The role of time‐varying risk premia in international interbank markets
Author:
Affiliation:
1. ALBA Graduate Business School The American College of Greece Athens Greece
2. University of Sussex Business School Brighton UK
Publisher
Wiley
Subject
Economics and Econometrics,Finance,Accounting
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1002/ijfe.2090
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1. Estimating affine multifactor term structure models using closed-form likelihood expansions☆
2. Ang A. Dong S. &Piazzesi M.(2007). No‐arbitrage Taylor rules Technical report National Bureau of Economic Research.
3. A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables
4. The Interbank Market after August 2007: What Has Changed, and Why?
5. Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market
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