Sovereign bond markets and financial volatility dynamics: Panel-GARCH evidence for six euro area countries
Pedro Pires Ribeiro,
Rodolfo Cermeño () and
José Dias Curto
Finance Research Letters, 2017, vol. 21, issue C, 107-114
This paper investigates, over 2007.01–2016.06, the determinants of six euro area sovereign bond yield spreads through original Panel-GARCH models that incorporate key features of volatility dynamics, such as extreme persistence, asymmetry and risk premia effects.
Keywords: Sovereign bond yield spreads; Euro area; Panel-GARCH models (search for similar items in EconPapers)
JEL-codes: C23 E43 F36 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:21:y:2017:i:c:p:107-114
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