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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
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Modelling correlation dynamics of EMU sovereign debt markets during the recent turmoil
Babalos, Vassilios; Stavroyiannis, Stavros - In: Research in international business and finance 42 (2017), pp. 1021-1029
Persistent link: https://www.econbiz.de/10011760639
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Asymmetric dynamics in the correlations of global equity and bond returns
Cappiello, Lorenzo; Engle, Robert F.; Sheppard, Kevin - In: Journal of financial econometrics : official journal of … 4 (2006) 4, pp. 537-572
Persistent link: https://www.econbiz.de/10003565737
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Asymmetric dynamics in the correlations of global equity and bond return
Cappiello, Lorenzo - 2003
Persistent link: https://www.econbiz.de/10013434528
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Volatility in EMU sovereign bond yields : permanent and transitory components
Sosvilla-Rivero, Simón; Morales Zumaquero, Amalia - In: Applied financial economics 22 (2012) 16/18, pp. 1453-1464
Persistent link: https://www.econbiz.de/10009626055
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Volatility in EMU sovereign bond yields : permanent and transitory components
Sosvilla-Rivero, Simón; Morales Zumaquero, Amalia - 2011
Persistent link: https://www.econbiz.de/10009684363
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Volatility in EMU Sovereign Bond Yields : Permanent and Transitory Components
Sosvilla-Rivero, Simon; Morales-Zumaquero, Amalia - 2011
bond-yield volatility than shocks to the underlying fundamentals. In a second step, we develop a correlation and causality …This paper explores the evolving relationship in the volatility of sovereign yields in the European Economic and …-2010 period. In a first step, we decompose volatility in permanent and transitory components using Engel and Lee (1999)'s …
Persistent link: https://www.econbiz.de/10014182639
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The European sovereign debt market : from integration to segmentation
Cipollini, Andrea; Coakley, Jerry; Lee, Hyunchul - In: The European journal of finance 21 (2015) 1/3, pp. 111-128
Persistent link: https://www.econbiz.de/10010519971
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Measuring the impact of monetary policy attention on global asset volatility using search data
Wohlfarth, Paul - 2018
Persistent link: https://www.econbiz.de/10011903650
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Scarcity effects of QE : a transaction-level analysis in the Bund market
Schlepper, Kathi; Riordan, Ryan; Hofer, Heiko; … - 2017
This paper investigates the scarcity effects of quantitative easing (QE) policies, drawing on intra-day transaction-level data for German government bonds, purchased under the Public Sector Purchase Program (PSPP) of the ECB/Eurosystem. This paper is the first to match high-frequency QE purchase...
Persistent link: https://www.econbiz.de/10011632212