Title:

Comovements in Volatility in the Euro Money Market

Authors:

Nuno Cassola (European Central Bank)
Claudio Morana (U Piemonte Orientale, ICER)

Journal:

Journal of International Money and Finance

Year:

2010

Volume:

29

Pages:

525-539

JEL codes:

E43 - Determination of Interest Rates; Term Structure of Interest Rates
G12 - Asset Pricing; Trading volume; Bond Interest Rates
G15 - International Financial Markets