TY  - JOUR
AU  - Fernández-Rodríguez, Fernando
AU  - Gómez-Puig, Marta
AU  - Sosvilla Rivero, Simón Javier
PY  - 2016
DO  - 10.1016/j.intfin.2016.04.005
SN  - 1042-4431
UR  - https://hdl.handle.net/20.500.14352/23614
T2  - Journal of International Financial Markets, Institutions & Money
AB  - We measure the connectedness in EMU sovereign market volatility between April 1999 and January 2014, monitoring stress transmission and identifing episodes of intensive spillovers from one country to the others. We first perform a static and dynamic...
LA  - eng
M2  - 126
PB  - ELSEVIER
KW  - Sovereign debt crisis
KW  - Euro area
KW  - Connectedness analysis
KW  - Market linkages
KW  - Vector autoregression
KW  - Variance decomposition.
TI  - Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility
TY  - journal article
VL  - 43
ER  -