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The Interday and Intraday Patterns of the Overnight Market: Evidence from an Electronic Platform
11 references·2 citing·42 second hop
The Interday and Intraday Patterns of the Overnight Market: Evidence from an Electronic Platform (2008)The Interday and Intraday Patterns of the…A network analysis of the Italian overnight money market (2007)A network analysis of the Ita…The overnight interbank market: Evidence from the G-7 and the Euro zone (2003)The overnight interbank marke…The Microstructure of the Euro Money Market (2003)The Microstructure of the Eur…Banks’ reserve management, transaction costs, and the timing of Federal Reserve intervention (2001)Banks’ reserve management, tr…An Intraday Examination of the Federal Funds Market: Implications for the Theories of the Reverse‐J Pattern (2001)An Intraday Examination of th…Are Banks Risk Averse? Intraday Timing of Operations in the Interbank Market (2000)Are Banks Risk Averse? Intrad…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …The Daily Market for Federal Funds (1996)The Daily Market for Federal …The Micromechanics of the Federal Funds Market: Implications for Day-of-the-Week Effects in Funds Rate Variability (1988)The Micromechanics of the Fed…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Bank Attitude Toward Risk, Implicit Rates of Interest, and the Behavior of an Index of Risk Aversion for Commercial Banks (1980)Bank Attitude Toward Risk, Im…Epidemics of liquidity shortages in interbank markets (2018)Epidemics of liquidity shorta…Real Wages Over the Business Cycle: OECD Evidence from the Time and Frequency Domains (2008)Real Wages Over the Business …Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Stock return variances (1986)The Relation Between Price Changes and Trading Volume: A Survey (1987)Regulation, Formal and Informal Enforcement, and the Development of the Household Loan Market: Lessons from Italy (2006)Skill Dispersion and Firm Productivity: An Analysis with Employer-Employee Matched Data (2006)Why pay? An introduction to payments economics (2008)The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Modeling and Forecasting Realized Volatility (2003)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Are Intraday Volume and Volatility U‐Shaped After Accounting for Public Information? (2010)Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time (1978)The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The money market (1983)Day-of-the-week effects in federal funds rates: Further empirical findings (1995)The microstructure of the euro money market (2001)Dynamic correlations between oil prices and the stock prices of clean energy and technology firms: The role of reserve currency (US dollar) (2019)Estimating continuous-time stochastic volatility models of the short-term interest rate (1997)Cross-country differences in monetary policy execution and money market rates’ volatility (2004)Is the volatility of the EONIA transmitted to longer-term euro money market interest rates? (2005)Do central banks react to the stock market? The case of the Bundesbank (2006)Interest rates and the conduct of monetary policy (1991)Federal Reserve interest rate targeting, rational expectations, and the term structure (1995)Timeliness and the Fed’s Daily Tactics (2003)Quarter-End Effects in Banks: Preferred Habitat or Window Dressing? (2006)What Drives China's Interbank Market? (2009)Interbank Exposures: Quantifying the Risk of Contagion (2003)The Network of Global Corporate Control (2011)A network analysis of global banking: 1978–2010 (2013)The effect of the interbank network structure on contagion and common shocks (2013)The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models (2004)Lending relationships in the interbank market (2008)Liquidity in Asset Markets With Search Frictions (2009)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Multiple Unit Auctions and Short Squeezes (2003)Developing Statistical Indicators of the Integration of the Euro Area Banking System (2004)Trading European Sovereign Bonds: The Microstructure of the Mts Trading Platforms (2005)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 2007A network analysis of the Italian overnight money market556 cited
  • 1996The Daily Market for Federal Funds426 cited
  • 2000Are Banks Risk Averse? Intraday Timing of Operations in the Interbank Market149 cited
  • 1988The Micromechanics of the Federal Funds Market: Implications for Day-of-the-Week Effects in Funds Rate Variability114 cited
  • 2003The overnight interbank market: Evidence from the G-7 and the Euro zone94 cited
  • 2001Banks’ reserve management, transaction costs, and the timing of Federal Reserve intervention71 cited
  • 2003The Microstructure of the Euro Money Market62 cited
  • 2001An Intraday Examination of the Federal Funds Market: Implications for the Theories of the Reverse‐J Pattern40 cited
  • 1980Bank Attitude Toward Risk, Implicit Rates of Interest, and the Behavior of an Index of Risk Aversion for Commercial Banks37 cited

Cited by

  • 2018Epidemics of liquidity shortages in interbank markets30 cited
  • 2008Real Wages Over the Business Cycle: OECD Evidence from the Time and Frequency Domains12 cited

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