A dynamic factor model with time-varying loadings for euro area bond markets during the debt crisis
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Antonakakis, Nikolaos, 2012. "Dynamic Correlations of Sovereign Bond Yield Spreads in the Euro zone and the Role of Credit Rating Agencies' Downgrades," MPRA Paper 43013, University Library of Munich, Germany.
- Lo Duca, Marco & Adam, Tomáš, 2017. "Modeling euro area bond yields using a time-varying factor model," Working Paper Series 2012, European Central Bank.
- António Afonso & João Tovar Jalles, 2017. "Quantitative Easing and Sovereign Yield Spreads: Euro-Area Time-Varying Evidence," Working Papers REM 2017/20, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
More about this item
KeywordsBond markets; Euro crisis; Dynamic factor models; Time-varying loadings; Bayesian estimation;
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
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