Audzeyeva, Alena; Schenk-Hoppé, Klaus Reiner - In: Journal of International Financial Markets, … 20 (2010) 4, pp. 404-422
We analyze the joint impact of country, regional and global market risks on daily changes in yield spreads of Mexico, Colombia and Brazil. In contrast to previous studies, we consider a homogenous set of liquid Eurobonds which are representative of current emerging bond markets. All risk-factor...