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Emerging bond market volatility and country spreads

Won, Seungyeon; Yun, Young Sup; Kim, Byoung Joon - In: Emerging markets finance & trade : a journal of the … 49 (2013) 1, pp. 82-100

Persistent link: https://www.econbiz.de/10009742904

Measuring the impact of monetary policy attention on global asset volatility using search data

Wohlfarth, Paul - In: Economics letters 173 (2018), pp. 15-18

Persistent link: https://www.econbiz.de/10012022864

Volatility dynamics in the term structure of Latin American sovereign international bonds

Thuraisamy, Kannan Sivananthan - In: Emerging markets finance & trade : a journal of the … 51 (2015) 5, pp. 859-866

Persistent link: https://www.econbiz.de/10011561103

Relationships between exchange rate regime, real exchange rate volatility and currency structure of government bonds in emerging markets

Dudzich, Viktar - In: Národohospodářský obzor : časopis věnovaný … 20 (2020) 1, pp. 3-22

exchange rate regime type (both de jure and de facto) and real exchange rate volatility serving as explanatory variables. The … findings reveal that fixed exchange rate regime and high real exchange rate volatility is promoting the foreign currency …

Persistent link: https://www.econbiz.de/10012242309

Measuring the impact of monetary policy attention on global asset volatility using search data

Wohlfarth, Paul - 2018

Persistent link: https://www.econbiz.de/10011903650

Liquidity spill-overs in sovereign bond market : an intra-day study of trade shocks in calm and stressful market conditions

Jurksas, Linas; Teresiene, Deimante; Kanapickiene, Rasa - In: Economies : open access journal 9 (2021) 1/35, pp. 1-22

The purpose of this paper is to determine the liquidity spillover effects of trades executed in European sovereign bond markets and to assess the driving factors behind the magnitude of the spill-overs between different markets. The one minute-frequency limit order-book dataset is constructed...

Persistent link: https://www.econbiz.de/10012485138

Asymmetric and nonlinear comovements of credit default swap and bond markets : evidence from an emerging market

Bank, Semra; Abdioğlu, Zehra; Kahraman, Elif - In: Spanish journal of finance & accounting : the official … 53 (2024) 2, pp. 232-253

Persistent link: https://www.econbiz.de/10014564193

Volatility of yields of government bonds among GIIPS Countries during the sovereign debt crisis in the Euro Area

Heryán, Tomáš; Ziegelbauer, Jan - In: Equilibrium : quarterly journal of economics and … 11 (2016) 1, pp. 61-74

Persistent link: https://www.econbiz.de/10011487821

Nonlinearity and flight to safety in the risk-return trade-off for stocks and bonds

Adrian, Tobias; Crump, Richard; Vogt, Erik - 2015

-market volatility as measured by the VIX. We propose a new estimator for the shape of the nonlinear forecasting relationship that …, revealing flight to safety: Expected returns increase for stocks when volatility increases from moderate to high levels, while …

Persistent link: https://www.econbiz.de/10010505953

Persistence of volatility of sovereign credit risk in presence of structural breaks

Ngene, Geoffrey; Carley, Hannah; Hassan, Mohammad Kabir - In: Journal of derivatives & hedge funds 20 (2014) 1, pp. 10-27

Persistent link: https://www.econbiz.de/10010463011

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