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Volatility co-movements between emerging sovereign bonds: Is there segmentation between geographical areas?

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  • Cifarelli, Giulio
  • Paladino, Giovanna

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Bibliographic Info

Article provided by Elsevier in its journal Global Finance Journal.

Volume (Year): 16 (2006)
Issue (Month): 3 (March)
Pages: 245-263

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Handle: RePEc:eee:glofin:v:16:y:2006:i:3:p:245-263

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Web page: http://www.elsevier.com/locate/inca/620162

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References

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  1. Lin, Wen-Ling & Engle, Robert F & Ito, Takatoshi, 1994. "Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 7(3), pages 507-38.
  2. Giancarlo Corsetti & Marcello Pericoli & Massimo Sbracia, 2001. "Correlation Analysis of Financial Contagion: What One Should Know Before Running a Test," Working Papers, Economic Growth Center, Yale University 822, Economic Growth Center, Yale University.
  3. Calvo, Sara & Reinhart, Carmen, 1996. "Capital flows to Latin America : Is there evidence of contagion effects?," Policy Research Working Paper Series, The World Bank 1619, The World Bank.
  4. Donald W.K. Andrews, 1990. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 943, Cowles Foundation for Research in Economics, Yale University.
  5. Mervyn A. King & Sushil Wadhwani, 1989. "Transmission of Volatility Between Stock Markets," NBER Working Papers 2910, National Bureau of Economic Research, Inc.
  6. Carmen M. Reinhart & Graciela L. Kaminsky, 1999. "The Twin Crises: The Causes of Banking and Balance-of-Payments Problems," American Economic Review, American Economic Association, American Economic Association, vol. 89(3), pages 473-500, June.
  7. Houweling, Patrick & Mentink, Albert & Vorst, Ton, 2005. "Comparing possible proxies of corporate bond liquidity," Journal of Banking & Finance, Elsevier, Elsevier, vol. 29(6), pages 1331-1358, June.
  8. Hong G. Min, 1998. "Determinants of emerging market bond spread : do economic fundamentals matter?," Policy Research Working Paper Series, The World Bank 1899, The World Bank.
  9. Laura E. Kodres & Matthew Pritsker, 2002. "A Rational Expectations Model of Financial Contagion," Journal of Finance, American Finance Association, American Finance Association, vol. 57(2), pages 769-799, 04.
  10. Paolo Mauro & Yishay Yafeh & Nathan Sussman, 2001. "Emerging Market Spreads: Then Versus Now," OFRC Working Papers Series, Oxford Financial Research Centre 2001fe03, Oxford Financial Research Centre.
  11. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, American Finance Association, vol. 48(5), pages 1779-1801, December.
  12. Michael D. Bordo & Antu P. Murshid, 2000. "Are Financial Crises Becoming Increasingly More Contagious? What is the Historical Evidence on Contagion?," NBER Working Papers 7900, National Bureau of Economic Research, Inc.
  13. Calvo, Guillermo A. & Mendoza, Enrique G., 2000. "Rational contagion and the globalization of securities markets," Journal of International Economics, Elsevier, Elsevier, vol. 51(1), pages 79-113, June.
  14. T. Todd Smith & Garry J. Schinasi, 1999. "Portfolio Diversification, Leverage, and Financial Contagion," IMF Working Papers, International Monetary Fund 99/136, International Monetary Fund.
  15. Vivek B. Arora & Martin D. Cerisola, 2000. "How Does U.S. Monetary Policy Influence Economic Conditions in Emerging Markets?," IMF Working Papers, International Monetary Fund 00/148, International Monetary Fund.
  16. Sebastian Edwards & Raul Susmel, 2000. "Interest Rate Volatility and Contagion in Emerging Markets: Evidence from the 1990s," NBER Working Papers 7813, National Bureau of Economic Research, Inc.
  17. Engle, Robert F, 2000. "Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego qt56j4143f, Department of Economics, UC San Diego.
  18. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, Elsevier, vol. 33(1), pages 3-56, February.
  19. Paul R. Masson, 1998. "Contagion," IMF Working Papers, International Monetary Fund 98/142, International Monetary Fund.
  20. Kaminsky, Graciela L. & Reinhart, Carmen M., 2000. "On crises, contagion, and confusion," Journal of International Economics, Elsevier, Elsevier, vol. 51(1), pages 145-168, June.
  21. Lamoureux, Christopher G & Lastrapes, William D, 1990. "Persistence in Variance, Structural Change, and the GARCH Model," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 8(2), pages 225-34, April.
  22. Edwin J. Elton, 2001. "Explaining the Rate Spread on Corporate Bonds," Journal of Finance, American Finance Association, American Finance Association, vol. 56(1), pages 247-277, 02.
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Cited by:
  1. Marta Gómez-Puig, 2007. "EU-15 sovereign governments' cost of borrowing after seven years of Monetary Union," Working Papers, Asociación Española de Economía y Finanzas Internacionales 07-03, Asociación Española de Economía y Finanzas Internacionales.
  2. Sergio Godoy, 2005. "Emerging Market Spreads at the Turn of The Century: A Roller Coaster Sergio Godoy," Working Papers Central Bank of Chile, Central Bank of Chile 339, Central Bank of Chile.
  3. Abad, Pilar & Chuliá, Helena & Gómez-Puig, Marta, 2010. "EMU and European government bond market integration," Journal of Banking & Finance, Elsevier, Elsevier, vol. 34(12), pages 2851-2860, December.
  4. Ante Žigman & Boris Cota, 2011. "The impact of fiscal policy on government bond spreads in emerging markets," Financial Theory and Practice, Institute of Public Finance, Institute of Public Finance, vol. 35(4), pages 385-412.
  5. Piljak, Vanja, 2013. "Bond markets co-movement dynamics and macroeconomic factors: Evidence from emerging and frontier markets," Emerging Markets Review, Elsevier, Elsevier, vol. 17(C), pages 29-43.
  6. Mónica Fuentes & Sergio Godoy, 2005. "Sovereign Spread in Emerging Markets: A Principal Component Analysis," Working Papers Central Bank of Chile, Central Bank of Chile 333, Central Bank of Chile.

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