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Causality-in-variance and causality-in-mean between the Greek sovereign bond yields and Southern European banking sector equity returns

Tamakoshi, Go; Hamori, Shigeyuki - In: Journal of economics and finance 38 (2014) 4, pp. 627-642

Persistent link: https://www.econbiz.de/10011333821

Volatility and evaporating liquidity during the bund tantrum

Riordan, Ryan; Schrimpf, Andreas - In: BIS quarterly review : international banking and … (2015), pp. 10-11

Persistent link: https://www.econbiz.de/10011341765

The case for fiscal rules

Badinger, Harald; Reuter, Wolf Heinrich - 2015

Persistent link: https://www.econbiz.de/10011347885

The effects of quantitative easing on the volatility of the gilt-edged market

Steeley, James M.; Matyushkin, Alexander - In: International review of financial analysis 37 (2015), pp. 113-128

Persistent link: https://www.econbiz.de/10011317236

Volatility indexes and contracts for government bonds and time deposits

Mele, Antonio; Obayashi, Yoshiki - 2013 - This version: April 22, 2013

The volatilities of Treasury and time deposit markets comove with equity volatility quite heterogeneously over time … volatility or, say, that of the Eurodollar LIBOR? How can we express these prices in a model-free format? Despite the success of … the Eurodollar. Pricing Treasury volatility in a model-free manner is a delicate issue for two reasons. First, volatility …

Persistent link: https://www.econbiz.de/10009750612

Volatility indexes and contracts for eurodollar and related deposits

Mele, Antonio; Obayashi, Yoshiki - 2013 - This version: April 21, 2013

Eurodollar deposit volatility comoves with equity volatility quite heterogeneously over time, with correlations ranging … from negative to positive, and marked by periods of rapid movement. What is the price of time deposit volatility? How can … deposits such as the Eurodollar. Pricing time deposit volatility in a model-free manner is a delicate issue because the …

Persistent link: https://www.econbiz.de/10009750613

The price of government bond volatility

Mele, Antonio; Obayashi, Yoshiki - 2013 - This version: April 22, 2013

Treasury price volatility comoves with equity volatility quite heterogeneously over time, with correlations ranging … from negative to positive, and marked by periods of rapid movement. What is the price of Treasury volatility? How can we … and other government bond markets. Pricing Treasury price volatility in a model-free manner is a delicate issue for two …

Persistent link: https://www.econbiz.de/10009751208

Determinants of sovereign yield spreads during the Euro-crisis : fundamental factors versus systemic risk

Klose, Jens; Weigert, Benjamin - 2012 - This version: November 2012

The intensity of the Euro-crisis was reflected by significant increases of sovereign bond yields in the troubled countries. This has launched a hot debate whether this increase can solely be attributed to fundamental factors like e.g. rescue programmes, rising budget deficits, deteriorating...

Persistent link: https://www.econbiz.de/10009751341

UK macroeconomic volatility and the term structure of interest rates

Spencer, Peter D. - In: Oxford bulletin of economics and statistics 75 (2013) 3, pp. 323-339

Persistent link: https://www.econbiz.de/10009754613

What if credit rating agencies were downgraded? : ratings, sovereign debt and financial market volatility

Masciandaro, Donato - In: Intereconomics : review of European economic policy 46 (2011) 5, pp. 254-258

Persistent link: https://www.econbiz.de/10009692254