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 Asociación Española de Economía y Finanzas Internacionales
SN 1696-6376
YR 2015
FD 2015
LK https://hdl.handle.net/20.500.14352/27501
UL https://hdl.handle.net/20.500.14352/27501
LA eng
NO Government of Spain
DS Docta Complutense
RD 11 may 2025