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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Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:18:y:2008:i:21:p:1709-1720
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DOI: 10.1080/09603100701735953
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