Add to ORKGThis note investigates the transmission of volatility from longer maturities to the overnight segment of the Euro area money market. I use non-parametric estimates of the daily variance of swap rates to test for block exogeneity with respect to the overnight. The results suggest that there exists transmission of volatility shocks from the 1-year swap rate to the overnight market. The reform of the operational framework of March 2004 has improved the segmen-tation of the market, as it has insulated the overnight segment from spillovers in volatility stemming from swap rates up to 6 months of maturity
We investigate the money-market impact of the reform of the operational framework of the European Ce...
This paper studies the dynamics of volatility transmission between Central European (CE) currencies ...
This paper explores whether volatility linkages exist at the intra-daily frequency in the foreign ex...
This article investigates the transmission of volatility from longer maturities to the overnight seg...
The European overnight rate (Eonia) is the operational target of the European Central Bank (ECB) tha...
This paper analyses the volatility of euro money market interest rates and tests for the existence o...
This paper analyses the volatility of euro money market interest rates and tests for the existence o...
I study how the pattern of segmentation in the Euro area money market has been affected by the recen...
I study how the pattern of segmentation in the Euro area money market has been affected by the recen...
This paper assesses the sources of volatility persistence in Euro Area money market interest rates a...
The paper proposes a possible way of assessing the effect on interest rate dynamics of changes in th...
This paper examines the degree to which volatility in overnight interest rates leads to volatility i...
Yes. For the pre-turmoil period, exogeneity tests from vector autoregression (VAR) models suggest th...
We characterize the behavior of volatility across the term structure of interest rate swaps in three...
We examine hourly observations of one-month euro-dollar rates using the GARCH model from Baillie and...
We investigate the money-market impact of the reform of the operational framework of the European Ce...
This paper studies the dynamics of volatility transmission between Central European (CE) currencies ...
This paper explores whether volatility linkages exist at the intra-daily frequency in the foreign ex...
This article investigates the transmission of volatility from longer maturities to the overnight seg...
The European overnight rate (Eonia) is the operational target of the European Central Bank (ECB) tha...
This paper analyses the volatility of euro money market interest rates and tests for the existence o...
This paper analyses the volatility of euro money market interest rates and tests for the existence o...
I study how the pattern of segmentation in the Euro area money market has been affected by the recen...
I study how the pattern of segmentation in the Euro area money market has been affected by the recen...
This paper assesses the sources of volatility persistence in Euro Area money market interest rates a...
The paper proposes a possible way of assessing the effect on interest rate dynamics of changes in th...
This paper examines the degree to which volatility in overnight interest rates leads to volatility i...
Yes. For the pre-turmoil period, exogeneity tests from vector autoregression (VAR) models suggest th...
We characterize the behavior of volatility across the term structure of interest rate swaps in three...
We examine hourly observations of one-month euro-dollar rates using the GARCH model from Baillie and...
We investigate the money-market impact of the reform of the operational framework of the European Ce...
This paper studies the dynamics of volatility transmission between Central European (CE) currencies ...
This paper explores whether volatility linkages exist at the intra-daily frequency in the foreign ex...