Narrow search
Showing 1 - 10 of 256
Cover Image
Liquidity risk, credit risk and the overknight interest rate spread : a stochastic volatility modelling approach
Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - In: The Manchester School 81 (2013) 6, pp. 925-940
Persistent link: https://www.econbiz.de/10010341577
Cover Image
Liquidity risk, credit risk and the overnight interest rate spread : a stochastic volatility modelling approach
Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010
Persistent link: https://www.econbiz.de/10003979875
Cover Image
Liquidity risk, credit risk and the overnight interest rate spread : a stochastic volatility modelling approach
Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010
In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy … is the main determinant of the volatility of the policy spread, but also that private bank credit risk has become more …
Persistent link: https://www.econbiz.de/10003983199
Cover Image
Liquidity risk, credit risk and the overnight interest rate spread : a stochastic volatility modelling approach
Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010
In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy … is the main determinant of the volatility of the policy spread, but also that private bank credit risk has become more …
Persistent link: https://www.econbiz.de/10009129975
Cover Image
Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread : A Stochastic Volatility Modelling Approach
Beirne, John - 2013
In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy … is the main determinant of the volatility of the policy spread, but also that private bank credit risk has become more …
Persistent link: https://www.econbiz.de/10013094544
Cover Image
Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread : A Stochastic Volatility Modelling Approach
Beirne, John - 2010
In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy … is the main determinant of the volatility of the policy spread, but also that private bank credit risk has become more …
Persistent link: https://www.econbiz.de/10013141038
Cover Image
EU banks rating assignments: Is there heterogeneity between new and old member countries?
Caporale, Guglielmo Maria; Matousek, Roman; Stewart, Chris - 2010
We model EU countries' bank ratings using financial variables and allowing for intercept and slope heterogeneity. Our …
Persistent link: https://www.econbiz.de/10010270550
Cover Image
EU banks rating assignments: Is there heterogeneity between new and old member countries?
Caporale, Guglielmo Maria; Matousek, Roman; Stewart, Chris - 2010
We model EU countries' bank ratings using financial variables and allowing for intercept and slope heterogeneity. Our …
Persistent link: https://www.econbiz.de/10010271360
Cover Image
EU banks rating assignments : is there heterogeneity between new and old member countries?
Caporale, Guglielmo Maria; Matousek, Roman; Stewart, Chris - 2010
We model EU countries' bank ratings using financial variables and allowing for intercept and slope heterogeneity. Our …
Persistent link: https://www.econbiz.de/10003974520
Cover Image
EU banks rating assignments : is there heterogeneity between new and old member countries?
Caporale, Guglielmo Maria; Matousek, Roman; Stewart, Chris - 2010
We model EU countries' bank ratings using financial variables and allowing for intercept and slope heterogeneity. Our …
Persistent link: https://www.econbiz.de/10003971004