Modeling the Euro overnight rate

Journal of Empirical Finance

Volumn 14, Issue 5, 2007, Pages 756-782

  Benito, Francis ^a   León, Ángel ^a   Nave, Juan ^b  

^a UNIVERSITY OF ALICANTE   (Spain)

^b UNIVERSIDAD CEU CARDENAL HERRERA   (Spain)

Author keywords

ARCH Poisson Gaussian; Autoregressive conditional jump intensity; Calendar day effect; ECB's meeting; Maintenance period; Mean reversion; Regime switching

Indexed keywords

EID: 35548980409     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2007.04.001     Document Type: Article

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