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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

Abstract: 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)
Date: 2017
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Handle: RePEc:eee:finlet:v:21:y:2017:i:c:p:107-114