significant degree of leptokurtosis, thus prevalence of tail-risks, in the conditional volatility series of such variables in the …. -- Regeln der Geldpolitik ; Tail-Risks ; Euro-Konvergenz ; weltweite Finanzkrise ; Vermögensrisiko ; Zinsrisiko …

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 …

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 …

system stability. Accordingly, we empirically test volatility dynamics of the tenyear sovereign bond yields of the 2004 EU … accession countries in relation to the eurozone yields during the January 2, 2001 untill January 22, 2009 sample period. Our …