Title |
Liquidity risk, credit risk and the overnight interest rate spread : A stochastic volatility modelling approach / John Beirne, Guglielmo Maria Caporale, Nicola Spagnolo |
|---|---|
Involved |
John Beirne (Verfasser) |
Published |
Berlin: Deutsches Institut für Wirtschaftsforschung (DIW) |
Extent |
Online-Ressource |
Language |
|
Country |
|
Topic |
|
Subject |
jel:C32
jel:E52 jel:E58 Overnight Interest Rate Spread
Liquidity Risk
Credit Risk Stochastic Volatility |
Series |
DIW Discussion Papers ; 1029 |
Persistent identifier |
urn:nbn:de:101:1-201802203920 (URN) |
Record ID |
115301064X |
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