Volatility of interest rates in the euro area: Evidence from high frequency data

European Journal of Finance

Volumn 12, Issue 6-7, 2006, Pages 513-528

  Cassola, Nuno ^a   Morana, Claudio ^b  

^a EUROPEAN CENTRAL BANK   (Germany)

^b UNIVERSITY OF EASTERN PIEDMONT   (Italy)

Author keywords

Fractional integration and cointegration; Money market microstructure; Stochastic volatility

Indexed keywords

EID: 33748780365     PISSN: 1351847X     EISSN: 14664364     Source Type: Journal    
DOI: 10.1080/13518470500162758     Document Type: Article

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