There are many proxies for the risk free interest rate. For most purposes you may need a short term risk free rate, but there are in general no significant differences which one you chose.
Treasury bill rates are commonly used for studies on the US-equity market. For European countries, many researchers use 1-month or 3-month EURIBOR rates for empirical studies in academic research. However, LIBOR rates and OIS rates are often used in practice for valuing collateralized derivatives, but you may be aware of a structural change in their spread which is described in this answer.
Let's take a look at the different EURIBOR rates (1-week in green, 3-month in blue, 1-year in red):
It is obvious, that there are no major differences on these rates. Especially if you look at the 1-month and 3-month rate (in R):
euribor1m <- Quandl("BOF/QS_D_IEUTIO3M", type = "xts")
euribor3m <- Quandl("BOE/IUDERB3", type = "xts")
difference <- euribor3m-euribor1m
Since the year 2002, there is actually no difference between 1-month and 3-month EURIBOR rate. There are only 3 times, where their spread exceeds 0.5 percentage points:
Min. :1999-01-04 Min. :-0.0540000
1st Qu.:2004-01-06 1st Qu.: 0.0000000
Median :2008-12-31 Median : 0.0000000
Mean :2009-01-02 Mean : 0.0006019
3rd Qu.:2014-01-01 3rd Qu.: 0.0000000
Max. :2019-01-11 Max. : 1.0000000
"2000-10-31" "2001-10-04" "2001-10-10"
However, these differences may occur due to incorrect data. Other free data providers like here do not show a spread of exactly one percentage point within 1999-01-01 to 2001-12-28:
In summary, you may use data from commonly used providers to avoid these issues, but you are in general free to use any EURIBOR, OIS, T-bill rate as a proxy for the risk free rate.