Credit and Liquidity Risks in Euro-area Sovereign Yield Curves
Alain Monfort () and
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)
New Economics Papers: this item is included in nep-cba, nep-eec and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11) Track citations by RSS feed
Downloads: (external link)
http://crest.science/RePEc/wpstorage/2011-26.pdf Crest working paper version (application/pdf)
Working Paper: Credit and liquidity risks in euro area sovereign yield curves (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:crs:wpaper:2011-26
Access Statistics for this paper
More papers in Working Papers from Center for Research in Economics and Statistics Contact information at EDIRC.
Bibliographic data for series maintained by Secretariat General ().