Demertzidis, Anastasios; Jeleskovic, Vahidin - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-23
-by-tick data on the Italian electronic interbank credit market (e-MID). To analyze the consequences of the recent financial crisis … a significantly better goodness-of-fit. Based on this fact, we infer that investors in the interbank credit market base …