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Liquidity spill-overs in sovereign bond market : an intra-day study of trade shocks in calm and stressful market conditions

Jurksas, Linas; Teresiene, Deimante; Kanapickiene, Rasa - In: Economies : open access journal 9 (2021) 1/35, pp. 1-22

The purpose of this paper is to determine the liquidity spillover effects of trades executed in European sovereign bond markets and to assess the driving factors behind the magnitude of the spill-overs between different markets. The one minute-frequency limit order-book dataset is constructed...

Persistent link: https://www.econbiz.de/10012485138

China’s Monetary Policy Regulation and Financial Risk Prevention : The Study of Effectiveness and Appropriateness

Zhou, Hui - 2015

correlations between monetary policy, economic growth, inflation and asset price volatility, explores the creation of financial …

Persistent link: https://www.econbiz.de/10014021002

How do the global equity and bond markets affect Islamic and conventional banks? : a comparative cross-country analysis using multivariate regression quantiles

Aydemir, Resul; Atan, Huzeyfe Zahit; Güloğlu, Bülent - In: Eurasian economic review : a journal in applied … 12 (2022) 1, pp. 95-114

Persistent link: https://www.econbiz.de/10013175261

Does economic policy uncertainty affect green bond markets? : evidence from wavelet-based quantile analysis

Wei, Ping; Qi, Yinshu; Ren, Xiaohang; Duan, Kun - In: Emerging markets, finance and trade : EMFT 58 (2022) 15, pp. 4375-4388

Persistent link: https://www.econbiz.de/10013463067

Spillovers on sectoral sukuk returns : evidence from country level analysis

Syed Mabruk Billah; Balli, Faruk; Balli, Hatice Ozer - In: Applied economics 54 (2022) 38, pp. 4402-4432

Persistent link: https://www.econbiz.de/10013410976

Regime shifts in a long-run risks model of stock and treasury bond markets

Li, Kai; Xu, Chenjie - In: China finance review international 12 (2022) 4, pp. 541-570

Persistent link: https://www.econbiz.de/10013453608

The Time-Varying Correlation between Crude oil Future and USA Bond Markets During 2005-2020 : Evidence from a DCC-GARCH Model

Tsiaras, Konstantinos - 2021

In this paper, we examine potential time-varying correlations between crude oil future and USA bond markets. We employ a dynamic conditional correlation (DCC) multivariate GARCH model in order to quantify potential contagion effects between the markets for the period 2005-2020. We divide the...

Persistent link: https://www.econbiz.de/10013228335

Volatility forecasting in European government bond markets

Özbekler, Ali Gencay; Kontonikas, Alexandros; … - In: International journal of forecasting 37 (2021) 4, pp. 1691-1709

Persistent link: https://www.econbiz.de/10013274332

Bond markets integration in the EU : new empirical evidence from the Eastern non-euro member-states

Stoupos, Nikolaos; Kiohos, Apostolos - In: The North American journal of economics and finance : a … 63 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10014225792

Extracting implied volatilities from bank bonds

Bianchi, Michele Leonardo; Tassinari, Gian Luca - In: Quantitative finance 23 (2023) 7/8, pp. 1177-1197

Persistent link: https://www.econbiz.de/10014321670