This paper addresses the out-of-sample prediction of European Monetary Union yield spread changes. We extend the Longstaff and Schwartz (1995) approach by using liquidity variables, namely funding liquidity as measured by European Central Bank's unconventional monetary policy as well as a...

This paper analyzes whether realized higher moments are able to predict out-of-sample sovereign bond returns using high-frequency data from the European bond market. We study bond return predictability over tranquil and crisis periods and across core and periphery markets at the index and...

The COVID-19 pandemic raised the question whether gold and sovereign bonds are a safe haven during epidemics. To this end, this study employs a DCC-GARCH model to analyze the conditional correlations between daily returns of S&P 500 and MSCI Emerging Markets Index with gold and the major...