Liquidity risk, credit risk and the overknight interest rate spread : a stochastic volatility modelling approach
by John Beirne, Guglielmo Maria Caporale and Nicola Spagnolo
| Year of publication: |
2013
|
|---|---|
| Authors: | Beirne, John ; Caporale, Guglielmo Maria ; Spagnolo, Nicola |
| Published in: |
The Manchester School. - Oxford [u.a.] : Wiley-Blackwell, ISSN 0025-2034, ZDB-ID 1418920-3. - Vol. 81.2013, 6, p. 925-940
|
| Subject: | Zinsstruktur | Yield curve | Geldmarkt | Money market | Risikoprämie | Risk premium | Volatilität | Volatility | Bankenliquidität | Bank liquidity | Kreditrisiko | Credit risk | Zinspolitik | Interest rate policy | Finanzkrise | Financial crisis | EU-Staaten | EU countries | Großbritannien | United Kingdom | 2007 |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010341577