Inferring trading dynamics for an OTC market: the case of the euro area overnight money market

DOI10.1080/14697680903515706zbMath1277.91197OpenAlexW1975232201MaRDI QIDQ2866357

Renaud Beaupain, Alain Durré

Publication date: 13 December 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903515706

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (2)

Dimensional reduction of solvency contagion dynamics on financial networks ⋮ Bank characteristics and the interbank money market: a distributional approach

Cites Work

• A network analysis of the Italian overnight money market
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

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