create a website

VOLATILITY OF YIELDS OF GOVERNMENT BONDS AMONG GIIPS COUNTRIES DURING THE SOVEREIGN DEBT CRISIS IN THE EURO AREA. (2016). Heryan, Tomas ; Ziegelbauer, Jan .
In: Equilibrium. Quarterly Journal of Economics and Economic Policy.
RePEc:pes:ierequ:v:11:y:2016:i:1:p:61-74.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 18

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

    References contributed by ppa741-30399

  1. Antonakakis, N. & Vergos, K. (2013). Sovereign bond yield spillovers in the Euro zone during the financial and debt crisis. Journal of International Financial Markets, Institutions and Money, 26(1). http://dx.doi.org/10.1016/jint fin.2013.06.004. Břešťan, R. (2011). Noční můra z Portugalska. Ekonom, 55(13).

  2. Chionis, D., Pragidis, I., & Schizas, P. (2014). Long-term government bond yields and macroeconomic fundamentals: Evidence for Greece during the crisis-era. Finance Research Letters, 11(3). http://dx.doi.org/10.1016/j.frl.2014.02.003.

  3. Claeys, P., & Vašíček, B. (2014). Measuring Bilateral Spillover and Testing Contagion on Sovereign Bond Markets in Europe. Journal of Banking and Finance, 46(C). 1 http://dx.doi.org/0.1016/j.jbankfin.2014.05.011.

  4. Costantini, M., Fragetta, M., & Melina, G. (2014). Determinants of sovereign bond yield spreads in the EMU: An optimal currency area perspective. European Economic Review, 70(1). http://dx.doi.org/10.1016/j.euroecorev.2014.06.004.

  5. Dolejš, R. (2010). Na flamenco času dost. Ekonom, 54(10).
    Paper not yet in RePEc: Add citation now
  6. Drachal, K. (2015). The Structural Stability of a One-Day Risk Premium in View of the Recent Financial Crisis. Expert Journal of Economics, 3(2).

  7. Drachal, K. (2016). Analysis of a time-varying risk premium in the Visegrad group. MEST Journal, 4(1).
    Paper not yet in RePEc: Add citation now
  8. Ejsing, J., Grothe, M., & Grothe. O. (2015). Liquidity and credit premia in the yields of highly-rated sovereign bonds. Journal of Empirical Finance, 33(1). http://dx.doi.org/10.1016/j.jempfin.2015.04.001.

  9. Engle, R. F., Focardi, S. M., & Fabozzi, F. J. (2007). ARCH/GARCH Models in Applied Financial Econometrics. In: Encyclopedia of Financial Models. Retrieved from http://onlinelibrary.wiley.com/doi/10.1002/9781118182635.ef m0062/ (13.12.2015).
    Paper not yet in RePEc: Add citation now
  10. Galariotis, E. C., Krokida, S. I., & Spyrou. S. I. (2015). Bond market investor herding: Evidence from the European financial crisis. International Review of Financial Analysis, January, http://dx.doi.org/10.1016/j.irfa.2015.01.001.

  11. Guarín, A., Moreno J. F. & Vargas. H. (2014). An Empirical Analysis of the Relationship between US and Colombian Long-Term Sovereign Bond Yields. Ensayos sobre Política Económica, 32(74). http://dx.doi.org/10.1016/S0120-4483(14)70028-4.

  12. Hruška, B. (2010). Zorba se zlobí. Ekonom, 54(7).
    Paper not yet in RePEc: Add citation now
  13. Němec, J. (2010). Z keltského tygra prasetem. Ekonom, 54(46).
    Paper not yet in RePEc: Add citation now
  14. Němec, J. (2011a). Od drachmy k euru a zpět. Ekonom, 55(20).
    Paper not yet in RePEc: Add citation now
  15. Němec, J. (2011b). Bankrot už není tabu. Ekonom, 55(38).
    Paper not yet in RePEc: Add citation now
  16. Němec, J. (2012). Účet na záchranu „prasátek? Kvůli Itálii až bilion eur. Ekonom, 56(25).
    Paper not yet in RePEc: Add citation now
  17. Stavárek, D. (2010). Exchange rate volatility and the asymmetric fluctuation band on the way to the Eurozone. Applied Economics Letters, 17(1). http://dx.doi.org/10.1080/13504850701719827.
    Paper not yet in RePEc: Add citation now
  18. Zhou, Y. (2014). Modeling the joint dynamics of risk-neutral stock index and bond yield volatilities. Journal of Banking & Finance, 38(1). http://dx.doi.org/10.1016/j.jbankfin.2013.10.010.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Fear connectedness among asset classes. (2018). Sosvilla-Rivero, Simon ; Andrada-Felix, Julian ; Fernandez-Perez, Adrian.
    In: Applied Economics.
    RePEc:taf:applec:v:50:y:2018:i:39:p:4234-4249.

    Full description at Econpapers || Download paper

  2. Business Cycle and Financial Cycle Interdependence and the Rising Role of China in SAARC. (2018). Ahmad, Wasim ; Sehgal, Sanjay.
    In: Journal of Quantitative Economics.
    RePEc:spr:jqecon:v:16:y:2018:i:2:d:10.1007_s40953-017-0086-3.

    Full description at Econpapers || Download paper

  3. Spillovers in Sub-Saharan Africa’s sovereign Eurobond yields. (2018). Senga, Christian ; Cassimon, Danny.
    In: BeFinD Working Papers.
    RePEc:nam:befdwp:0124.

    Full description at Econpapers || Download paper

  4. “Time connectedness of fear”. (2018). Sosvilla-Rivero, Simon ; Andrada-Felixa, Julian ; Fernandez-Rodriguez, Fernando ; Fernandez-Perez, Adrian.
    In: IREA Working Papers.
    RePEc:ira:wpaper:201818.

    Full description at Econpapers || Download paper

  5. Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach. (2018). Debarsy, Nicolas ; Ertur, Cem ; Gnabo, Jean-Yves ; Dossougoin, Cyrille.
    In: Post-Print.
    RePEc:hal:journl:hal-01744629.

    Full description at Econpapers || Download paper

  6. Modelling the directional spillovers from DJIM Index to conventional benchmarks: Different this time?. (2018). Ahmad, Wasim ; Rais, Shirin ; Shaik, Abdul Rahman.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:67:y:2018:i:c:p:14-27.

    Full description at Econpapers || Download paper

  7. Cross-border asset holdings and comovements in sovereign bond markets. (2018). Asgharian, Hossein ; Larsson, Marcus ; Liu, LU.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:86:y:2018:i:c:p:189-206.

    Full description at Econpapers || Download paper

  8. The intraday volatility spillover index approach and an application in the Brexit vote. (2018). Nishimura, Yusaku ; Sun, Bianxia.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:55:y:2018:i:c:p:241-253.

    Full description at Econpapers || Download paper

  9. Volatility co-movements and spillover effects within the Eurozone economies: A multivariate GARCH approach using the financial stress index. (2018). Tsopanakis, Andreas ; Sogiakas, Vasilios ; MacDonald, Ronald.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:52:y:2018:i:c:p:17-36.

    Full description at Econpapers || Download paper

  10. An analysis of liquidity skewness for European sovereign bond markets. (2018). Li, Youwei ; Yan, Wei ; Vigne, Samuel A ; Hamill, Philip ; Waterworth, James.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:26:y:2018:i:c:p:274-280.

    Full description at Econpapers || Download paper

  11. Financial connectedness of BRICS and global sovereign bond markets. (2018). Mishra, Anil ; Ahmad, Wasim ; Daly, Kevin J.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:37:y:2018:i:c:p:1-16.

    Full description at Econpapers || Download paper

  12. Exploring the dynamic relationships between cryptocurrencies and other financial assets. (2018). Yarovaya, Larisa ; lucey, brian ; Larkin, Charles ; Corbet, Shaen ; Meegan, Andrew.
    In: Economics Letters.
    RePEc:eee:ecolet:v:165:y:2018:i:c:p:28-34.

    Full description at Econpapers || Download paper

  13. Risk aversion connectedness in five European countries. (2018). cipollini, andrea ; Muzzioli, Silvia ; lo Cascio, Iolanda.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:71:y:2018:i:c:p:68-79.

    Full description at Econpapers || Download paper

  14. Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach. (2018). Dossougoin, Cyrille ; Debarsy, Nicolas ; Gnabo, Jean-Yves ; Ertur, Cem.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:87:y:2018:i:c:p:21-45.

    Full description at Econpapers || Download paper

  15. Volatility Spillovers across Global Asset Classes: Evidence from Time and Frequency Domains. (2017). Wohar, Mark ; Tiwari, Aviral ; GUPTA, RANGAN ; Cunado, Juncal.
    In: Working Papers.
    RePEc:pre:wpaper:201780.

    Full description at Econpapers || Download paper

  16. Refined Measures of Dynamic Connectedness based on TVP-VAR. (2017). Antonakakis, Nikolaos ; Gabauer, David.
    In: MPRA Paper.
    RePEc:pra:mprapa:78282.

    Full description at Econpapers || Download paper

  17. Fear connectedness among asset classes. (2017). Sosvilla-Rivero, Simon ; Andrada-Felixa, Julian ; Fernandez-Perez, Adrian.
    In: IREA Working Papers.
    RePEc:ira:wpaper:201703.

    Full description at Econpapers || Download paper

  18. On the dynamic dependence and investment performance of crude oil and clean energy stocks. (2017). Ahmad, Wasim.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:42:y:2017:i:c:p:376-389.

    Full description at Econpapers || Download paper

  19. Discount rate or cash flow contagion? Evidence from the recent financial crises. (2017). Jiang, Junhua.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:39:y:2017:i:pa:p:315-326.

    Full description at Econpapers || Download paper

  20. Convergence patterns in sovereign bond yield spreads: Evidence from the Euro Area. (2017). GUPTA, RANGAN ; Cuñado, Juncal ; Antonakakis, Nikolaos ; Cunado, Juncal ; Christou, Christina.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:49:y:2017:i:c:p:129-139.

    Full description at Econpapers || Download paper

  21. Identifying and measuring the contagion channels at work in the European financial crises. (2017). Pedio, Manuela ; Guidolin, Massimo.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:48:y:2017:i:c:p:117-134.

    Full description at Econpapers || Download paper

  22. Contagion, volatility persistence and volatility spill-overs: The case of energy markets during the European financial crisis. (2017). Spyrou, Spyros ; Andriosopoulos, Kostas ; Galariotis, Emilios.
    In: Energy Economics.
    RePEc:eee:eneeco:v:66:y:2017:i:c:p:217-227.

    Full description at Econpapers || Download paper

  23. Financial contagion and volatility spillover: An exploration into Indian commodity derivative market. (2017). Sinha Roy, Saikat.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:67:y:2017:i:c:p:368-380.

    Full description at Econpapers || Download paper

  24. Modeling the spillovers between stock market and money market in Nigeria. (2017). Salisu, Afees ; Isah, Kazeem.
    In: Working Papers.
    RePEc:cui:wpaper:0023.

    Full description at Econpapers || Download paper

  25. CONTAGION AND DIVERGENCE ON SOVEREIGN BOND MARKETS. (2017). Jaworski, Piotr ; Liberadzki, Marcin.
    In: Copernican Journal of Finance & Accounting.
    RePEc:cpn:umkcjf:v:6:y:2017:i:4:p:39-68.

    Full description at Econpapers || Download paper

  26. Yields on sovereign debt, fragmentation and monetary policy transmission in the euro area: A GVAR approach. (2017). Sosvilla-Rivero, Simon ; Icaza, Victor Echevarria.
    In: Working Papers.
    RePEc:aee:wpaper:1701.

    Full description at Econpapers || Download paper

  27. Convergence Patterns in Sovereign Bond Yield Spreads: Evidence from the Euro Area. (2016). GUPTA, RANGAN ; Cuñado, Juncal ; Antonakakis, Nikolaos ; Cunado, Juncal ; Christou, Christina.
    In: Working Papers.
    RePEc:pre:wpaper:201616.

    Full description at Econpapers || Download paper

  28. VOLATILITY OF YIELDS OF GOVERNMENT BONDS AMONG GIIPS COUNTRIES DURING THE SOVEREIGN DEBT CRISIS IN THE EURO AREA. (2016). Heryan, Tomas ; Ziegelbauer, Jan .
    In: Equilibrium. Quarterly Journal of Economics and Economic Policy.
    RePEc:pes:ierequ:v:11:y:2016:i:1:p:61-74.

    Full description at Econpapers || Download paper

  29. Measuring Sovereign Risk Spillovers and Assessing the Role of Transmission Channels: A Spatial Econometrics Approach. (2016). Debarsy, Nicolas ; Gnabo, Jean-Yves ; Dossougoin, Cyrille ; Ertur, Cem.
    In: LEO Working Papers / DR LEO.
    RePEc:leo:wpaper:2441.

    Full description at Econpapers || Download paper

  30. Identifying and Measuring the Contagion Channels at Work in the European Financial Crises. (2016). Pedio, Manuela.
    In: Working Papers.
    RePEc:igi:igierp:586.

    Full description at Econpapers || Download paper

  31. Spreading crisis: Evidence of financial stress spillovers in the Asian financial markets. (2016). Apostolakis, George.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:43:y:2016:i:c:p:542-551.

    Full description at Econpapers || Download paper

  32. Economic policy uncertainty and risk spillovers in the Eurozone. (2016). Gnabo, Jean-Yves ; Bernal, Oscar ; Guilmin, Gregory .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:65:y:2016:i:c:p:24-45.

    Full description at Econpapers || Download paper

  33. Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility. (2016). Sosvilla-Rivero, Simon ; Gómez-Puig, Marta ; Gomez-Puig, Marta ; Fernandez-Rodriguez, Fernando.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:43:y:2016:i:c:p:126-145.

    Full description at Econpapers || Download paper

  34. Linkages in the term structure of interest rates across sovereign bond markets. (2016). Bhaduri, Saumitra ; Sowmya, Subramaniam ; Prasanna, Krishna.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:27:y:2016:i:c:p:118-139.

    Full description at Econpapers || Download paper

  35. Economic growth, volatility, and cross-country spillovers: New evidence for the G7 countries. (2016). Badinger, Harald ; Antonakakis, Nikolaos.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:52:y:2016:i:pb:p:352-365.

    Full description at Econpapers || Download paper

  36. Measuring sovereign risk spillovers and assessing the role of transmission channels: a spatial econometrics approach. (2016). Gnabo, Jean-Yves ; Dossougoin, Cyrille ; Debarsy, Nicolas ; Ertur, Cem.
    In: LIDAM Discussion Papers CORE.
    RePEc:cor:louvco:2016053.

    Full description at Econpapers || Download paper

  37. Business Cycle Spillovers in the European Union: What is the Message Transmitted to the Core?. (2016). Filis, George ; Chatziantoniou, Ioannis ; Antonakakis, Nikolaos.
    In: Manchester School.
    RePEc:bla:manchs:v:84:y:2016:i:4:p:437-481.

    Full description at Econpapers || Download paper

  38. “Financial stress transmission in EMU sovereign bond market volatility: a connectedness analysis”. (2015). Sosvilla-Rivero, Simon ; Gómez-Puig, Marta ; Gomez-Puig, Marta ; Fernandez-Rodriguez, Fernando.
    In: IREA Working Papers.
    RePEc:ira:wpaper:201510.

    Full description at Econpapers || Download paper

  39. “Financial stress transmission in EMU sovereign bond market volatility: a connectedness analysis”. (2015). Sosvilla-Rivero, Simon ; Gómez-Puig, Marta ; Gomez-Puig, Marta ; Fernandez-Rodriguez, Fernando.
    In: IREA Working Papers.
    RePEc:ira:wpaper:201508.

    Full description at Econpapers || Download paper

  40. Cross-Border Asset Holdings and Comovements in Sovereign Bond Markets. (2015). Asgharian, Hossein ; Larsson, Marcus ; Liu, LU.
    In: Working Papers.
    RePEc:hhs:lunewp:2015_030.

    Full description at Econpapers || Download paper

  41. Volatility spillovers in EMU sovereign bond markets. (2015). Sosvilla-Rivero, Simon ; Gómez-Puig, Marta ; Gomez-Puig, Marta ; Fernandez-Rodriguez, Fernando.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:39:y:2015:i:c:p:337-352.

    Full description at Econpapers || Download paper

  42. Business cycle and financial cycle spillovers in the G7 countries. (2015). Scharler, Johann ; Antonakakis, Nikolaos ; Breitenlechner, Max.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:58:y:2015:i:c:p:154-162.

    Full description at Econpapers || Download paper

  43. Financial stress spillovers across the banking, securities and foreign exchange markets. (2015). Papadopoulos, Athanasios ; Apostolakis, George.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:19:y:2015:i:c:p:1-21.

    Full description at Econpapers || Download paper

  44. Financial stress transmission in EMU sovereign bond market volatility: A connectedness analysis. (2015). Sosvilla-Rivero, Simon ; Gómez-Puig, Marta ; Gomez-Puig, Marta ; Fernandez-Rodriguez, Fernando.
    In: Working Papers.
    RePEc:aee:wpaper:1502.

    Full description at Econpapers || Download paper

  45. International business cycle spillovers since the 1870s. (2014). Badinger, Harald ; Antonakakis, Nikolaos.
    In: Applied Economics.
    RePEc:taf:applec:v:46:y:2014:i:30:p:3682-3694.

    Full description at Econpapers || Download paper

  46. The Center Still Holds: Financial Integration in the Euro Area. (2014). Sugawara, Naotaka ; Zalduendo, Juan ; Gill, Indermit S.
    In: Comparative Economic Studies.
    RePEc:pal:compes:v:56:y:2014:i:3:p:351-375.

    Full description at Econpapers || Download paper

  47. How Strongly are Business Cycles and Financial Cycles Linked in the G7 Countries?. (2014). Scharler, Johann ; Antonakakis, Nikolaos ; Breitenlechner, Max.
    In: Working Papers.
    RePEc:inn:wpaper:2014-07.

    Full description at Econpapers || Download paper

  48. Systemic Sovereign Risk in Europe: an MES and CES Approach. (2014). ROMOCEA TURCU, Camelia ; Popescu, Alexandra.
    In: Working Papers.
    RePEc:inf:wpaper:2014.04.

    Full description at Econpapers || Download paper

  49. Financial stress spillovers in advanced economies. (2014). Papadopoulos, Athanasios ; Apostolakis, George.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:32:y:2014:i:c:p:128-149.

    Full description at Econpapers || Download paper

  50. The dynamic relationship between exchange rates and macroeconomic fundamentals: Evidence from Pacific Rim countries. (2014). Chang, Ming-Jen ; Su, Che-Yi .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:30:y:2014:i:c:p:220-246.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-10-06 16:28:22 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.