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Money Market Integration
15 references·2 citing·42 second hop
Money Market Integration (2008)Money Market IntegrationThe Daily Market for Funds in Europe: What Has Changed with the EMU? (2006)The Daily Market for Funds in…Overnight Interbank Loan Markets (2004)Overnight Interbank Loan Mark…The overnight interbank market: Evidence from the G-7 and the Euro zone (2003)The overnight interbank marke…The Federal funds market and the overnight Eurodollar market (2003)The Federal funds market and …Settlement Risk under Gross and Net Settlement (2003)Settlement Risk under Gross a…Day-to-Day Monetary Policy and the Volatility of the Federal Funds Rate (2002)Day-to-Day Monetary Policy an…Determinants of the Japan premium: actions speak louder than words (2001)Determinants of the Japan pre…Trading and Returns under Periodic Market Closures (2000)Trading and Returns under Per…Interest Rate Targeting and the Dynamics of Short-Term Rates (1998)Interest Rate Targeting and t…Interest Rate Targeting and the Dynamics of Short-Term Rates (1997)Interest Rate Targeting and t…Estimating continuous-time stochastic volatility models of the short-term interest rate (1997)Estimating continuous-time st…The Daily Market for Federal Funds (1996)The Daily Market for Federal …Day-of-the-week effects in federal funds rates: Further empirical findings (1995)Day-of-the-week effects in fe…Periodic market closure and trading volume (1992)Periodic market closure and t…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Excess Reserves and Monetary Policy Normalization (2015)Excess Reserves and Monetary …Market-specific and currency-specific risk during the global financial crisis: Evidence from the interbank markets in Tokyo and London (2012)Market-specific and currency-…A Theory of the Term Structure of Interest Rates (1985)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Trading Patterns and Prices in the Interbank Foreign Exchange Market (1993)High frequency data in financial markets: Issues and applications (1997)Price Discovery and Trading After Hours (2003)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)Day of the Week Effects and Asset Returns (1981)Volume and turn-of-the-year behavior (1984)Banks’ reserve management, transaction costs, and the timing of Federal Reserve intervention (2001)A computational model of banks’ optimal reserve management policy (2002)Overnight interbank loan markets (2006)The Behavior of Stock-Market Prices (1965)The manipulation of closing prices (2004)Optimal Trading Strategy and Supply/Demand Dynamics (2005)Brownian Motion and Stochastic Calculus (2007)The cross-section of intraday and overnight returns (2021)Interest rates and the conduct of monetary policy (1991)The Response of Term Rates to Fed Announcements (2004)Liquidity regulation and the implementation of monetary policy (2017)Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1988)The role of banks in reducing the costs of financial distress in Japan (1990)Collateral Damage: Effects of the Japanese Bank Crisis on Real Activity in the United States (2000)Market discipline and deposit insurance reform in Japan (2006)Interpreting Deviations from Covered Interest Parity during the Financial Market Turmoil of 2007-08 (2009)Will the U.S. Bank Recapitalization Succeed? Eight Lessons from Japan (2009)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)Efficient estimation of conditional variance functions in stochastic regression (1998)Quadratic Term Structure Models: Theory and Evidence (2002)Bank Mergers, Competition, and Liquidity (2007)What explains the spread between the Euro overnight rate and the ECB's policy rate? (2010)Frictions in the Interbank Market and Uncertain Liquidity Needs: Implications for Monetary Policy Implementation (2014)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)
this work references cited by second hop

References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1997Estimating continuous-time stochastic volatility models of the short-term interest rate500 cited
  • 1996The Daily Market for Federal Funds426 cited
  • 1992Periodic market closure and trading volume426 cited
  • 2000Trading and Returns under Periodic Market Closures190 cited
  • 2006The Daily Market for Funds in Europe: What Has Changed with the EMU?107 cited
  • 2001Determinants of the Japan premium: actions speak louder than words106 cited
  • 2002Day-to-Day Monetary Policy and the Volatility of the Federal Funds Rate95 cited
  • 2003The overnight interbank market: Evidence from the G-7 and the Euro zone94 cited
  • 1995Day-of-the-week effects in federal funds rates: Further empirical findings82 cited
  • 2003Settlement Risk under Gross and Net Settlement79 cited
  • 1998Interest Rate Targeting and the Dynamics of Short-Term Rates57 cited
  • 1997Interest Rate Targeting and the Dynamics of Short-Term Rates56 cited
  • 2003The Federal funds market and the overnight Eurodollar market39 cited
  • 2004Overnight Interbank Loan Markets34 cited

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Cited by

  • 2012Market-specific and currency-specific risk during the global financial crisis: Evidence from the interbank markets in Tokyo and London23 cited
  • 2015Excess Reserves and Monetary Policy Normalization10 cited