LIQUIDITY RISK, CREDIT RISK AND THE OVERNIGHT INTEREST RATE...

LIQUIDITY RISK, CREDIT RISK AND THE OVERNIGHT INTEREST RATE SPREAD: A STOCHASTIC VOLATILITY MODELLING APPROACH

JOHN BEIRNE, GUGLIELMO MARIA CAPORALE, NICOLA SPAGNOLO
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Volume:
aop
Year:
2012
Language:
english
DOI:
10.1111/j.1467-9957.2012.02330.x
File:
PDF, 822 KB
english, 2012
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