Diversifying market and default risk in high grade sovereign bond portfolios
In: Portfolio and risk management for central banks and sovereign wealth funds
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- Abad, Pilar & Chuliá, Helena & Gómez-Puig, Marta, 2010.
"EMU and European government bond market integration,"
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" Time-Varying World Market Integration,"
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American Finance Association, vol. 50(2), pages 403-44, June.
- Barr, David G. & Priestley, Richard, 2004.
"Expected returns, risk and the integration of international bond markets,"
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Elsevier, vol. 23(1), pages 71-97, February.
- David Barr & Richard Priestley, . "Expected returns, risk and the integration of international bond markets," CERF Discussion Paper Series 97-04, Economics and Finance Section, School of Social Sciences, Brunel University.
- David G. Barr & Richard Priestley, . "Expected Returns, Risk, and the Integration of International Bond Markets," Economics and Finance Discussion Papers 97-01, Economics and Finance Section, School of Social Sciences, Brunel University.
- Wei, Jason Z., 2003. "A multi-factor, credit migration model for sovereign and corporate debts," Journal of International Money and Finance, Elsevier, vol. 22(5), pages 709-735, October.
- Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
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