LIQUIDITY RISK, CREDIT RISK AND THE OVERNIGHT INTEREST RATE SPREAD: A STOCHASTIC VOLATILITY MODELLING APPROACH

John Beirne, Guglielmo Maria Caporale and Nicola Spagnolo

Manchester School, 2013, vol. 81, issue 6, 925-940

Date: 2013
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1111/manc.2013.81.issue-6 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: A Stochastic Volatility Modelling Approach (2010)
Working Paper: Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: A Stochastic Volatility Modelling Approach (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:manchs:v:81:y:2013:i:6:p:925-940

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1463-6786

Access Statistics for this article

Manchester School is currently edited by Keith Blackburn

More articles in Manchester School from University of Manchester Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().