Macro News and Bond Yield Spreads in the Euro Area
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- Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2018. "Macro news and bond yield spreads in the euro area," The European Journal of Finance, Taylor & Francis Journals, vol. 24(2), pages 114-134, January.
- Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2014. "Macro News and Bond Yield Spreads in the Euro Area," Discussion Papers of DIW Berlin 1413, DIW Berlin, German Institute for Economic Research.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Wildmer Daniel Gregori & Wildmer Agnese Sacchi, 2016.
"Has the Grexit news spilled over into euro area financial markets? The role of domestic political leaders, supranational executives and institutions,"
Mo.Fi.R. Working Papers
134, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
- Gregori, Wildmer & Sacchi, Agnese, 2017. "Has the Grexit news affected euro area financial markets?," Working Papers 2017-13, Joint Research Centre, European Commission (Ispra site).
- repec:exl:25engi:v:27:y:2016:i:1:p:4-12 is not listed on IDEAS
More about this item
Keywordsnews; yield spreads; volatility spillovers; VAR-GARCH model;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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