We study the pricing of EMU sovereign debt by a novel panel regression approach. This allows us to consider a comprehensive set of observable explanatory variables jointly with additional unobservable time-varying common factors. We add to the existing literature by considering the pricing...

The paper aims to analyse the drivers of changes in European equity tail risk. For this purpose, the paper uses a panel data model with fixed effects based on five explanatory variables including the VIX, the variance risk premium (VRP), the one-year lagged slope of the riskless term-structure,...

We investigate information shares in the price discovery process in the euroarea sovereign bond market across the yield curve, during both calm and crisis periods. We employ a rich high-frequency dataset from the MTS platform. We find that price discovery is enhanced, on average, especially for...

This paper analyses the volatility transmission between European Global Systemically Important Banks (GSIBs) and implied stock market volatility. A Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity model is applied to determine the dynamic correlation...