Liquidity risk, credit risk and the overnight interest rate spread : a stochastic volatility modelling approach

John Beirne, Guglielmo Maria Caporale and Nicola Spagnolo

Year of publication:	2010
Authors:	Beirne, John ; Caporale, Guglielmo Maria ; Spagnolo, Nicola
Publisher:	Uxbridge : Brunel Univ. West London, Brunel Business School
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

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