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The co-integration of CDS and bonds in time-varying volatility dynamics : do credit risk swaps lower bond risks?

Li, Leon; Scrimgeour, Frank G. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 3, pp. 475-497

Persistent link: https://www.econbiz.de/10013334844

Modelling asymmetric sovereign bond yield volatility with univariate GARCH models : evidence from India

Lithin BM; Chakraborty, Suman; Iyer, Vishwanathan; Nikhil MN - In: Cogent economics & finance 11 (2023) 1, pp. 1-33

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 …

Persistent link: https://www.econbiz.de/10014500716

Expectations and term premia in EFSF bond yields

Carriero, Andrea; Ricci, Lorenzo; Vangelista, Elisabetta - 2022

Persistent link: https://www.econbiz.de/10013384831

Bond market spillover networks during the global pandemic : what we learned from ASEAN-4 markets

Uddin, Mohammed Gazi Salah; Yahya, Muhammad; Park, Donghyun - 2023

. We find complex intra-group return and volatility connectedness among ASEAN-4 markets and moderate inter-group return and … volatility connectedness between ASEAN-4 and regional and global markets at different time horizons. …

Persistent link: https://www.econbiz.de/10013546175

Economic volatility and sovereign yields' determinants : a time-varying approach

Afonso, António; Jalles, João Tovar - 2015

Persistent link: https://www.econbiz.de/10011549285

Country spread, foreign interest rates, and macroeconomic fluctuations in Korea

I, Taly; Kim, David - In: Korea and the world economy 14 (2013) 3, pp. 417-553

Persistent link: https://www.econbiz.de/10010253555

A Smooth Test for Density Forecast Evaluation

Ghosh, Aurobindo; Bera, Anil K. - Econometric Society - 2004

Recently financial econometricians have shifted their attention from point and interval forecasts to density forecasts mainly to address the issue of the huge loss of information that results from depicting portfolio risk by a measure of dispersion alone. One of the major problems in this area...

Persistent link: https://www.econbiz.de/10005063641

Contagion effects of 2011 Japan earthquake : the case of REITs markets

Wu, Ming-Che; Liau, Yung-Shi; Wang, Yung-Chang - In: The empirical economics letters : a monthly … 17 (2018) 6, pp. 757-770

Persistent link: https://www.econbiz.de/10011913446

Examining the adaptive market hypothesis with calendar effects : international evidence and the impact of COVID-19

Bassiouny, Aliaa; Kiryakos, Mariam; Tooma, Eskandar A. - In: Global finance journal 56 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014478982

The Russia-Ukraine invasion toward increasing food security threat for population : an empirical study using T-GARCH model

Bentouir, Naima - In: Theoretical and applied economics : GAER review 29 (2022) 4/633, pp. 173-184

Persistent link: https://www.econbiz.de/10014325670