In this paper we investigate the relationship between the volatility of Greek interbank rates and the level of rates by … rate models of Merton, Vasicek, CIRSR, Dothan, GBM, Brennan and Schwartz, CIRVR, and CEV models. We find the volatility of …

In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy … 2007. During the crisis, the policy spread exhibited signs of volatility, owing to the breakdown in interbank market … activity. The determinants of this volatility are assessed using Stochastic Volatility models to gauge the role played by …