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Euro money market spreads during the 2007–? financial crisis · Study

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ArticleEuro money market spreads during the 2007–? financial crisis

Nuno Cassola2012

Article2012

Euro money market spreads during the 2007–? financial crisis

Nuno Cassola · Claudio Morana

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

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Banking stability, regulation, efficiency Monetary Policy and Economic Impact Financial Risk and Volatility Modeling

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References

1996Fractionally integrated generalized autoregressive conditional heteroskedasticity 1996Long memory processes and fractional integration in econometrics 2003Inferential Theory for Factor Models of Large Dimensions 2005Implications of Dynamic Factor Models for VAR Analysis 2004Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns n.d.A Black Swan in the Money Market 2004Estimating cross-section common stochastic trends in nonstationary panel data 2009Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach

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Year2012

Typearticle

Published2012-04-13

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations22

Files0 public / 0

ShelfBanking stability, regulation, efficiency

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doi10.1016/j.jempfin.2012.04.003

openalex_workW3122094992

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