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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Pubblicato in: | MAGKS - Joint Discussion Paper Series in Economics (Band 49-2016) |
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Autori principali: | , |
Natura: | Articolo |
Lingua: | inglese |
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Philipps-Universität Marburg
2016
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Accesso online: | PDF Full Text |
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