%0 Report
%A Fernández-Rodríguez, Fernando
%A Gómez-Puig, Marta
%A Sosvilla Rivero, Simón Javier
%T Volatility spillovers in EMU sovereign bond markets
%J Working Papers on International Economics and Finance
%D 2015
%@ 1696-6376
%U https://hdl.handle.net/20.500.14352/27501
%X 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.
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