Liquidity risk, credit risk and the overnight interest rate spread : A stochastic volatility modelling approach
- Location
-
Deutsche Nationalbibliothek Frankfurt am Main
- Extent
-
Online-Ressource
- Language
-
Englisch
- Bibliographic citation
-
DIW Discussion Papers ; 1029
- Classification
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Wirtschaft
- Event
-
Veröffentlichung
- (where)
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Berlin
- (who)
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Deutsches Institut für Wirtschaftsforschung (DIW)
- (when)
-
2010
- Handle
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10419/46207
- URN
-
urn:nbn:de:101:1-201802203920
- Rights
-
Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Last update
-
25.03.2025, 1:55 PM CET
Data provider
This object is provided by:
Deutsche Nationalbibliothek. If you have any questions about the object, please contact the data provider.
Deutsche Nationalbibliothek. If you have any questions about the object, please contact the data provider.
Associated
- Beirne, John
- Caporale, Guglielmo Maria
- Spagnolo, Nicola
- Deutsches Institut für Wirtschaftsforschung (DIW)
Time of origin
- 2010
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Volatility-of-volatility risk
Volatility-of-volatility risk
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Realized Volatility Risk
Intergenerational Risk Sharing with Market Liquidity Risk