reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility …

reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility …

We analyse volatility spillovers in EMU sovereign bond markets. First, we examine the unconditional patterns during the … of a dynamic analysis to evaluate net directional volatility spillovers for each of the eleven countries under study, and …

This paper measures the connectedness in EMU sovereign market volatility between April 1999 and January 2014, in order … end, we first perform a static and dynamic analysis to measure the total volatility connectedness in the entire period …

recessions in the Eurozone from the 1990s to the recent past. Credit default swap (CDS) data on sovereign bonds, which provide a … using the commonly employed yield spread remains high, provided that biases associated with Eurozone sovereign default risk …

A 'lost decade' for the Eurozone is looming on the horizon. Under these circumstances, stable indicators for future … spreads, growth is sparse in the Eurozone. We find this to be caused by default risks, which are distorting the long …-term interest rates of many Eurozone countries. Therefore, a new method of risk adjustment is introduced. We employ credit default …