We assess whether the euro had an impact first on the degree of integration of European financial markets, and, second …, on the euro area term structure. We propose two methodologies to measure integration: one relies on time-varying GARCH … movements in both equity and bond euro area markets, suggesting that integration has progressed since the introduction of the …

volatility, which has not been studied earlier. The study examines squared stock index returns of equity in 35 markets, including … the US, UK, Euro Zone and BRICS (Brazil, Russia, India, China and South Africa) countries, as a proxy for the measurement … of volatility. Results from the conditional heteroskedasticity long memory model show the evidence of long memory in the …

fundamentals coupled with OECD-wide abundant liquidity. Regarding the latter two factors, principal component analysis was used … analysis finds that both economic fundamentals and liquidity have played a statistically significant role in driving the common … had fallen below what could be explained by economic fundamentals and liquidity ... Les déterminants des primes de risque …