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Estimating risk premia in money market rates
Durré, Alain - 2003
Persistent link: https://www.econbiz.de/10013434548
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Testing the expectations hypothesis in euro overnight interest swap rates
Hernandis, Lucía; Torró, Hipòlit - 2012
Persistent link: https://www.econbiz.de/10010193515
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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 rate (the policy spread) for the euro area and the UK during the two main phases of the financial crisis that began in late 2007. During the crisis, the policy spread exhibited...
Persistent link: https://www.econbiz.de/10013141038
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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
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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 rate (the policy spread) for the euro area and the UK during the two main phases of the financial crisis that began in late 2007. During the crisis, the policy spread exhibited...
Persistent link: https://www.econbiz.de/10003983199
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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 rate (the policy spread) for the euro area and the UK during the two main phases of the financial crisis that began in late 2007. During the crisis, the policy spread exhibited...
Persistent link: https://www.econbiz.de/10009129975
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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
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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 rate (the policy spread) for the euro area and the UK during the two main phases of the financial crisis that began in late 2007. During the crisis, the policy spread exhibited...
Persistent link: https://www.econbiz.de/10013094544
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Three empirical essays on the informational content of financial prices
Bernoth, Kerstin - 2004
Persistent link: https://www.econbiz.de/10002524759
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Modeling the FIBOR/EURIBOR swap term structure : an empirical approach
Blaskowitz, Oliver (contributor);  … - 2005
In this study we forecast the term structure of FIBOR/EURIBOR swap rates by means of recursive vector autoregressive … and curvature of the swap term structure, we rely on measures of both statistical and economic performance. Whereas the … homogeneity of the term structure. -- Principal components ; Factor Analysis ; Ex-ante forecasting ; EURIBOR swap rates ; Term …
Persistent link: https://www.econbiz.de/10003049489