This paper employs a semiparametric procedure to estimate the diffusion process of short-term interest rates. The Monte Carlo study shows that the semiparametric approach produces more accurate volatility estimates than models that accommodate asymmetry, level effect and serial dependence in the...

This paper examines the spillover effects from the short-term interest-rates market to equity markets within the Euro area. The empirical study is carried out by estimating an extended Markov-switching Glosten-Jagannathan-Runkle (GJR)-in-mean model with a Bayesian-based Markov Chain Monte Carlo...