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The anatomy of government bond yields synchronization in the Eurozone
Barbieri, Claudio; Guerini, Mattia; Napoletano, Mauro - 2021
We investigate the synchronization of Eurozone's government bond yields at different maturities. For this purpose, we … combine principal component analysis with random matrix theory. We find that synchronization depends upon yields maturity … partially recover after 2015. We show the existence of a duality between our empirical results and portfolio theory and we point …
Persistent link: https://www.econbiz.de/10012497031
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The term structure of Eurozone peripheral bond yields : an asymmetric regime-switching equilibrium correction approach
Avdoulas, Christos; Bekiros, Stelios; Lucey, Brian M. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 24 (2020) 4, pp. 1-23
Persistent link: https://www.econbiz.de/10012299596
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The anatomy of government bond yields synchronization in the Eurozone
Barbieri, Claudio; Guerini, Mattia; Napoletano, Mauro - 2021
Persistent link: https://www.econbiz.de/10012543927
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From bond yield to macroeconomic instability : a parsimonious affine model
Recchioni, Maria Cristina; Tedeschi, Gabriele - In: European journal of operational research : EJOR 262 (2017) 3, pp. 1116-1135
Persistent link: https://www.econbiz.de/10011802489
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Quantitative easing and safe asset scarcity : evidence from international bond safety premia
Christensen, Jens H. E.; Mirkov, Nikola; Zhang, Xin - 2023 - This version: August 15, 2023
Persistent link: https://www.econbiz.de/10014391221
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Five weeks in the life of the pound interest rates, expectations and sterling's exit from the ERM
Robertson, Donald; Symons, James S. V. - 1993
Persistent link: https://www.econbiz.de/10000859087
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Five weeks in the life of the pound. Interest rates, expectations and sterling's exit from the ERM
Robertson, Donald - In: Oxford bulletin of economics and statistics 56 (1994) 1, pp. 1-12
Persistent link: https://www.econbiz.de/10001154048
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Five weeks in the life of the pound : interest rates, expectations and sterling's exit from ERM
Robertson, Donald; Symons, James S. V. - 1992
Persistent link: https://www.econbiz.de/10000137120
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Impact of declining interest rates on European primary bond market
Verner, Robert; Remiáš, Peter - In: Investment management and financial innovations 14 (2017) 2, pp. 328-335
Persistent link: https://www.econbiz.de/10011818958
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Yield curve changes effect on Euro area bond indexes : a partial durations approach
Fonseca, José Soares da - In: International journal of monetary economics and finance 7 (2014) 1, pp. 28-39
Persistent link: https://www.econbiz.de/10010531296