TY  - RPRT
AU  - Fernández-Rodríguez, Fernando
AU  - Gómez-Puig, Marta
AU  - Sosvilla-Rivero, Simón
PY  - 2015
SN  - 1696-6376
UR  - https://hdl.handle.net/20.500.14352/27502
AB  - This paper measures the connectedness in EMU sovereign market volatility between April 1999 and January 2014, in order to monitor stress transmission and to identify episodes of intensive spillovers from one country to the others. To this end, we...
LA  - eng
A3  - Asociación Española de Economía y Finanzas Internacionales
KW  - Sovereign debt crisis
KW  - Euro area
KW  - Market Linkages
KW  - Vector Autoregression
KW  - Variance Decomposition
TI  - Financial stress transmission in EMU sovereign bond market volatility: A connectedness analysis
TY  - technical report
ER  -