IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!)

Citations for "A multivariate latent factor decomposition of international bond yield spreads"

by Mardi Dungey & Vance L Martin & Adrian R Pagan

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as
in new window


  1. Anatoly A. Peresetsky & Ruslan I. Yakubov, 2017. "Autocorrelation in an unobservable global trend: does it help to forecast market returns?," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 7(1/2), pages 152-169.
  2. D’Agostino, Antonello & Ehrmann, Michael, 2014. "The pricing of G7 sovereign bond spreads – The times, they are a-changin," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 155-176.
  3. Dieppe, Alistair & Guarda, Paolo & Other contributors & Albani, Maria & González Pandiella, Alberto & Gordo Mora, Esther & Grech, Owen & Irac, Delphine & Kilponen, Juha & Kulikov, Dmitry & Marchiori, , 2015. "Public debt, population ageing and medium-term growth," Occasional Paper Series 165, European Central Bank.
  4. Esther Fernández Galar & Javier Gómez Biscarri, 2003. "Revisiting the Ability of Interest Rate Spreads to Predict Recessions: Evidence for a," Faculty Working Papers 04/03, School of Economics and Business Administration, University of Navarra.
  5. Favero, Carlo & Pagano, Marco & von Thadden, Ernst-Ludwig, 2010. "How Does Liquidity Affect Government Bond Yields?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(01), pages 107-134, February.
  6. Broto, Carmen & Ruiz, Esther, 2006. "Unobserved component models with asymmetric conditional variances," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2146-2166, May.
  7. Broto, Carmen & Pérez-Quirós, Gabriel, 2015. "Disentangling contagion among sovereign CDS spreads during the European debt crisis," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 165-179.
  8. Faruk Balli, 2009. "Spillover effects on government bond yields in euro zone. Does full financial integration exist in European government bond markets?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 33(4), pages 331-363, October.
  9. Diebold, Francis X. & Li, Canlin & Yue, Vivian Z., 2008. "Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach," Journal of Econometrics, Elsevier, vol. 146(2), pages 351-363, October.
  10. Carlo Favero & Iryna Kaminska & Ulf Soderstrom, 2005. "The Predictive Power of the Yield Spread: Further Evidence and a Structural Interpretation," Working Papers 280, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  11. Clements, Kenneth W. & Fry, Renée, 2008. "Commodity currencies and currency commodities," Resources Policy, Elsevier, vol. 33(2), pages 55-73, June.
  12. Sentana, Enrique & Calzolari, Giorgio & Fiorentini, Gabriele, 2008. "Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks," Journal of Econometrics, Elsevier, vol. 146(1), pages 10-25, September.
  13. Jiménez, Gabriel & Mencía, Javier, 2009. "Modelling the distribution of credit losses with observable and latent factors," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 235-253, March.
  14. Dimitris Vas. Seremetis & Anastasios P. Pappas, 2013. "Government bond yield spreads determination: a matter of fundamentals or market overreaction? Evidence from over-borrowed European countries," European Journal of Economics and Economic Policies: Intervention, Edward Elgar Publishing, vol. 10(3), pages 342-358, December.
  15. Gonzalez-Hermosillo Gonzalez, B.M., 2008. "Transmission of shocks across global financial markets : The role of contagion and investors' risk appetite," Other publications TiSEM d684f3c7-7ad8-4e93-88cf-a, Tilburg University, School of Economics and Management.
  16. Schuknecht, Ludger & von Hagen, Jürgen & Wolswijk, Guido, 2009. "Government risk premiums in the bond market: EMU and Canada," European Journal of Political Economy, Elsevier, vol. 25(3), pages 371-384, September.
  17. Kerstin Bernoth & Guntram B. Wolff, 2008. "Fool The Markets? Creative Accounting, Fiscal Transparency And Sovereign Risk Premia," Scottish Journal of Political Economy, Scottish Economic Society, vol. 55(4), pages 465-487, September.
  18. Gourieroux, C. & Monfort, A. & Sufana, R., 2010. "International money and stock market contingent claims," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1727-1751, December.
  19. Ippei Fujiwara & Koji Takahashi, 2012. "Asian Financial Linkage: Macro‐Finance Dissonance," Pacific Economic Review, Wiley Blackwell, vol. 17(1), pages 136-159, 02.
  20. Paolo Manasse & Luca Zavalloni, 2013. "Sovereign Contagion in Europe: Evidence from the CDS Market," Working Papers 471, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  21. Mardi Dungey & Gerald Dwyer & Thomas Flavin, 2013. "Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities," Open Economies Review, Springer, vol. 24(1), pages 5-32, February.
  22. Kiril Strahilov, 2006. "The Determinants of Country Risk in Eastern European Countries," Bruges European Economic Research Papers 8, European Economic Studies Department, College of Europe.
  23. Korhonen, Iikka & Peresetsky, Anatoly, 2013. "Extracting global stochastic trend from non-synchronous data," BOFIT Discussion Papers 15/2013, Bank of Finland, Institute for Economies in Transition.
  24. Brenda Gonzalez-Hermosillo & Vance Martin & Renee Fry & Mardi Dungey, 2003. "Unanticipated Shocks and Systemic Influences; The Impact of Contagion in Global Equity Markets in 1998," IMF Working Papers 03/84, International Monetary Fund.
  25. Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2014. "A Spectral EM Algorithm for Dynamic Factor Models," Working Papers wp2014_1411, CEMFI.
  26. Cipollini, A. & Kapetanios, G., 2008. "A stochastic variance factor model for large datasets and an application to S&P data," Economics Letters, Elsevier, vol. 100(1), pages 130-134, July.
  27. Durdyev, Ruslan & Peresetsky, Anatoly, 2014. "Autocorrelation in the global stochastic trend," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 35(3), pages 39-58.
  28. Diana Zhumabekova & Mardi Dungey, 2001. "Factor analysis of a model of stock market returns using simulation-based estimation techniques," Pacific Basin Working Paper Series 2001-08, Federal Reserve Bank of San Francisco.
  29. Joel Barber & Mark Copper, 2012. "Principal component analysis of yield curve movements," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(3), pages 750-765, July.
  30. Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004. "Likelihood-Based Estimation of Latent Generalized ARCH Structures," Econometrica, Econometric Society, vol. 72(5), pages 1481-1517, 09.
  31. Renee Fry & Vance Martin & Brenda Gonzalez-Hermosillo & Mardi Dungey, 2002. "International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse," IMF Working Papers 02/74, International Monetary Fund.
  32. Lorenzo Pozzi & Guido Wolswijk, 2008. "Have Euro Area Government Bond Risk Premia Converged To Their Common State?," Tinbergen Institute Discussion Papers 08-042/2, Tinbergen Institute, revised 07 Sep 2009.
  33. Pozzi, Lorenzo & Wolswijk, Guido, 2012. "The time-varying integration of euro area government bond markets," European Economic Review, Elsevier, vol. 56(1), pages 36-53.
  34. Sun, David & Tsai, Shih-Chuan, 2013. "Diversifying Risks in Bond Portfolios: A Cross-border Approach," MPRA Paper 44767, University Library of Munich, Germany, revised 09 Jan 2014.
  35. Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests for Static Factor Models," Working Papers wp2009_0912, CEMFI.
  36. Sekkel, Rodrigo, 2011. "International evidence on bond risk premia," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 174-181, January.
  37. Mark Hallerberg & Guntram Wolff, 2008. "Fiscal institutions, fiscal policy and sovereign risk premia in EMU," Public Choice, Springer, vol. 136(3), pages 379-396, September.
  38. Dungey, Mardi & Fry, Renee & Gonzalez-Hermosillo, Brenda & Martin, Vance, 2006. "Contagion in international bond markets during the Russian and the LTCM crises," Journal of Financial Stability, Elsevier, vol. 2(1), pages 1-27, April.
  39. Fiess, Norbert, 2003. "Capital flows, country risk, and contagion," Policy Research Working Paper Series 2943, The World Bank.
  40. Gabriele Fiorentini & Enrique Sentana, 2013. "Dynamic Specification Tests for Dynamic Factor Models," Working Papers wp2013_1306, CEMFI.
  41. Bernoth, Kerstin & von Hagen, Jürgen & Schuknecht, Ludger, 2012. "Sovereign risk premiums in the European government bond market," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 975-995.
  42. Mardi Dungey & Renee Fry & Brenda Gonzalez-Hermosillo & Vance Martin, 2005. "Empirical modelling of contagion: a review of methodologies," Quantitative Finance, Taylor & Francis Journals, vol. 5(1), pages 9-24.
  43. repec:ecb:ecbops:2014165 is not listed on IDEAS
  44. Dungey, Mardi, 2004. "Identifying terms of trade effects in real exchange rate movements: evidence from Asia," Journal of Asian Economics, Elsevier, vol. 15(2), pages 217-235, April.
  45. Carlo Favero & Marco Pagano & Ernst-Ludwig von Thadden, 2005. "Valutation, Liquidity and Risk in Government Bond Markets," Working Papers 281, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  46. Lauren Stagnol, 2017. "Introducing global term structure in a risk parity framework," EconomiX Working Papers 2017-23, University of Paris Nanterre, EconomiX.
  47. Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation Of Conditionally Heteroskedastic Factor Models," Working Papers wp2004_0409, CEMFI.
  48. Boysen-Hogrefe, Jens, 2013. "A dynamic factor model with time-varying loadings for euro area bond markets during the debt crisis," Economics Letters, Elsevier, vol. 118(1), pages 50-54.
  49. Shakila Aruman, 2003. "The Effectiveness of Foreign Exchange Intervention in Australia: A Factor Model Approach with GARCH Specifications," School of Economics and Finance Discussion Papers and Working Papers Series 135, School of Economics and Finance, Queensland University of Technology.
  50. repec:eee:dyncon:v:82:y:2017:i:c:p:206-222 is not listed on IDEAS
  51. Hallerberg, Mark & Wolff, Guntram B., 2006. "Fiscal institutions, fiscal policy and sovereign risk premia," Discussion Paper Series 1: Economic Studies 2006,35, Deutsche Bundesbank, Research Centre.
  52. Mardi Dungey & Renee Fry & Brenda Gonzales-Hermosillo & Vance L. Martin, 2005. "Shocks And Systemic Influences: Contagion In Global Equity Markets In 1998," CAMA Working Papers 2005-15, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  53. repec:rim:rimwps:40-07 is not listed on IDEAS
  54. Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.
  55. Mardi Dungey & Gerald P. Dwyer & Thomas Flavin, 2009. "Vintage and credit rating: what matters in the ABX data during the credit crunch?," Proceedings, Federal Reserve Bank of San Francisco, issue Jan.
  56. Jonathan H. Wright, 2008. "Term premiums and inflation uncertainty: empirical evidence from an international panel dataset," Finance and Economics Discussion Series 2008-25, Board of Governors of the Federal Reserve System (U.S.).
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.