Some frequency domain properties of fractionally cointegrated processes
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- Nuno Cassola & Claudio Morana, 2008.
"Modeling Short-Term Interest Rate Spreads in the Euro Money Market,"
International Journal of Central Banking,
International Journal of Central Banking, vol. 4(4), pages 1-37, December.
- Cassola, Nuno & Morana, Claudio, 2008. "Modelling short-term interest rate spreads in the euro money market," Working Paper Series 982, European Central Bank.
- Cassola, Nuno & Morana, Claudio, 2010.
"Comovements in volatility in the euro money market,"
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Elsevier, vol. 29(3), pages 525-539, April.
- Cassola, Nuno & Morana, Claudio, 2006. "Comovements in volatility in the euro money market," Working Paper Series 703, European Central Bank.
- Nuno Cassola & Claudio Morana, 2007. "Comovements in Volatility in the Euro Money Market," ICER Working Papers 7-2007, ICER - International Centre for Economic Research.
- Morana, Claudio, 2006. "A small scale macroeconometric model for the Euro-12 area," Economic Modelling, Elsevier, vol. 23(3), pages 391-426, May.
- Beltratti, A. & Morana, C., 2006.
"Breaks and persistency: macroeconomic causes of stock market volatility,"
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- Andrea Beltratti & Claudio Morana, 2004. "Breaks and Persistency: Macroeconomic Causes of Stock Market Volatility," Working Papers 20, SEMEQ Department - Faculty of Economics - University of Eastern Piedmont.
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