Volatility spillovers in EMU sovereign bond markets
Year of publication: |
September 2015
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Authors: | Fernández Rodríguez, Fernando ; Gómez Puig, Marta ; Sosvilla-Rivero, Simón |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 39.2015, p. 337-352
|
Subject: | Sovereign debt crisis | Euro area | Market linkages | Vector autoregression | Variance decomposition | Eurozone | Öffentliche Anleihe | Public bond | Spillover-Effekt | Spillover effect | Volatilität | Volatility | Rentenmarkt | Bond market | Öffentliche Schulden | Public debt | VAR-Modell | VAR model | EU-Staaten | EU countries | Schuldenkrise | Debt crisis | Dekompositionsverfahren | Decomposition method |
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