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DC Field | Value | Language |
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dc.contributor.author | Nowman, K. Ben | - |
dc.contributor.author | Staikouras, Sotiris K. | - |
dc.date.accessioned | 2018-05-21T10:00:23Z | - |
dc.date.available | 2018-05-21T10:00:23Z | - |
dc.date.issued | 1998-06 | - |
dc.identifier.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. | en_GB |
dc.identifier.uri | https://www.ersj.eu/index.php?option=com_docman&task=doc_details&gid=179&Itemid=154 | - |
dc.identifier.uri | https://www.um.edu.mt/library/oar//handle/123456789/30194 | - |
dc.description.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. | en_GB |
dc.language.iso | en | en_GB |
dc.publisher | University of Piraeus. International Strategic Management Association | en_GB |
dc.rights | info:eu-repo/semantics/openAccess | en_GB |
dc.subject | Interbank market -- Greece | en_GB |
dc.subject | Interest rates -- Greece | en_GB |
dc.subject | Economic development -- Greece | en_GB |
dc.title | The volatility of Greek interbank rates : a continuous time analysis | en_GB |
dc.type | article | en_GB |
dc.rights.holder | The copyright of this work belongs to the author(s)/publisher. The rights of this work are as defined by the appropriate Copyright Legislation or as modified by any successive legislation. Users may access this work and can make use of the information contained in accordance with the Copyright Legislation provided that the author must be properly acknowledged. Further distribution or reproduction in any format is prohibited without the prior permission of the copyright holder. | en_GB |
dc.description.reviewed | peer-reviewed | en_GB |
dc.publication.title | European Research Studies Journal | en_GB |
Appears in Collections: | European Research Studies Journal, Volume 1, Issue 2 |
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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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