Spillover across sovereign bond markets between the US and ASEAN4 economies
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DOI: 10.1016/j.asieco.2021.101343
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Cited by:
- Liu, Peipei & Huang, Wei-Qiang, 2022. "Modelling international sovereign risk information spillovers: A multilayer network approach," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
- Zhuang, Yangyang & Zhang, Ditian & Tang, Pan & Peng, Hongjuan, 2024. "Clustering effects and evolution of the global major 10-year government bond market structure: A network perspective," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
- Chahine, Salim & Chidambaran, N.K., 2023. "Do sovereign-bond issuers learn from peers?," Journal of Financial Stability, Elsevier, vol. 67(C).
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More about this item
Keywords
ASEAN4; Sovereign bond; Spillovers; Multivariate-GARCH;All these keywords.
JEL classification:
- F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
- F31 - International Economics - - International Finance - - - Foreign Exchange
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
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