Title:

Volatility Spillover Effects in Interbank Money Markets

Authors:

Pedro Pires (Bank of Portugal, ISCTE - Instituto Universitário de Lisboa)
José Dias Curto (ISCTE - Instituto Universitário de Lisboa)

Journal:

Weltwirtschaftliches Archiv/Review Of World Economics

Year:

2017

Volume:

153

Number:

1

Pages:

105-136

JEL codes:

C58 - Financial Econometrics
E32 - Business Fluctuations; Cycles
E44 - Financial Markets and the Macroeconomy

DOI:

10.1007/s10290-016-0268-7