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Transmission of volatility of money market overnight repo rate along the Yield Curve in Pakistan

Mahmood, Asif - 2015

Persistent link: https://www.econbiz.de/10011419532

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

The co-integration of CDS and bonds in time-varying volatility dynamics : do credit risk swaps lower bond risks?

Li, Leon; Scrimgeour, Frank G. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 3, pp. 475-497

Persistent link: https://www.econbiz.de/10013334844

Modelling asymmetric sovereign bond yield volatility with univariate GARCH models : evidence from India

Lithin BM; Chakraborty, Suman; Iyer, Vishwanathan; Nikhil MN - In: Cogent economics & finance 11 (2023) 1, pp. 1-33

Does Indian sovereign yield volatility reflect economic fundamentals, or whether it is a self-generated force flowing … through markets with little connection to such fundamentals? To answer the question, this research explores the volatility … dynamics and measures the persistence of shocks to the sovereign bond yield volatility in India from 1 January 2016, to 18 May …

Persistent link: https://www.econbiz.de/10014500716

The volatility of long-term bond returns : rersistent interest shocks and time-varying risk premiums

Osterrieder, Daniela; Schotman, Peter C. - 2012

Persistent link: https://www.econbiz.de/10009576958

Asymptotically distribution-free tests for the volatility function of a diffusion

Chen, Qiang; Zheng, Xu; Pan, Zhiyuan - In: Journal of econometrics 184 (2015) 1, pp. 124-144

Persistent link: https://www.econbiz.de/10011326801

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

Regime-switching univariate diffusion models of the short-term interest rate

Choi, Seungmoon - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 13 (2009) 1, pp. 1-39

Persistent link: https://www.econbiz.de/10009513595

Modeling volatility and changes in the swap spread

In, Francis Haeuck; Brown, Rob; Fang, Victor - In: International review of financial analysis 12 (2003) 5, pp. 545-561

Persistent link: https://www.econbiz.de/10001797475

The volatility of US term structure term premia 1952 - 1991

Henry, Ólan Thomas John - In: Applied financial economics 9 (1999) 3, pp. 263-271

Persistent link: https://www.econbiz.de/10001454511

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