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Volumn 101, Issue 3, 2008, Pages 184-187

On the persistence of the Eonia spread

Author keywords

Controllability and persistence of interest rates; Long memory and fractional integration; New operational framework of the ECB

Indexed keywords


EID: 55649105201     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2008.08.004     Document Type: Article
Times cited : (26)

References (12)
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  • 2
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    • Inference on the cointegration rank in fractionally integrated processes
    • Breitung J., and Hassler U. Inference on the cointegration rank in fractionally integrated processes. Journal of Econometrics 110 (2002) 167-185
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    • Breitung, J.1    Hassler, U.2
  • 4
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    • Liquidity conditions and monetary policy operations from 9 November 2005 to 7 February 2006
    • March, 32-24
    • European Central Bank. Liquidity conditions and monetary policy operations from 9 November 2005 to 7 February 2006. Monthly Bulletin (2006) March, 32-24
    • (2006) Monthly Bulletin
    • European Central Bank1
  • 5
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    • Estimation of fractional integration in the presence of data noise
    • Haldrup N., and Nielsen M.Ø. Estimation of fractional integration in the presence of data noise. Computational Statistics and Data Analysis 51 (2007) 3100-3114
    • (2007) Computational Statistics and Data Analysis , vol.51 , pp. 3100-3114
    • Haldrup, N.1    Nielsen, M.Ø.2
  • 6
    • 0000532373 scopus 로고    scopus 로고
    • Robust automatic bandwidth for long memory
    • Henry M. Robust automatic bandwidth for long memory. Journal of Time Series Analysis 22 (2001) 293-316
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    • Henry, M.1
  • 7
    • 34347339600 scopus 로고    scopus 로고
    • The dynamic relationship between the Euro overnight rate, the ECB's policy rate and the term spread
    • Nautz D., and Offermanns C.J. The dynamic relationship between the Euro overnight rate, the ECB's policy rate and the term spread. International Journal of Finance and Economics 12 3 (2007) 287-300
    • (2007) International Journal of Finance and Economics , vol.12 , Issue.3 , pp. 287-300
    • Nautz, D.1    Offermanns, C.J.2
  • 10
    • 21344446855 scopus 로고
    • Gaussian semiparametric estimation of long range dependence
    • Robinson P. Gaussian semiparametric estimation of long range dependence. Annals of Statistics 23 (1995) 1630-1661
    • (1995) Annals of Statistics , vol.23 , pp. 1630-1661
    • Robinson, P.1
  • 11
    • 4644310133 scopus 로고    scopus 로고
    • Long memory versus structural breaks: an overview
    • Sibbertsen P. Long memory versus structural breaks: an overview. Statistical Papers 45 (2004) 465-515
    • (2004) Statistical Papers , vol.45 , pp. 465-515
    • Sibbertsen, P.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.