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Volatility spillovers in EMU sovereign bond markets

Fernández Rodríguez, Fernando; Gómez Puig, Marta; … - In: International review of economics & finance : IREF 39 (2015), pp. 337-352

Persistent link: https://www.econbiz.de/10011572456

Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility

Fernández Rodríguez, Fernando; Gómez Puig, Marta; … - In: Journal of international financial markets, … 43 (2016), pp. 126-145

Persistent link: https://www.econbiz.de/10011673512

Modeling exchange rate volatility in CEEC countries : impact of global financial and European sovereign debt crisis

Miletić, Siniša - In: Megatrend revija 12 (2015) 1, pp. 105-121

Persistent link: https://www.econbiz.de/10011308580

Information Transmission Between Stock and Bond Markets During the Eurozone Debt Crisis : Evidence From Industry Returns

Silva, Nuno - 2020

I analyze the Granger causality in distribution between sovereign bonds and industry indexes in the five European countries most affected by the debt crisis: Greece, Ireland, Italy, Portugal, and Spain. Prior research assessed the impact of the debt crisis on the financial firms, but its effect...

Persistent link: https://www.econbiz.de/10014352250

Effect of sovereign debt crisis and financial crisis on stock market volatility of Italy

Hens, Akhil Bandhu; Pradhan, Rudra Prakash; Bagchi, Tapan P. - In: International finance for infrastructure development, (pp. 113-134). 2013

Persistent link: https://www.econbiz.de/10009724521

Volatility and mean spillovers between sovereign and banking sector CDS markets : a note on the European sovereign debt crisis

Tamakoshi, Go; Hamori, Shigeyuki - In: Applied economics letters 20 (2013) 1/3, pp. 267-271

Persistent link: https://www.econbiz.de/10009702942

Financial market linkages and the sovereign debt crisis

Campos-Martins, Susana; Amado, Cristina - 2021

Persistent link: https://www.econbiz.de/10012696986

The sovereign rating channel in the European debt crisis : spillover effects on sovereign CDS and other systemic risk indicators

Georgoutsos, Demetris A.; Moratis, George - 2024

Persistent link: https://www.econbiz.de/10015047370

Classifying returns as extreme : european stock and bond markets

Christiansen, Charlotte - In: International review of financial analysis 34 (2014), pp. 1-4

Persistent link: https://www.econbiz.de/10010520407

Financial crises and the dynamic linkages between stock and bond returns

Eraslan, Sercan; Ali, Faek Menla - 2017

framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …

Persistent link: https://www.econbiz.de/10011663407

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