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Please use this identifier to cite or link to this item: http://hdl.handle.net/10553/15483
DC FieldValueLanguage
dc.contributor.authorFernández-Rodríguez, Fernandoen_US
dc.contributor.authorGómez Puig, Martaen_US
dc.contributor.authorSosvilla Rivero, Simónen_US
dc.date.accessioned2016-01-22T10:34:12Z-
dc.date.accessioned2018-06-15T09:21:55Z-
dc.date.available2016-01-22T10:34:12Z-
dc.date.available2018-06-15T09:21:55Z-
dc.date.issued2015en_US
dc.identifier.issn1059-0560en_US
dc.identifier.urihttp://hdl.handle.net/10553/15483-
dc.description.abstractWe analyse volatility spillovers in EMU sovereign bond markets. First, we examine the unconditional patterns during the full sample (April 1999-January 2014) using a measure recently proposed by Diebold and Yılmaz (2012). Second, we make use of a dynamic analysis to evaluate net directional volatility spillovers for each of the eleven countries under study, and to determine whether core and peripheral markets present differences. Finally, we apply a panel analysis to empirically investigate the determinants of net directional spillovers of this kinden_US
dc.languageengen_US
dc.relation.ispartofInternational Review of Economics and Financeen_US
dc.sourceInternational Review of Economics and Finance[ISSN 1059-0560],v. 39, p. 337-352en_US
dc.subject53 Ciencias económicasen_US
dc.subject.otherSovereign debt crisisen_US
dc.subject.otherEuro areaen_US
dc.subject.otherMarket linkagesen_US
dc.subject.otherVector autoregressionen_US
dc.subject.otherVariance decompositionen_US
dc.titleVolatility spillovers in EMU sovereign bond marketsen_US
dc.typeinfo:eu-repo/semantics/Articleen_US
dc.typeArticleen_US
dc.identifier.doi10.1016/j.iref.2015.07.001
dc.identifier.scopus84940792849-
dc.identifier.isi000362148400024
dc.contributor.authorscopusid6603053452-
dc.contributor.authorscopusid11939316300-
dc.contributor.authorscopusid6701863324-
dc.description.lastpage352-
dc.description.firstpage337-
dc.relation.volume39-
dc.investigacionCiencias Sociales y Jurídicasen_US
dc.rights.accessrightsinfo:eu-repo/semantics/openAccesses
dc.type2Artículoen_US
dc.contributor.daisngid1514720
dc.contributor.daisngid1674945
dc.contributor.daisngid514725
dc.contributor.wosstandardWOS:Fernandez-Rodriguez, F
dc.contributor.wosstandardWOS:Gomez-Puig, M
dc.contributor.wosstandardWOS:Sosvilla-Rivero, S
dc.date.coverdateSeptiembre 2015
dc.identifier.ulpgcSíes
dc.description.sjr0,954
dc.description.jcr1,846
dc.description.sjrqQ1
dc.description.jcrqQ1
dc.description.ssciSSCI
dc.description.erihplusERIH PLUS
item.grantfulltextopen-
item.fulltextCon texto completo-
crisitem.author.deptGIR Finanzas Cuantitativas y Computacionales-
crisitem.author.orcid0000-0002-8808-9286-
crisitem.author.parentorgDepartamento de Métodos Cuantitativos en Economía y Gestión-
crisitem.author.fullNameFernández Rodríguez,Fernando Emilio-
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