The Impact of Subprime Mortgage Crisis on Cross-Currency Linkage of LIBOR-OIS Spreads

Author:

Ji Philip Inyeob,In Francis Haeuck

Publisher

Elsevier BV

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4. An Econometric Model of Credit spreads with Rebalancing ARCH and Jump Effects;H J Bierens;EFA 2003 Annual Conference Paper,2003

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