Comovements in volatility in the euro money market
Year of publication: |
2006-12
|
---|---|
Authors: | Cassola, Nuno ; Morana, Claudio |
Institutions: | European Central Bank |
Subject: | fractional integration and cointegration | fractional vector error correction model | liquidity e¤ect | money market interest rates | realized volatility |
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Comovements in volatility in the euro money market
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Comovements in Volatility in the Euro Money Market
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