 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 hourly...
Persistent link: https://www.econbiz.de/10005816328
Saved in:
386
Common Persistent Factors in Inflation and Excess Nominal Money Growth and a New Measure of Core Inflation
Morana, Claudio
- In:
Studies in Nonlinear Dynamics & Econometrics
6
(
2007
)
3
,
pp. 1092-1092
In this paper we introduce a new common long memory factor model. The model allows to estimate the common persistent component in fractionally cointegrated processes. We find evidence of cobreaking and fractional cointegration in excess nominal money growth and inflation in the euro area, and...
Persistent link: https://www.econbiz.de/10004966094
Saved in:
387
Erratum
Morana, Claudio
- In:
Studies in Nonlinear Dynamics & Econometrics
6
(
2007
)
3
,
pp. 1143-1143
This note corrects some typographical errors in my earlier manuscript.
Persistent link: https://www.econbiz.de/10004966173
Saved in:
388
Structural change and long-range dependence in volatility of exchange rates: either, neither or both?
Morana, Claudio
;
Beltratti, Andrea
- In:
Journal of Empirical Finance
11
(
2004
)
5
,
pp. 629-658
Persistent link: https://www.econbiz.de/10005199023
Saved in:
389
Computing value at risk with high frequency data
Beltratti, Andrea
;
Morana, Claudio
- In:
Journal of Empirical Finance
6
(
1999
)
5
,
pp. 431-455
Persistent link: https://www.econbiz.de/10005199043
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