Interest rate dynamics and volatility transmission in the European short term interest rate market

Frances Shaw, Finbarr Murphy, Fergal O'Brien

Year of publication:	October 2016
Authors:	Shaw, Frances ; Murphy, Finbarr ; O'Brien, Fergal
Published in:	Journal of economics and finance. - New York, NY : Springer, ISSN 1055-0925, ZDB-ID 1163091-7. - Vol. 40.2016, 4, p. 754-772
Subject:	EURIBOR \| GARCH \| Structural break \| Price discovery \| Volatility \| Volatilität \| Zins \| Interest rate \| EU-Staaten \| EU countries \| ARCH-Modell \| ARCH model \| Zinsstruktur \| Yield curve \| Strukturbruch \| Schätzung \| Estimation \| Börsenkurs \| Share price

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