Causality-in-variance and causality-in-mean among European government bond markets
James Refalo and
Applied Financial Economics, 2008, vol. 18, issue 21, 1709-1720
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.
References: Add references at CitEc
Citations: View citations in EconPapers (10) Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:18:y:2008:i:21:p:1709-1720
Ordering information: This journal article can be ordered from
Access Statistics for this article
Applied Financial Economics is currently edited by Anita Phillips
More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().