SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Modeling the Euro overnight rate · Study

ArticleShelves

ArticleModeling the Euro overnight rate

Francis Benito2007

Article2007

Modeling the Euro overnight rate

Francis Benito · Ángel León · Juan Miguel Nave

27 citations·0/0 files stored·Journal of Empirical Finance

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Monetary Policy and Economic Impact Stochastic processes and financial applications

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 27 citations exist upstream.

References

1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 1994Autoregressive conditional heteroskedasticity and changes in regime 1996Modeling the conditional distribution of interest rates as a regime-switching process 1999State-Space Models with Regime Switching 1996Testing Continuous-Time Models of the Spot Interest Rate 2002Regime Switches in Interest Rates 1996Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP 1994A Markov Model of Switching-Regime ARCH

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2011Markov Switching Models in Empirical Financechapter · 9 shared references 2007Interest rate dispersion and volatility in the market for daily fundsarticle · 9 shared references 2006The dynamic relationship between the euro overnight rate, the ECB's policy rate and the term spreadarticle · 8 shared references 2005Testing For Threshold Nonlinearity in Short-Term Interest Ratesarticle · 8 shared references 2001An Econometric Model of the Yield Curve with Macroeconomic Jump Effectsreport · 7 shared references 2011Regime Changes and Financial Marketsreport · 7 shared references

Details

Year2007

Typearticle

Published2007-05-07

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations27

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.jempfin.2007.04.001

openalex_workW1994096396

Links

Imported from OpenAlex (CC0) — nothing here is generated.