RT Report
T1 Volatility spillovers in EMU sovereign bond markets
A1 Fernández Rodríguez, Fernando
A1 Gómez Puig, Marta
A1 Sosvilla Rivero, Simón Javier
AB We analyse volatility spillovers in EMU sovereign bond markets. First, we examine the unconditional patterns during the full sample (April 1999-January 2014) using a measure recently proposed by Diebold and Yılmaz (2012). Second, we make use of a dynamic analysis to evaluate net directional volatility spillovers for each of the eleven countries under study, and to determine whether core and peripheral markets present differences. Finally, we apply a panel analysis to empirically investigate the determinants of net directional spillovers of this kind.
PB Instituto Complutense de Estudios Internacionales (ICEI)
YR 2015
FD 2015
LK https://hdl.handle.net/20.500.14352/41683
UL https://hdl.handle.net/20.500.14352/41683
LA eng
DS Docta Complutense
RD 6 abr 2025