A high-frequency analysis of return and volatility spillovers in the European sovereign bond market

IF 2.2 3区经济学 Q2 BUSINESS, FINANCE European Journal of Finance Pub Date : 2021-04-06 DOI:10.1080/1351847X.2021.1910057

Conall O'Sullivan, V. Papavassiliou

引用次数: 3

Abstract

Using high-frequency data from the MTS trading platform, we examine return and volatility spillover effects across different maturities in the European sovereign bond market over tranquil and crisi...

查看原文

微信好友朋友圈 QQ好友复制链接

本刊更多论文

欧洲主权债券市场收益和波动溢出的高频分析

利用MTS交易平台的高频数据，我们研究了欧洲主权债券市场在平静和危机时期不同期限的回报和波动率溢出效应。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文去求助

来源期刊

European Journal of Finance BUSINESS, FINANCE-

CiteScore

5.40

自引率

8.00%

发文量

期刊介绍： The European Journal of Finance publishes a full range of research into theoretical and empirical topics in finance. The emphasis is on issues that reflect European interests and concerns. The journal aims to publish work that is motivated by significant issues in the theory or practice of finance. The journal promotes communication between finance academics and practitioners by providing a vehicle for the publication of research into European issues, stimulating research in finance within Europe, encouraging the international exchange of ideas, theories and the practical application of methodologies and playing a positive role in the development of the infrastructure for finance research.

期刊最新文献

A high-frequency analysis of return and volatility spillovers in the European sovereign bond market How does mutual fund flow respond to oil market volatility? Has the new bail-in framework increased the yield spread between subordinated and senior bonds? Financial crime ‘hot spots’ – empirical evidence from the foreign exchange market Chinese capital markets