Pages that link to "Item:Q5378888"
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The following pages link to Mind the Gap: Disentangling Credit and Liquidity in Risk Spreads* (Q5378888):
Displaying 19 items.
- Using interest rate derivative prices to estimate LIBOR-OIS spread dynamics and systemic funding liquidity shock probabilities (Q356761) (← links)
- A covariate residual-based cointegration test applied to the CDS-bond basis (Q1695564) (← links)
- Liquidity tail risk and credit default swap spreads (Q1749525) (← links)
- Beyond spreads: measuring sovereign market stress in the Euro area (Q1782420) (← links)
- Mildly explosive dynamics in U.S. fixed income markets (Q2023952) (← links)
- Affine arbitrage-free yield net models with application to the euro debt crisis (Q2155317) (← links)
- The determinants of sovereign bond liquidity during WWI (Q2209609) (← links)
- Sovereign illiquidity and recessions. (Q2246681) (← links)
- European spreads at the interest rate lower bound (Q2246719) (← links)
- Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany (Q2288947) (← links)
- How do credits dollarize? The role of firm's natural hedges, banks' core and non-core liabilities (Q2300380) (← links)
- Pricing corporate bonds with credit risk, liquidity risk, and their correlation (Q2663021) (← links)
- Bank characteristics and the interbank money market: a distributional approach (Q2687869) (← links)
- Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks* (Q4554710) (← links)
- Investigating the effects of illiquidity on credit risks via new liquidity augmented stochastic volatility jump diffusion model (Q5093691) (← links)
- (Q5226711) (← links)
- Term rates, multicurve term structures and overnight rate benchmarks: a roll-over risk approach (Q6078122) (← links)
- Decomposing LIBOR in transition: evidence from the futures markets (Q6166217) (← links)
- Systemic perspective of term risk in bank funding markets (Q6644193) (← links)
