1. OAR@UM
  2. External Research Collection
  3. Social Sciences
  4. Finance
  5. European Research Studies Journal
  6. 1998
  7. European Research Studies Journal, Volume 1, Issue 2
Please use this identifier to cite or link to this item: https://www.um.edu.mt/library/oar/handle/123456789/30194
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dc.contributor.authorNowman, K. Ben-
dc.contributor.authorStaikouras, Sotiris K.-
dc.date.accessioned2018-05-21T10:00:23Z-
dc.date.available2018-05-21T10:00:23Z-
dc.date.issued1998-06-
dc.identifier.citationNowman, 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.urihttps://www.ersj.eu/index.php?option=com_docman&task=doc_details&gid=179&Itemid=154-
dc.identifier.urihttps://www.um.edu.mt/library/oar//handle/123456789/30194-
dc.description.abstractIn 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.isoenen_GB
dc.publisherUniversity of Piraeus. International Strategic Management Associationen_GB
dc.rightsinfo:eu-repo/semantics/openAccessen_GB
dc.subjectInterbank market -- Greeceen_GB
dc.subjectInterest rates -- Greeceen_GB
dc.subjectEconomic development -- Greeceen_GB
dc.titleThe volatility of Greek interbank rates : a continuous time analysisen_GB
dc.typearticleen_GB
dc.rights.holderThe 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.reviewedpeer-revieweden_GB
dc.publication.titleEuropean Research Studies Journalen_GB
Appears in Collections:European Research Studies Journal, Volume 1, Issue 2

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