Demertzidis, Anastasios; Jeleskovic, Vahidin - In: Journal of Risk and Financial Management 14 (2021) 5, pp. 1-23
This paper introduces a major novelty: the empirical estimation of spot intraday yield curves based on tick-by-tick data on the Italian electronic interbank credit market (e-MID). To analyze the consequences of the recent financial crisis, we split the data into four periods, which include...