Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: a Stochastic Volatility Modelling Approach

C-Tier

Journal: The Manchester School

Year: 2013

Volume: 81

Issue: 6

Pages: 925-940

Authors (3)

JOHN BEIRNE (not in RePEc) GUGLIELMO MARIA CAPORALE (Brunel University London) NICOLA SPAGNOLO

Score contribution per author:

0.336 = (α=2.02 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count