On cross-currency transmissions between US dollar and euro LIBOR-OIS spreads
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- Pedro Pires Ribeiro & José Dias Curto, 2017. "Volatility spillover effects in interbank money markets," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 153(1), pages 105-136, February.
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More about this item
KeywordsInterbank money market; LIBOR-OIS spread; Cross-correlation function analysis; Volatility spillover; European sovereign debt crisis;
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G01 - Financial Economics - - General - - - Financial Crises
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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