Greek sovereign bond index, volatility, and structural breaks
Year of publication: |
2014
|
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Authors: | Tamakoshi, Go ; Hamori, Shigeyuki |
Published in: |
Journal of economics and finance. - New York, NY : Springer, ISSN 1055-0925, ZDB-ID 1163091-7. - Vol. 38.2014, 4, p. 687-697
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Subject: | Volatility | Greek government bond | European sovereign debt crisis | Multiple structural break test | EGARCH | Griechenland | Greece | Volatilität | Strukturbruch | Structural break | Öffentliche Anleihe | Public bond | Öffentliche Schulden | Public debt | EU-Staaten | EU countries | Eurozone | Euro area | Schätzung | Estimation | Schuldenkrise | Debt crisis | ARCH-Modell | ARCH model |
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