The Sources of Volatility Transmission in the Euro Area Money Market: From Longer Maturities to the Overnight?
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- Paolo Zagaglia, 2010. "The sources of volatility transmission in the Euro area money market: from longer maturities to the overnight?," Applied Economics Letters, Taylor & Francis Journals, vol. 17(9), pages 865-868.
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- Hernandis, Lucía & Torró, Hipòlit, 2013. "The information content of Eonia swap rates before and during the financial crisis," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5316-5328.
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KeywordsMoney Market; High-Frequency Data; Granger Causality;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-05-31 (All new papers)
- NEP-EEC-2008-05-31 (European Economics)
- NEP-FMK-2008-05-31 (Financial Markets)
- NEP-MAC-2008-05-31 (Macroeconomics)
- NEP-MON-2008-05-31 (Monetary Economics)
- NEP-MST-2008-05-31 (Market Microstructure)
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