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https://www.um.edu.mt/library/oar/handle/123456789/30194
Title: | The volatility of Greek interbank rates : a continuous time analysis |
Authors: | Nowman, K. Ben Staikouras, Sotiris K. |
Keywords: | Interbank market -- Greece Interest rates -- Greece Economic development -- Greece |
Issue Date: | 1998-06 |
Publisher: | University of Piraeus. International Strategic Management Association |
Citation: | Nowman, K.B., & Staikouras, S.K. (1998). The volatility of Greek interbank rates : a continuous time analysis. European Research Studies Journal, 1(2), 5-14. |
Abstract: | In this paper we investigate the relationship between the volatility of Greek interbank rates and the level of rates by estimating the important CKLS interest rate model using the estimation method of (Nowman, 1997). We also estimate the interest rate models of Merton, Vasicek, CIRSR, Dothan, GBM, Brennan and Schwartz, CIRVR, and CEV models. We find the volatility of short-term rates is highly sensitive to the level of rates in Greece and is much higher than is usually assumed by these commonly used models in the financial markets. |
URI: | https://www.ersj.eu/index.php?option=com_docman&task=doc_details&gid=179&Itemid=154 https://www.um.edu.mt/library/oar//handle/123456789/30194 |
Appears in Collections: | European Research Studies Journal, Volume 1, Issue 2 |
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File | Description | Size | Format | |
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The_volatility_of_Greek_Interbank_rates_a_continuous_time_analysis_1998.pdf | 342.56 kB | Adobe PDF | View/Open |
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