Volatility spillovers and dynamic correlation in European bond markets

Journal of International Financial Markets, Institutions and Money

Volumn 16, Issue 1, 2006, Pages 23-40

  Skintzi, Vasiliki D ^a   Refenes, Apostolos N ^a  

^a ATHENS UNIVERSITY OF ECONOMICS AND BUSINESS   (Greece)

Author keywords

Bond markets; Dynamic correlation; Volatility spillovers

Indexed keywords

EID: 32244436525     PISSN: 10424431     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.intfin.2004.12.003     Document Type: Article

References (27)

1. R. Aggarwal C. Inclan R. Leal Volatility in emerging stock markets Journal of Financial and Quantitative Analysis 34 1999 33-35
2. G. Bekaert C.R. Harvey Emerging equity market volatility Journal of Financial Economics 43 1997 29-77
3. E. Berndt B. Hall R. Hall J. Hausman Estimation and inference in nonlinear structural models Annals of Economics and Social Measurement 3 1974 653-665
4. M. Billio L. Pelizzon Volatility and shocks spillover before and after EMU in European stock markets Journal of Multinational Financial Management 13 2003 323-340
5. T. Bollerslev J. Wooldridge Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances Econometric Reviews 11 1992 143-172
6. G.G. Booth T. Martikainen Y. Tse Price and volatility spillovers in Scandinavian stock markets Journal of Banking and Finance 21 1997 811-823
7. Clare, A. and I. Lekkos, 2000. An analysis of the relationships between national bond markets, Bank of England Working Paper Series No 123.
8. S.M. Darbar P. Deb Cross-market correlations and transmission of information Journal of Futures Markets 22 2002 1059-1082
9. J. Driessen B. Melenberg T. Nijman Common factors in international bond returns Journal of International Money and Finance 22 2003 629-656
10. R.F. Engle Autoregressive conditional heteroscedasticity with estimates of the variance of U.K. inflation Econometrica 50 1982 987-1008
11. R.F. Engle Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models Journal of Business and Economic Statistics 20 2002 339-350
12. R.F. Engle V.K. Ng Measuring and testing the impact of news on volatility Journal of Finance 48 1993 1749-1778
13. C.B. Erb C.R. Harvey E. Viskanta Forecasting international equity correlations Financial Analysts Journal 6 1994 32-45
14. M. Espitia R. Santamaria International diversification among capital markets of the EEC Applied Financial Economics 4 1994 1-10
15. C.S. Eun S. Shim International transmission of stock market movements Journal of Financial and Quantitative Analysis 24 1989 241-256
16. M. Fratzscher Financial market integration in Europe: On the effects of EMU on stock markets International Journal of Finance and Economics 7 2002 165-193
17. Y. Hamao R.W. Masulis V.K. Ng Correlations in price changes and volatility across international stock markets Review of Financial Studies 3 1990 281-307
18. I. Ilmanen Time-varying expected returns in international bond markets Journal of Finance 50 1995 481-502
19. A. Kanas Volatility spillovers across equity markets: European evidence Applied Financial Economics 8 1998 245-256
20. G. Koutmos G.G. Booth Asymmetric volatility transmission in international stock markets Journal of International Money and Finance 14 1995 747-762
21. N. Laopodis Volatility linkages among interest rates: Implications for monetary policy International Journal of Finance and Economics 7 2002 215-233
22. F. Longin B. Solnik Is correlation in international equity markets constant? Journal of International Money and Finance 14 1995 3-26
23. T. Miyakoshi Spillovers of stock return volatility to Asian equity markets from Japan and the US, International Financial Markets Institutions & Money 13 2003 383-399
24. D.B. Nelson Conditional heteroscedasticity in asset returns: A new approach Econometrica 59 1991 347-370
25. A. Ng Volatility spillover effects from Japan and the US to the Pacific Basin Journal of International Money and Finance 19 2000 207-233
26. L. Ramchand R. Susmel Volatility and cross-correlation across major stock markets Journal of Empirical Finance 5 1998 397-416
27. R.W. So Price and volatility spillovers between interest rates and exchange value of the US dollar Global Finance Journal 12 2001 95-107