Credit and Liquidity Risks in Euro-area Sovereign Yield Curves

Alain Monfort and Jean-Paul Renne

No 2011-26, Working Papers from Center for Research in Economics and Statistics

Keywords: default risk; liquidity risk; term structure of interest rates; regime switching; euro-area spreads (search for similar items in EconPapers)
JEL-codes: E43 E44 E47 G12 G24 (search for similar items in EconPapers)
Pages: 43
Date: 2011-07
New Economics Papers: this item is included in nep-cba, nep-eec and nep-mac
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Citations: View citations in EconPapers (14)

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Working Paper: Credit and liquidity risks in euro area sovereign yield curves (2011)
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