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Capital market openness and volatility : an investigation of five Sub-Saharan treasury bill rates

Charteris, Ailie Heather; Strydom, Barry - In: International journal of emerging markets 11 (2016) 3, pp. 438-459

Persistent link: https://www.econbiz.de/10011588184

Contemporaneous spillover effects between the U.S. and the U.K. equity markets

Finta, Marinela Adriana; Frijns, Bart; Tourani Rad, Alireza - In: The financial review : the official publication of the … 52 (2017) 1, pp. 145-166

Persistent link: https://www.econbiz.de/10011656879

Volatility dynamics in the term structure of Latin American sovereign international bonds

Thuraisamy, Kannan Sivananthan - In: Emerging markets finance & trade : a journal of the … 51 (2015) 5, pp. 859-866

Persistent link: https://www.econbiz.de/10011561103

Nonlinearities in the oil effects on the sovereign credit risk: a self-exciting threshold autoregression approach

Sabkha, Saker; Peretti, Christian de; Hmaied, Dorra Mezzez - In: Research in international business and finance 50 (2019), pp. 106-133

Persistent link: https://www.econbiz.de/10012177033

What can EMU countries’ sovereign bond spreads tell us about market perceptions of default probabilities during the recent financial crisis?

Dötz, Niko; Fischer, Christoph - 2010

This paper presents a new approach for analysing the recent development of EMU sovereign bond spreads. Based on a GARCH-in-mean model originally used in the exchange rate target zone literature, spreads are decomposed into a risk premium, an expected loss component and a liquidity premium....