Correlation and volatility on bond markets during the EMU crisis: does the OMT change the process ?
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- Franck Martin & Jiangxingyun Zhang, 2014. "Correlation and volatility on bond markets during the EMU crisis: does the OMT change the process ?," Post-Print halshs-01101986, HAL.
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Cited by:
- repec:eee:ecmode:v:64:y:2017:i:c:p:178-200 is not listed on IDEAS
- Martin, Franck & Zhang, Jiangxingyun, 2017.
"Modelling European sovereign bond yields with international portfolio effects,"
Economic Modelling,
Elsevier, vol. 64(C), pages 178-200.
- Franck Martin & Jiangxingyun Zhang, 2017. "Modelling European sovereign bond yields with international portfolio effects," Post-Print halshs-01525389, HAL.
- Franck Martin, 2016. "La structure des taux revisitée pour période de crise: entre contagion, ?ight to quality et Quantitative Easing," Economics Working Paper Archive (University of Rennes 1 & University of Caen) 2016-06, Center for Research in Economics and Management (CREM), University of Rennes 1, University of Caen and CNRS.
- Kavita Sirichand & Simeon Coleman, 2015.
"International yield curve comovements: impact of the recent financial crisis,"
Applied Economics,
Taylor & Francis Journals, vol. 47(43), pages 4561-4573, September.
- Simeon Coleman & Kavita Sirichand, 2014. "International yield curve comovements: impact of the recent financial crisis," Discussion Paper Series 2014_07, Department of Economics, Loughborough University, revised Jul 2014.
More about this item
Keywords
EMU debt crisis; bond markets; OMT; Draghi Put; multivariate GARCH model; flight to quality; speculation;JEL classification:
- G1 - Financial Economics - - General Financial Markets
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
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