Volatility of interest rates in the Euro area: evidence from high frequency data
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Frankfurt am Main
Europ. Central Bank
2003
|
| Schriftenreihe: | Working paper series / European Central Bank
235 |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Literaturverz. S. 33 - 38 |
| Beschreibung: | 73 S. graph. Darst. |
Internformat
MARC
| LEADER | 00000nam a2200000 cb4500 | ||
|---|---|---|---|
| 001 | BV017351085 | ||
| 003 | DE-604 | ||
| 005 | 20031107 | ||
| 007 | t | ||
| 008 | 030723s2003 gw d||| |||| 00||| eng d | ||
| 016 | 7 | |a 967981328 |2 DE-101 | |
| 035 | |a (OCoLC)643154700 | ||
| 035 | |a (DE-599)BVBBV017351085 | ||
| 040 | |a DE-604 |b ger |e rakddb | ||
| 041 | 0 | |a eng | |
| 044 | |a gw |c DE | ||
| 049 | |a DE-12 | ||
| 100 | 1 | |a Castelnuovo, Efrem |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Volatility of interest rates in the Euro area |b evidence from high frequency data |c by Nuno Cassola and Claudio Morana |
| 264 | 1 | |a Frankfurt am Main |b Europ. Central Bank |c 2003 | |
| 300 | |a 73 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a Working paper series / European Central Bank |v 235 | |
| 500 | |a Literaturverz. S. 33 - 38 | ||
| 700 | 1 | |a Morana, Claudio |e Verfasser |4 aut | |
| 810 | 2 | |a European Central Bank |t Working paper series |v 235 |w (DE-604)BV012681744 |9 235 | |
| 856 | 4 | 2 | |m DNB Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010457226&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-010457226 | |
Datensatz im Suchindex
| _version_ | 1807682889350905856 |
|---|---|
| adam_text |
CONTENTS
ABSTRACT
4
NON-TECHNICAL
SUMMARY
5
I
INTRODUCTION
9
2
INTRADAY
VOLATILITY
DYNAMICS
IN
THE
MONEY
MARKET
11
3
ECONOMETRIC
METHODOLOGY
14
3.
1
VOLATILITY
MODEL
1
6
3.2
ESTIMATION
OF
THE
CYCLICAL
VOLATILITY
MODEL
1
7
4
THE
DATA
2
1
4.
1
DESCRIPTIVE
STATISTICS
22
4.2
DETERMINISTIC
CYCLICAL
VOLATILITY
24
4.3
PERSISTENCE
ANALYSIS
27
5
COMMON
FACTOR
ANALYSIS
29
6
CONCLUSIONS
32
REFERENCES
33
7
APPENDIX:
SEMIPARAMETRIC
METHODOLOGIES
AND
STATIONARITY
TEST
39
TABLES
AND
FIGURES
45
EUROPEAN
CENTRAL
BANK
WORKING
PAPER
SERIES
67 |
| any_adam_object | 1 |
| author | Castelnuovo, Efrem Morana, Claudio |
| author_facet | Castelnuovo, Efrem Morana, Claudio |
| author_role | aut aut |
| author_sort | Castelnuovo, Efrem |
| author_variant | e c ec c m cm |
| building | Verbundindex |
| bvnumber | BV017351085 |
| ctrlnum | (OCoLC)643154700 (DE-599)BVBBV017351085 |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>00000nam a2200000 cb4500</leader><controlfield tag="001">BV017351085</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20031107</controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">030723s2003 gw d||| |||| 00||| eng d</controlfield><datafield tag="016" ind1="7" ind2=" "><subfield code="a">967981328</subfield><subfield code="2">DE-101</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)643154700</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV017351085</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakddb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">gw</subfield><subfield code="c">DE</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-12</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Castelnuovo, Efrem</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Volatility of interest rates in the Euro area</subfield><subfield code="b">evidence from high frequency data</subfield><subfield code="c">by Nuno Cassola and Claudio Morana</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Frankfurt am Main</subfield><subfield code="b">Europ. Central Bank</subfield><subfield code="c">2003</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">73 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="1" ind2=" "><subfield code="a">Working paper series / European Central Bank</subfield><subfield code="v">235</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Literaturverz. S. 33 - 38</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Morana, Claudio</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="810" ind1="2" ind2=" "><subfield code="a">European Central Bank</subfield><subfield code="t">Working paper series</subfield><subfield code="v">235</subfield><subfield code="w">(DE-604)BV012681744</subfield><subfield code="9">235</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">DNB Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010457226&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="943" ind1="1" ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-010457226</subfield></datafield></record></collection> |
| id | DE-604.BV017351085 |
| illustrated | Illustrated |
| indexdate | 2024-08-18T00:25:41Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-010457226 |
| oclc_num | 643154700 |
| open_access_boolean | |
| owner | DE-12 |
| owner_facet | DE-12 |
| physical | 73 S. graph. Darst. |
| publishDate | 2003 |
| publishDateSearch | 2003 |
| publishDateSort | 2003 |
| publisher | Europ. Central Bank |
| record_format | marc |
| series2 | Working paper series / European Central Bank |
| spelling | Castelnuovo, Efrem Verfasser aut Volatility of interest rates in the Euro area evidence from high frequency data by Nuno Cassola and Claudio Morana Frankfurt am Main Europ. Central Bank 2003 73 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Working paper series / European Central Bank 235 Literaturverz. S. 33 - 38 Morana, Claudio Verfasser aut European Central Bank Working paper series 235 (DE-604)BV012681744 235 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010457226&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Castelnuovo, Efrem Morana, Claudio Volatility of interest rates in the Euro area evidence from high frequency data |
| title | Volatility of interest rates in the Euro area evidence from high frequency data |
| title_auth | Volatility of interest rates in the Euro area evidence from high frequency data |
| title_exact_search | Volatility of interest rates in the Euro area evidence from high frequency data |
| title_full | Volatility of interest rates in the Euro area evidence from high frequency data by Nuno Cassola and Claudio Morana |
| title_fullStr | Volatility of interest rates in the Euro area evidence from high frequency data by Nuno Cassola and Claudio Morana |
| title_full_unstemmed | Volatility of interest rates in the Euro area evidence from high frequency data by Nuno Cassola and Claudio Morana |
| title_short | Volatility of interest rates in the Euro area |
| title_sort | volatility of interest rates in the euro area evidence from high frequency data |
| title_sub | evidence from high frequency data |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010457226&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV012681744 |
| work_keys_str_mv | AT castelnuovoefrem volatilityofinterestratesintheeuroareaevidencefromhighfrequencydata AT moranaclaudio volatilityofinterestratesintheeuroareaevidencefromhighfrequencydata |