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Causality-in-variance and causality-in-mean among European government bond markets

Guangzhong Li, James Refalo and Lifan Wu

Applied Financial Economics, 2008, vol. 18, issue 21, 1709-1720

Abstract: This article examines causality in volatility spillover (causality-in-variance) for the six major European government bond markets. Using tests of temporal causality and directed acyclic graphs, we find evidence of contemporaneous causality-in-variance, indicating that volatility spillover in the government bond markets is a short-lived phenomenon. However, we find no evidence of contemporaneous causality-in-mean for bond index returns. The tests reveal that the markets are bidirectionally linked, and reasonably well integrated.

Date: 2008
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DOI: 10.1080/09603100701735953

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