Time-varying financial stress linkages : evidence from the LIBOR-OIS spreads
Year of publication: |
2012
|
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Authors: | Ji, Philip Inyeob |
Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 22.2012, 4, p. 647-657
|
Subject: | Global financial crisis | LIBOR-OIS spreads | Dynamic Conditional Correlation model | Finanzkrise | Financial crisis | Zinsstruktur | Yield curve | Korrelation | Correlation | ARCH-Modell | ARCH model |
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