A vector-autoregression analysis of credit and liquidity factor dynamics in US LIBOR and Euribor swap markets
| Year of publication: |
2012
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|---|---|
| Authors: | Murphy, Finbarr ; Murphy, Bernard |
| Published in: |
Journal of Economics and Finance. - Springer, ISSN 1055-0925. - Vol. 36.2012, 2, p. 351-370
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| Publisher: |
Springer |
| Subject: | Vector Autoregression | OIS Spreads | Credit | Liquidity |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10010848260