Academic Journal
Comovements in volatility in the euro money market
| العنوان: | Comovements in volatility in the euro money market |
|---|---|
| المؤلفون: | Nuno Cassola, Claudio Morana |
| المساهمون: | The Pennsylvania State University CiteSeerX Archives |
| المصدر: | http://www.icer.it/docs/wp2007/ICERwp7-07.pdf. |
| سنة النشر: | 2010 |
| المجموعة: | CiteSeerX |
| مصطلحات موضوعية: | ror |
| الوصف: | This paper assesses the sources of volatility persistence in Euro Area money market interest rates and the existence of linkages relat-ing volatility dynamics. The main ndings of the study are as follows. Firstly, there is evidence of stationary long memory, of similar degree, in all series. Secondly, there is evidence of fractional cointegration relationships relating all series, except the overnight rate. Two com-mon long memory factors are found to drive the temporal evolution of the volatility processes. The rst factor shows how persistent volatil-ity shocks are trasmitted along the term structure, while the second factor points to excess persistent volatility at the longer end of the yield curve, relative to the shortest end. Finally, impulse response analysis and forecast error variance decomposition point to forward transmission of shocks only, involving the closest maturities. |
| نوع الوثيقة: | text |
| وصف الملف: | application/pdf |
| اللغة: | English |
| Relation: | http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.581.3806; http://www.icer.it/docs/wp2007/ICERwp7-07.pdf |
| الاتاحة: | http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.581.3806 http://www.icer.it/docs/wp2007/ICERwp7-07.pdf |
| Rights: | Metadata may be used without restrictions as long as the oai identifier remains attached to it. |
| رقم الانضمام: | edsbas.EAD22023 |
| قاعدة البيانات: | BASE |
| الوصف غير متاح. |