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A comprehensive analysis of the short-term interest-rate dynamics

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Author Info
Bali, Turan G.
Wu, Liuren

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Abstract

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File URL: http://www.sciencedirect.com/science/article/B6VCY-4G9Y4PC-3/2/c6a74ccb122007117217d4166e309ec7
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 30 (2006)
Issue (Month): 4 (April)
Pages: 1269-1290
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Handle: RePEc:eee:jbfina:v:30:y:2006:i:4:p:1269-1290

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  1. Charlotte Christiansen, 2008. "Mean Reversion in US and International Short Rates," CREATES Research Papers 2008-47, School of Economics and Management, University of Aarhus. [Downloadable!]
  2. Silvio Colarossi & Andrea Zaghini, 2007. "Gradualism, Transparency and Improved Operational Framework: A Look at the Overnight Volatility Transmission," CFS Working Paper Series 2007/16, Center for Financial Studies. [Downloadable!]
  3. Li, Minqiang, 2008. "A Damped Diffusion Framework for Financial Modeling and Closed-form Maximum Likelihood Estimation," MPRA Paper 11185, University Library of Munich, Germany. [Downloadable!]
  4. Silvio Colarossi & Andrea Zaghini, 2009. "Gradualism, transparency and the improved operational framework: a look at the overnight volatility transmission," Temi di discussione (Economic working papers) 710, Bank of Italy, Economic Research Department. [Downloadable!]
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This page was last updated on 2009-12-3.

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