Empirical Estimation of Intraday Yield Curves on the Italian Interbank Credit Market e-MID

Empirical Estimation of Intraday Yield Curves on the Italian Interbank Credit Market e-MID

This paper introduces a major novelty: the empirical estimation of spot intraday yield curves based on tick-by-tick data on the Italian electronic interbank credit market (e-MID). To analyze the consequences of the recent financial crisis, we split the data into four periods, which include events be...

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Publikašuvnnas:MAGKS - Joint Discussion Paper Series in Economics (Band 49-2016)
Váldodahkkit: Demertzidis, Anastasios, Jeleskovic, Vahidin
Materiálatiipa: Artihkal
Giella:eaŋgalasgiella
Almmustuhtton: Philipps-Universität Marburg 2016
Fáttát:
Nelson-Siegel model
Interbank credit market
Wirtschaft
intraday yield curve estimation
e-MID
financial crisis
Economics
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MAGKS - Joint Discussion Paper Series in Economics

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