TY  - RPRT
AU  - Fernández-Rodríguez, Fernando
AU  - Gómez-Puig, Marta
AU  - Sosvilla Rivero, Simón Javier
PY  - 2015
SN  - 1696-6376
UR  - https://hdl.handle.net/20.500.14352/27501
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...
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  - Volatility spillovers in EMU sovereign bond markets
TY  - technical report
ER  -