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Volumn 20, Issue 1, 2010, Pages 74-87

Dynamic linkages among Major Sovereign bond yields

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EID: 77956316596     PISSN: 10598596     EISSN: None     Source Type: Journal    
DOI: 10.3905/jfi.2010.20.1.074     Document Type: Article
Times cited : (8)

References (12)
  • 1
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    • Research in emerging markets finance: Looking to the future
    • Bekaert, G., and C. R. Harvey. "Research in Emerging Markets Finance: Looking to the Future." Emerging Markets Review, Vol. 3, No. 4(2002), pp. 429-448.
    • (2002) Emerging Markets Review , vol.3 , Issue.4 , pp. 429-448
    • Bekaert, G.1    Harvey, C.R.2
  • 2
    • 34548287854 scopus 로고    scopus 로고
    • Dynamic correlation analysis of financial contagion: Evidence from Asian markets
    • Chiang, T. C., B. N. Jeon, and H. Li. "Dynamic Correlation Analysis of Financial Contagion: Evidence from Asian Markets." Journal of International Money and Finance, Vol. 26, No. 7(2007), pp. 1206-1228.
    • (2007) Journal of International Money and Finance , vol.26 , Issue.7 , pp. 1206-1228
    • Chiang, T.C.1    Jeon, B.N.2    Li, H.3
  • 5
    • 77956300998 scopus 로고    scopus 로고
    • International bond market cointegration using regime switching techniques
    • Davies, A. "International Bond Market Cointegration Using Regime Switching Techniques." Journal of Fixed Income, Vol. 16, No. 4(2007), pp. 69-80.
    • (2007) Journal of Fixed Income , vol.16 , Issue.4 , pp. 69-80
    • Davies, A.1
  • 7
    • 0035998182 scopus 로고    scopus 로고
    • Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models
    • Engle, R. E. "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models." Journal of Business and Economic Statistics, 20(2002), pp. 339-350.
    • (2002) Journal of Business and Economic Statistics , vol.20 , pp. 339-350
    • Engle, R.E.1
  • 8
    • 0003350474 scopus 로고    scopus 로고
    • No contagion, only interdependence: Measuring stock market comovements
    • Forbes, K., and R. Rigobon. "No Contagion, Only Interdependence: Measuring Stock Market Comovements." Journal of Finance, Vol. 57, No. 5(2002), pp. 2223-2261.
    • (2002) Journal of Finance , vol.57 , Issue.5 , pp. 2223-2261
    • Forbes, K.1    Rigobon, R.2
  • 10
    • 5444262388 scopus 로고    scopus 로고
    • Government bond market seasonality, diversification and cointegration: International evidence
    • Smith, K. L. "Government Bond Market Seasonality, Diversification and Cointegration: International Evidence." Journal of Financial Research, 25(2002), pp. 203-221.
    • (2002) Journal of Financial Research , vol.25 , pp. 203-221
    • Smith, K.L.1
  • 11
    • 38949120088 scopus 로고    scopus 로고
    • Modelling sovereign bond yield curves of the US, Japan and Germany
    • Tam, C. S., and I. W. Yu. "Modelling Sovereign Bond Yield Curves of the US, Japan and Germany." International Journal of Finance and Economics, 13(2008), pp. 82-91.
    • (2008) International Journal of Finance and Economics , vol.13 , pp. 82-91
    • Tam, C.S.1    Yu, I.W.2
  • 12
    • 21244433078 scopus 로고    scopus 로고
    • Government bond market linkages: Evidence from Europe
    • Yang, J. "Government Bond Market Linkages: Evidence from Europe." Applied Financial Economics, 15(2005), pp. 599-610.
    • (2005) Applied Financial Economics , vol.15 , pp. 599-610
    • Yang, J.1


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